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@globalarbtrader has published a couple of excellent books. Implementing his ideas would likely get you a Sharpe ratio of ~1: you won't get rich but do better than the vast majority of retail traders. With no investors to stop you out at the bottom, you can run e.g. 20% vol and compound quite...

Thank you all - I didn't realise end of month settled 15 minutes early!

Hello, confused about something. The settlement price on 30Nov for the Dec contract is 2648. Yet as per: https://www.cmegroup.com/confluence/display/EPICSANDBOX/Standard+and+Poors+500+Futures the settlement price is the VWAP of trades done between 3.14.30 and 3.15.00pm CET. If I plot the...

I actually like no1: It has more trades so less chance of overfitting and easier to observe that forward testing matches backtesting. The ratio of winning trades to losing trades is lower, again this gives me comfort there's less overfitting. The backtested drawdown is longer so you'll be...

On any short time frame (say less than a week), mechanical is, in my opinion, superior and has already won. It's not that machines are so much smarter than humans - but I don't know of many humans who are able to trade the same way every day. It can be personal issues, health, too much coffee...

Linux Mint with Cinnamon best option if you're coming from Windows background and want to be hassle free. As someone mentioned earlier - Linux distros ship in with open JDK which is open-source Java and doesn't play well with some versions of TWS. You need to install Oracle Java and make it...

Yeah it works, and as mentioned before the key is consistency. Say your PnL = F(X1...Xn, C) with X your parameters and C your cost. I'd first set C=0 and test different X1...Xn. Take the top performers (making a ton of money) and the bottom performers (losing a ton of money). Retest the former...

I would say it depends on your timescale and style. I do a lot of mean-reversion / contrarian trades, and I find that if things don't rebound quickly, they never will, so I do use some time stops. For trend following strategies I probably wouldn't use them.

I think scalability is a major issue - there are very few markets where you can deploy the kind of cash that trend followers now have, so they all end up chasing the same markets. One, the correlation between funds increases. Two, you get a higher chance that none of the markets they trade...

Two considerations: 1/Instruments you'll trade. Take equity index futures. CFD you often get raped on bid/offer which limits the type of strategies you can use. But on exchange one S&P e-mini contract is worth ~$200k and you usually have to deposit at least $10k to trade it. So in general you...

maybe also post the TWS API group at groups.io

Anaconda installation will come with everything you need, the main package for data analysis is pandas. People tend to script with iPython which is handy for small projects. There are various backtesting libraries such as https://github.com/robcarver17/pysystemtrade or http://www.zipline.io/...

What I also like doing is using several different data feeds - there are subtle differences between providers and you want to make sure your results are close no matter what data you use. But in the end I've come to the conclusion the only real test is with real money... forget paper accounts...

I think you'll save yourself time by learning Python (with pandas library). Syntax extremely similar to Matlab and you'll find countless existing trading libraries to guide you.

Historical data is downloaded once on your computer - you can select the source you want, but given it runs locally it will be fast anyway. As for an example - if you look at the structure or Metatrader "expert agents" it will give you an idea of how things work, or you can look for Moving...

I think it's great work. Have you tried different currency pairs? That would effectively be a clean out-of-sample backtest. Would running the system in parallel with different pairs lower the volatility? Also there's a margin between 10k and $1m.... If you can convince 2 people to invest 50k...

Just curious what people think of these kind of ads: https://uk.linkedin.com/jobs/view/262204610 I've seen many of these, asking for live P&L track record with Sharpe 3+. Now - in my own experience it's very hard to have Sharpe significantly higher than 1.5 over the long term when trading real...

@globalarbtrader you make good points as always but I'm surprised you need that much specs for a trading machine. I use a Linode with 4GB memory and 48GB SSD for $20 a month, and it easily handles day to day trading across multiple securities, guarantees 24/7 connectivity, easy remote...

Someone at IB was kind enough to spend some time explaining me how things work. It seems quite complicated, this is my recollection / understanding, do not rely on it. It applies to US and UK accounts. 1/Does it help owning bonds vs owning cash: only to the extent you are covered by the SIPC...

Thanks a lot for your replies! @Sig and @Tim Smith : does it matter if your margin account is actually levered? Say you have a 200k margin account, you buy 100k of AAA bonds, IB "charges" you 25k margin on your 100k purchase. You have no other position. They fail, is the 100k bond you own any...