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Hi GAT, How do you handle market data subscriptions in IB? For tax purposes, I recently moved from a personal trading account to a company trading account (the corporate tax rate is lower than the personal income tax rate in my country); however, I noted that once you're registered as a company...

Hi GAT, Is it possible to assign static weights to instruments for specific dates? I know you can assign static weights for all dates but am sure how to set these for e.g., specific years. The reason being, due to the bootstrapping nature of the estimation techniques used, the weights generated...

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...

Hi GAT, How hard would it be to add alternate portfolio construction methods such as e.g., minimum variance?

Yes, whereas pysystemtrade's multiplier is 500,000

I note that the larger contract has also a different multiplier (250,000), or have I gone wrong somewhere?

Hi GAT, I noticed in your instrumentconfig.csv file your Github account that the contract multiplier for KOSPI is off vs Interactive Brokers contract specifications, by an order of x10 (you can click the links). Is this intentional due to some sort of indirect currency multiplier, a mistake or...

I use Python's Beautiful Soup library to scrape the data from public sites like http://futures.tradingcharts.com/marketquotes/KC.html There is a delay, but if you're trading a longer time horizon that works OK.

Thanks for the colour GAT. The recent market drop got me thinking about Interactive Brokers solvency during a crisis, as I currently have most of my money with them. Does anyone here monitor the solvency of IB and keep an eye on their share price? Arguably IB going under is one of the biggest...

I'm running a multi-strat system, down -2.7% overnight on 16% vol, above the average daily vol of ca +\-1% but within expectations. Good luck everyone!

Classic! Love this! Sounds painful, but it's a long-term game. Remember the old cliche: 'think of how much you're willing to lose before you think of what you're going to make'. 25% vol would give me stomach ulcers, but you may have an iron gut!

By attributions I mean: the contribution of each market to this month's return. To decompose the monthly return into its individual contributors... Value I meant some form of measurement of value such as e.g., P/E with equities. But it sounds like you've not looked at this, which is fine...

Hi GAT, I was wondering if there is a feature in pysystemtrade to be able to conduct portfolio attributions? Also, have you ever experimented with 'value' rules in futures markets? Thanks!

Hi GAT, Are there any plans to add additional systems to pysystemtrade in the near term, such as e.g., cross sectional strategies? Also, will your QuantCon talk be recorded and/or will you place the slides on your website? Can't wait to see your new book! Thanks

Hi GAT, I just read this article from the FT 'Rise in new form of ‘portfolio insurance’ sparks fears'. Do you have any thoughts on the massive flows into trend following and how this may affect performance? It could help if everyone is buying rallies and shorting sell-offs, but not if everyone...

Hi GAT, I note you have your base currency as GBP. If you have GBP in your account and buy a non-GBP asset (e.g., ESM7), IB charge you commission on BOTH i) the futures trade and ii) the FX trade to finance the futures trade. I double checked this with them on the phone. The commissions are...

Hi GAT, I noticed the performance of the AHL evolution fund (unfortunately closed!) vs their flagship fund and vs competitors (e.g., Winton) is impressive on both an absolute and risk-adjusted basis. A couple of questions arise from this observation: 1. Do you have any advice on accessing less...

Hi GAT, Can you explain the logic behind the assumption of paying mid spreads in transaction costs and not the more conservative (whole) bid/ask spread?

Hi GAT, What is the rationale behind not fitting system parameters, but fitting capital allocation? Is fitting capital allocations not similar to fitting system parameters as it involves the same data snooping biases? How precisely does your methodology differ in determining the capital...

Hi GAT, I did not mean to get into a discussion about exercising discretion over a systematic strategy, but rather hear about the mechanics of strategies in a rising rate environment. There's been a lot of debate about how trend will perform as rates rise, but little debate on carry by itself -...