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Eurodollar about the same as you. v2tx 3 contracts out, too volatile at the front end for me. Are you still running the crypto market maker? What are your thoughts for next research? I'm evaluating if there are any options strategies I could run using daily data, or rather if there are any...

Thanks. Indeed my system is not trading gas at the moment due to the high volatility. Well, it did open a short in gas recently but the cold spike kicked me out again.

inspired by GATs blog, none of these are thresholded

Here's a reference which I found useful for numpty options traders: http://www.bespokeoptions.com/blog/2015/10/06/implied-volatility-with-c-and-python-pt-1

corn, eurodollar, eurostox, gas, 3ktb, mxp, plat, v2tx only been running a month(ish) most performance coming from eurodollar and v2tx

Cheers, interesting. I'm bootstraping the weights also but I'm only trading 8 instruments at the moment so that likely explains the difference in Sharpe more than anything else.

thanks GAT, do you have any references to dive deeper?

What forecast types produces the Sharpe of 0.9? I am getting 0.7 with long moving averages and carry only, target vol of 0.15

Slightly off topic to this thread, but i'm going to anyway as the quality of eyes on here is great! I'd like to get my feet wet with an options strategy. I've got this guys books and reading through them https://www.amazon.co.uk/Espen-Gaarder-Haug/e/B000APBMRA which are great. I get the use of...

In the simplest case you would want to determine if a time series is showing mean reverting behaviour over a time window and then act accordingly. There are a bunch of ways for accessing the mean reverting properties of a time series e.g by using the Hurst exponent...

On a daily price level my research indicated that it is irrelevant whether we use close or settlement price. I recreated the provided csv files using Quandl sourced data (sometimes stitching GATs as he has more history for some instruments than that which Quandl provide) - the backtests were...

The exchange website, ICE or whatever

The approach I took was to scrape the exchange website and parse the HTML table to get the active contracts. I did this to reduce dependency on IB API, but this data is available through the the IB API if you so wish.

Hi all, after reading Systematic Trading and getting exposed to futures via a similar system, and now reading Smart Portfolios - I wonder what would be the disadvantage of structuring my "smart portfolio" within the bounds of my automated trading system? Meaning that a would express the...

Will the uni course be using pysystemtrade? Perhaps you could set them some course work to add some machine learning forecast functions to plug-in :)

It wraps the official API, imposes an ioloop and allows API to be used in none event driven manner.

Another good library for IB: ib_insync on github

The approach I took was incremental building, using as much open source as possible, lifting bits outright or using as template - pysystemtrade was useful here. Now I'm receiving systematically produced trades via email and executing manually. Execution algorithm is in pipeline

For a stat. arb. type strategy?

On the topic of IB and python, i've found this library https://github.com/erdewit/ib_insync to be a very useful abstraction of the IB API. It is using the IB Python API under the hood.