Search results

I would agree with others who pointed out - backtesting manually is a good start. Literally going bar by bar and trying to apply your rules systematically. Figuring out if your rules are complete and precise enough, or too naive. Taking notes, wiring down your observations. That will give you an...

Python is a general purpose programming language. Any general programming language (such as Python, Java, C++, ...) will be worse for non-programmer than specialize one created specifically for describing strategies testing scenarios. AmiBroker created "AFL" language with the intention of...

The screenshot is not AmiBroker. This software is called "RealTest". It is not currently "easily" available to public, but if you really like the idea - try to contact the developer and see if he can give early access - https://mhptrading.com/realtest/ AB, on the other hand is available to...

As a generic choice - AmiBroker is not too difficult is a very popular one. If you keep your strategies reasonably simple, AFL (their programming language) is not too hard to use. You can find a lot of examples of trading strategies scripts to help you understand how to achieve what you want...

Aug 19th update over last 2 weeks: Last week account touched a new high. Didn't check balance since. Out of individual trades shorts in GSX and KODK were biggest winners. There were plenty of smaller ones. Surprisingly, "trend-following" shorts are not getting destroyed as market hits new...

On overly competitive markets - in "Dark Pools" there is a story how Thomas Peterffy, who some consider a father of electronic trader but widely known as founder of Interactive Brokers, pulled out of ISLAND in late 90-ies. When ISLAND contacted him to see why, his answer was - because I don't...

Yes, it will change as your net worth increases. Today, you are thinking of 100$ as hell lot of Mr Nuddles packages, when you start making few thousands a month that will become a difference between TV channels per month or your cell phone plan choice. Then a 1000$ as a difference between...

I find William Eckhardt's answer from the Market Wizards' to be fairly accurate. When asked what he thinks about people selling systems his answers was something like - I tried about 50 and none of them had any value. Then he added - well, one had a component which I was able to use for some...

5% does not sounds like a universal limit on their server side as I routinely push orders thru with greater % LMT that this and not facing those problems. Unless you are talking about a single instrument, their limits will be dynamic and depend on market volatility + few other things. Try to...

When drawdown is x2 of your worst backtest

Awesome! One more reason for me to keep posting Btw, I'm pretty open to ideas to what next posts should be about. Feel free to share your story here if you're doing something similar!

Here you go @traider The way I calculated was - I've extracted equity $ per strategy for each date this year and used Google Sheet's CORREL formula for whole data series for each strategy against SPX equity (assuming it was 100% invested). Val

I had MFA turned off for algo account. It has been a tough choice but it is not as bad is it sounds. Since MFA is still required for any withdrawals or account management.

IB restarts are certainly annoying. I automated bringing it back up with "docker" setup. In this case each app in your trading stack runs in a small lightweight "vm" called a container and you define a health criteria. Let's say if there is no IB's java process inside of container anymore docker...

No worries. I thought it is a right time and wanted to express my opinion about this. This is mostly short borrowing costs as I hold most shorts overnight. It is really just a cost of doing business. All the PL I post is is after commissions and interest so it is well worth it. I also factor...

It is really whatever you want. It might help to think about it as - to achieve a fully automated trading you need (a) very formally defined strategy (b) software to be able to execute it live. "a" is normally what is called an algo. You can have just "a" and trade of its' recommendations...

You are right. My guess would be whatever an increased margin reqs is in effect that would have similar effect as you're describing. But I could be wrong.

It is not about about "high" price. NVAX is a biotech, lots of them them will have special margin requirements. Because they move like crazy on news. Look at ICPT in 2014. I'm guessing OSTK - because it has crazy volatility, it moves like 10% per day. Once correction starts it will lose 30% in...

I think single number like that can be very deceiving so I haven't done this so far. I do look at correlations but it is very visual analysis which I can try explain if that is of interest. With stocks there will be periods (typically high market volatility) when most longs will be highly...

Total PL for the year per strategy? Or some sort of visual version of the time?