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What period of time do trends last for? - as long as they last When should we enter trends? - we gradually enter positions based on the forecast strength When should we exit trends? - and vice versa Should we have a stop loss rule? What is it? - no, there are no binary trades. How do we identify...

Does anybody here happen to have the daily USD-GBP exchange rate going back to 1960, or know where I could get it at reasonable cost? (Quandl doesn't seem to have it going back so far).

I have a question about portfolio bootstrapping. To be clear, I'm using past data to find the weights for instruments in a portfolio that generated the highest Sharpe ratio. The thing is, this can up-weight highly correlated things because they worked over the time sample (e.g. vstoxx/vix)...

@globalarbtrader No Vix/Vstoxx? Anybody here been crazy enough to add the BTC futures?

Yeah, but directional rather than long-short.

Has anybody here tried using one future price series to forecast another? So taking pairs, such as cattle/feeder, or bund/eurooat, and using that relationship?

@globalarbtrader I just wanted to know, what were the consequences of open sourcing pysystemtrade? I'm thinking about open sourcing my system, which goes all the way from quandl through to IB. My hope is that others will use it, improve it and help iron out the bugs. I've never done an open...

It's an interesting thought, and perhaps true, but it's not clear to me why this should be the case. In my backtests, it's clear that TF did very well in the first 20 years of the futures markets. Perhaps a nascent market allowed for prices to move slowly and predictably. Electronic trading...

It doesn't use pysystemtrade, I wrote everything again from scratch (thinking about open sourcing it!). It is integrated with IB. Positions are all live.

That's the answer I was looking for! Thank you! :)

@HobbyTrading ES: It was so tightly correlated with NASDAQ that I figured it was reducing diversification to have both. I tried to get as 'distant' equity indices as possible, so went with NASDAQ, SMI, HSI and Eurostoxx. Thoughts welcome though. GE: Position was closed by the system on Friday...

@algo_fool Yeah, I think it makes up something like 30% of my short risk. Positions today are:

@globalarbtrader : Do you clip forecasts before weighting them? Currently, my vstoxx forecasts are: 'ewmac8': -0.50 'ewmac16': -9.45 'ewmac32': -23.78 'ewmac64': -43.51 'carry': -12.88 I weight them, and then clip them, which gives me a solid -20 overall. Doing it this way improved...

Whether you are buying or selling it depends on the moving average crossover of the recent price data. Target volatility tells you how much to buy, based upon how volatile you want your portfolio to be.

I know this is off topic, but I just wanted to see if anyone here has any experience of writing automated market making strategies?

I'm curious to know what you've been experimenting with. What have you tried? I've experimented with random forests, but got mostly overfitting. Just some background: With the trend following, the fitting of forecast weights is a linear regression. The kalman filter reduces to the EWMA in the...

Is that just a CGT based decision? I would have thought it'd be better to dump the ETF and stay holding the VIX?

It's more in the strategy design and prototyping. For execution we can build something separate.

Cryptocurrencies & their derivatives.

I've built an elaborate trading system in Python that trades once per day, and that works well for me. I'd like to start developing market-making and arbitrage strategies that are much quicker. When I think about what is involved in building such a thing in Python, it's a lot more work than a...