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A pre-ordered "Unknown Market Wizards" finally came in this morning on my Audible. Barely had time to listen to it yet but went over Marsten Parker's chapter and really enjoyed it. As Jack mentioned, Marsten have been the only purely systematic trader with such a long track record he...

There are few things in systematic trading that become pretty obvious the more you do it, examples: Backtesting over any "single" period of time is pretty meaningless. Probability distribution in financial instruments is not uniform. While there is nothing new here, I often saw people taking...

In my opinion, in systematic trading, right answer to this + right commissions structure, is literally worth a million $ as it makes or breaks a strategy. I can say this much - if you can make your strategy perform with 0.1% slippage on both sides of a trade, there will likely be a way to...

Good points from Mickey, that is certainly a voice of experience speaking. The bigger the better, in general. Unless you are specifically designing a system for some index. With bigger universe you will start seeing bigger outliers and more vicious DD, so your position sizes will likely need...

While can't confirm your math, stocks in general, are not a high leverage instrument because of regulations. They use to be, then Great Depression happen starting off with a biggest stock market decline in history, with leverage, at the very least, greatly contributing. While margin requirements...

As someone who went thru this - happy to help if you guys need it.

To keep myself honest I keep track of every single override and my rationale + make regular review later. Is a habit and part of my process now. The obligation to make that "record" alone makes me want to do this less. When I'm thinking about making any change I also always ask myself something...

In general - yes. To put it simply - the more trades in the sample and the larger the duration you tested over - the better the odds of it working in the future. If you try to achieve both of those while developing a strategy - it will be actually quite difficult to overfit. Also, you want to...

Classic mechanical trader's mistake. I bet it happens even to guys who've been in a business for 20-30 years. There are so many variations of this, some look less obvious than others. For instance - I used discretion to reduce a size by 30% for one of my short systems end of August. It turned...

You certainly don't need AWS / PowerBI / Python / SQL / R for all of that, they are actually often a huge distraction and you're absolutely on a right track spotting that early on and asking those questions. It is likely that there are specialized data providers offering this data and you just...

I have 3 of his books. Which is a huge compliment to the author, as I probably bought few hundred on this topic in total and kept <20. Mostly to see what kind of thing my guests would pick up first when visit :) The rest were sold online with warm wishes of luck to new owners or went straight to...

Did you think of thinking writing your own apps? Some components of automated setup are more or less the same. You basically need: High quality data for backtest High quality backtest A strategy with realistic fill / cost assumptions, not overfit Some way to generate setups you gonna be...

Rob Carver has a journal on ET in case you will like his book. Fully Automated Futures Trading. Howard Bandy has few good books. Mean reversion is the easiest one to understand. The rest I'd say are quite advanced. My own journal where I write about automated trading - Fully Automated Stocks...

I don't believe there is any special support. Though, if you don't require special handling you might just treat them as any other time series. I never tried myself

Thanks for pointing in the right direction. I think that's the key after doing a bit more research on this. I was unaware OTC has multiple venues. Val

Interesting.. It was just weird to see market maker in the exchange field. Thanks for clarifying. I looked deeper at the OTC with the reference db08 provided and can see that they actually have 3 venues: OTCBX, OTCBB, OTC Pink "Blue chips" just not American, ones with regular financials and real...

I'm with IB Pro so I pay per share for everything anyway. IB has IB Lite where they say commissions are 0$. Can't say if that includes OTC. But IB Lite has no API and ability to control execution up to the extend I need.

Appreciate time taken to reply. Is that IB matching orders internally? I couldn't find any information on this when looked online, and have thousands of executions with IB none having that value in exchange field, at least before I launched a strategy that specifically targets low priced...

I stand corrected on execution exchange for LKNCY. Entry was "OTCLNKECN" Exit was OPG with "MM" reported by IB as exchange Not sure what "MM" stands for.. But that might be the key why LKNCY got executed.

For last couple of months I was tapping into low priced stocks and discovering some nuances. A fraction of them are OTC, a fraction of those need to be traded at close to open / close, which normally means OPG/MOC orders with IB. Today I've got an OPG order cancelled in NWBO at 9:30:00 EST with...