Discussion in 'Journals' started by globalarbtrader, Feb 11, 2015.
Looks like ahl is also interested in breakouts
They've had a break out system for at least 15 years
Sorry sir, but your breakout blog post gave me the impression that you didn't really deal with breakout rules before. I was wrong haha.
Also there is some intro to machine learning in the MAN AHL videos.
Well the big fat NDA I signed with Man means I can only talk about what they're doing once it becomes public domain, hence the confusion.
For anyone who's interested, I have open sourced my trading system:
Downloading and merging of data from Quandl & IB
Bootstrapping of rules/portfolio
Uses multiprocessing and vectorization where possible, so it's quick.
Integration with Interactive Brokers (managed accounts) for automated trading
Awesome. Thanks for the name check.
Couldn't have done it without you!
Do you run this automatically and unsupervised?
I got it running, it's full auto, uses market orders using IB's adaptive algo. Not sure what the adaptive algo does though...
I used to, but there are too many things that can go wrong with data feeds etc. Normally I:
Download the data with cron, as this takes a while (download.py).
Run validate.py and inspect the output, which shows the status of price data for each instrument and how old it is.
Run scheduler.py --now to execute trades.
Separate names with a comma.