Search results

I am very aware that price distributions aren't log normal. The question is is it close enough for a t-test to give you a reasonable answer over a large enough data set. I don't think a fat tailed distribution will significantly impact your answer if you're just trying to determine whether you...

Couldn't you run your backtest, run your "random" system, capture the distribution of returns and then run some sort of t-test on them to see if the distributions are statistically different? You would probably need to think through how many parameters your system has and what p-value you need...

Looks like he's shorting VXX?

If you have an actual statistical model that leads you to believe it is going to move in a direction you can code up a monte carlo for the option price pretty quickly. Then you'll have some rough idea of advantage and can make a bet. Depending on how good your model is you maybe back off on...

I use Quandl extensively for all my end of day stuff. They have some data sets for options and futures that I find really helpful and have reduced my workload in terms of processing data. For intraday I use InteractiveBrokers.

I work almost entirely in Python.

Linux Ubuntu. Finally pulled the plug on Windows 3 years ago and it was the best move I've made. My laptop got significantly faster.

Thanks. Most of the books on Amazon didn't look great. I have a math background (hard science) so I'll take your recommendation.

What are some of the best books out there for futures calendar spreads and seasonal trades? Thanks, J

I use Zim on Ubuntu...I believe it's similar to One note but is open source. It is lightweight and user friendly. I wouldn't use it as a project management tool for a large scale team with multiple contributers (actual pm software is better there) but it would probably work for what you're...