Got it. What do you mean by robustness? It's probably possible to speed things up using Cython, but I reckon it's not worth it if you trade a system with long holding periods.
Purely that code written by amateurs is more likely to be buggy than code written by teams of professional software engineers. GAT
How and when did you pick up Python actually? Any recommended courses or books to get from beginner to your level?
When I started in hedge funds I used R, the same language I used in university for my masters dissertation so it was fresh in my mind. We also used S+, Matlab, C++ and a proprietary language elsewhere in the firm. Then the firm decided to consolidate and rewrite everything in python. So at that point I had to learn how to use it. The firm ran a single 2 hour course, and then mostly it was from osmosis (having three software engineers in the team that could already use the language) and the normal way you learn to use any language (googling anything you don't know). Plus at this point I'd already been programming in various languages for nearly 30 years. I've only got two python books on my shelf. The 'beginner' book is 'learning python' by Lutz. The intermediate book is the 'python cookbook'. I've never taken a publicly available programming course in my life so I can't recommend any. But I've heard people rave about https://learnpythonthehardway.org/ GAT
Do you conduct research using pysystemtraded? I remember you mentioned that research and production should be seperate systems. If not, what system do you use for research? Is there anything that you would recommend for quick prototyping? Thanks!
Currently I'm using my older system for live trading, but I do plan to replace it with pysystemtrade for both live and production trading. I keep changing my mind on the 'separate systems' issue. For the kind of amateur low frequency trading I'm doing I think it's perfectly okay to have a single system (and indeed optimal). GAT
Hi GAT, How hard would it be to add alternate portfolio construction methods such as e.g., minimum variance?
Relatively easy, and I'll add it to the 'to do' list. However I note in passing that if you equalise asset sharpe ratios, as I prefer to do, minimum variance and maximum sharpe ratio portfolios will be identical. GAT
Also, is it possible to run systems in pysystemtrade with the continuous scaling and without? I am thinking particularly of faster, short-term mean reversion systems which are likely to be somewhat more binary in nature (or at least at a minimum, you don't want to be adding to them if they move against you...)?
All things are possible, although this would require some more re-engineering. This is already on the list - I'm particularly interested in this type of system myself. GAT