Don't waste your money
Poorly designed poll with many options that have no clear definition and/or aren't distinct from each other. You only need 4 options:...
No I don't restart the Gateway daily (which I can't do with cron as I have fancy 2 factor authentication on my account), just the 'client' python...
I think this only affects TWS? The gateway remains connected all the time.
See my book or anything I've written on portfolio construction in my blog.
Probably easiest to paste in a quote:
How does this book different from my first book, “Systematic Trading”?
If you read the “About the Author”...
On a nice run at the moment. +8.4% YTD, +14.8% for the tax year that I normally look at, 3.8% drawdown from the HWM set in late January.
The raw data will be for each individual contract, they aren't getting the continuous data from the CME. Then quandl or their provider do the...
It might help if you were a little more precise in your questioning and said why you want the answer to this question. Perhaps you could give a...
Yeah sure. But thread title was 'CAPM' and under the assumptions of CAPM there is no alpha. So my answer is 'Under CAPM if my beta is 1 my...
Same as the market: 5% equity risk premium (return over riskfree rate).
Assuming you can borrow money and stock at the same interest rate, blah...
That, contrary to my expectations, they're not ludicrously overfitted and/or liars.
Google RIFF the acronym not the word
I did the keynote at this event and a Q&A session on trading system design
Presentation is here. Video here (I start rambling on at 5:06:30, and...
Now fixed on github. Thanks for finding the error.
The normalisation is done at an earlier stage
Managed futures did very well in 2008. Of course they may not in the next black swan event.
Insurance is rarely free.
That makes sense
Yes, but that's probably not whats causing it though. Step backwards from the position rather than forwards.
Try plotting the intermediate diagnostics to see where the wildness is coming from. This is also good to understand better what you are doing.
Separate names with a comma.