Recent content by isotope1

For anyone that's interested, this came up: https://www.kaggle.com/c/two-sigma-financial-news

I did an investigation into trend following on UK LSE stocks with market caps of < £1bn. The feature was defined as a moving average crossover (of % returns) with lookback of 6mo/2years, and the target was to predict the 12 month return. It seems like in this scenario, trends had almost no...

I sold all my apple shares (£7000 worth) just before the release of the iPhone. That's worth ~£250k today! oops! I also had a bitcoin mining rig, and sold all my BTC at $300. I'm sure trend following will continue to work for generations to come, but in the futures markets I posit the...

Oh I don't believe it at all. I think a more realistic Sharpe is probably 0.5 going forwards. Strict people might say that's not statistically significant; but would you really want to risk poor returns for a lifetime to find out for certain? I originally came to all of this as a way to improve...

It has a Sharpe of around 0.8 +/- 0.15 over a lengthy backtest period, (accounting for fees and spreads), although it’s fair to say that recent performance (since 2000) is not nearly as good as past performance. The equity curve it produces is very similar to Winton etc. Sharpe of 0.8 x 25% vol...

Error fixed - https://github.com/chrism2671/PyTrendFollow Well, we can hope ;)

If anyone's around, I'll be at the AHL Hackathon https://www.ahl.com/hackathon PyTrendFollow will be one of the projects that gets a tiny table too.

Not that I'm aware of.

Yeah, there's a column for the improvement. I know a thing about illiquid equities. For that, either try to match things on the book and submit several small orders, or (much better), submit a bunch of limit orders in a 'ladder' with GTC orders and be patient.

It exists! https://github.com/erdewit/ib_insync - I only wish it had been there while I was writing this. If anybody wants to strip out my IB stuff and replace it with this, go for it!

Ah yes- that's right. However, as it trades only once a day, this is the best approach in my opinion.

It's their version of a price improvement. If you submit an adaptive market order, it'll wait to see if it can improve on price. The results of the improvement are shown in the activity reports on IB. Of course, sometimes you get a worse price too, but on balance, it's better to submit adaptive...

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...

Couldn't have done it without you! :)