Recent content by alex314159

Don’t want to add to the confusion but the important thing to note is that volatility, and hence skew, is a model output. It just helps people speak the same language. You take price (a reality). You take the Black Scholes model (one of many vol models, with many unrealistic assumptions...

Can you backtest your strategy? I’d look at the max drawdown over past eg 15 years, double it, add that to the margin you typically run, and make sure your account balance is at least that. You want to be well, well clear of IB deciding to liquidate your portfolio. They’re ruthless (which is...

Yes spread betting is tax free of course. What I meant was that if you decide to go the tax paying route and use a “normal” broker, then it’s better not to report just capital gains otherwise there’s a risk authorities recategorize them as income.

Spread betting works great if you’re a swing trader. Otherwise if you’re really short term the bid/offer kills you, and if you’re a long term trader the funding rates kill you. And obviously losses are not tax deductible. The other thing not mentioned before is that you’ll be taxed at 20pc as...

Thanks for all the answers. Meanwhile I got hold of the latest HSBC HF report. A lot of the data is reported late so away from systematic funds we're still talking October performance. There does seem to be more casualties if not blow-ups. For instance looking at their bottom performing funds...

This is shaping to be one of the worst years ever for the investment community. I read a stat that 80% of dollar assets are down ytd which is the most on record (eg total reach not scale of losses). Dominoes have fallen month after month - crypto, vix, gold, EM, tech, oil... Yet - no big fund /...

Not to be pedantic but I've had issues with quandl's stitching - I prefer to download the raw data and do it myself. If you're running long dated backtesting be sure to check the literature on adjusting the data you can get into interesting problems.

You'd need at least a year of track record before anyone looks at it in my opinion. In terms of auditing, many accounting companies (including big 4) will rubber stamp your brokerage statements and charge you 5k for the privilege. Then I'd go and look for friends and families with spare money to...

Explore the Python pandas package and take it from there. Very good tutorials out there.

Open account at reputable broker (IB or similar), track your results, after a year pay to get them audited, raise small money and manage it for free, repeat. If you genuinely make 50pc a year you’ll get where you want quickly.

I don’t understand why this is even a discussion. Google for algorithmic trading examples, blogs, etc. It’s all Python. Yes it’s slow but you won’t spend 30pc of your time finding how to parse a file or manipulate an array like structure, and you’ll be able to reuse so much freely available...

Hello everyone, how would you go about benchmarking an automated scalping strategy? Let's assume for simplicity you trade one contract of e-mini all day. I'm curious about how to to judge an algo's performance: -What's a good return / Sharpe? -What would you compare it to? Is there an index...

You need to look at how much risk you are taking, on many different variables. Not just the volatility of your P&L but also how much of your net worth is at stake? If you have a toy account with 1mth salary in it, it's probably closer to gambling and you'd want / expect high returns. If you have...