As I mentioned earlier it went well. So I scaled up from $20k to $40k. That is, I deposited an additional $20k. So profit is now $1.82k.
That's why I provided the Sharpe ratio. It's a better metric since the capital base changed over time. The total money placed in the account is...
It's very simple stuff. Usually just a few lines of numpy. The most complex parts are pulling price data from quandl automatically and stitching...
It's been a while. Thought I'd post a quick update. I've increased my account to $40k and scaled the positions accordingly. Current account value...
This is pretty interesting. Any reason you're selecting individual stocks versus just buying into an index fund?
Thanks for the interest. I'm using Python for everything, from stitching futures prices through to backtesting, portfolio analysis and trade...
Not much new on this front. No new trades. Portfolio is back up to $19,673. I've automated everything except execution so now I just receive an...
Thanks for sharing your current status. It's comforting to know that I'm not the only one in drawdown right now. I'm 5% below high water mark....
Today was an interesting day. Thanks Janet :) I closed my AUD position for about $184 profit. Still continuing to hold ED and TU. Account...
Yeah but the daily resets will make holding positions for the long term complex. As I understand it leveraged ETFs are good for day traders, but...
Yeah. The difficulty is that leverage with ETFs is much more limited and spread is higher. Most ETFs only have a volatility of around 10%, which...
I've decided to diversify a little and add corn to the portfolio. Here's the new weighting: AUD 2015-12 25% EDOLLAR 2017-12 12.5% TU...
No trades today. 2015-10-27 account value: 20275.00 GE (ED) contract: EDZ2017 settle: $98.6350 volatility:...
No. As I said I'd be happy to achieve a post-cost Sharpe of 0.5 and getting 0.6 would be fantastic. You're probably confusing the Sharpe ratio...
This is a small account so I don't have a significant amount of diversification. For this reason I don't think I'll get a post-cost Sharpe ratio...
No trades today. 2015-10-26 account value: 20117.00 GE (ED) contract: EDZ2017 settle: $98.59 volatility:...
A quick update: Account balance: $20,000.00 Target volatility: $5,000.00 Expected volatility: $5,062.88 Trades -1 AUD 0.72386 +1...
So I've setup my portfolio which is weighted as follows: AUD 2015-12 33% EDOLLAR 2017-12 17% TU 2015-12 17% NK225M 2015-12...
Any online learning system should be capable of doing this e.g. stochastic gradient descent. What you describe in terms of combining the...
Its been almost a month since my last post. How time flies. In the mean time I've been busy coding up a systematic trading environment in Python...
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