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It's not even a regression haha. They only compare 2 price point (t and t-261) and rebalance at a monthly interval. For each instrument, they assume annualized vol of 40%. There's no vol control at portfolio level. And it ticks me that such a simple model with 30 lines of code is better than the...

2 GB of memory is insufficient for me, I sometimes encounter some memory leak issue in IB gateway that eats up my memory: java.lang.OutOfMemoryError: Java heap space. Rather than figuring out the cause (doesnt affect pnl of my strategies anw), I just allocate more memory to IB gateway and reset...

@globalarbtrader Could I check with you - when you develop your trend following strategy in futures. Do you consciously compare your results against the Time Series Momentum (TSMOM) 1 year lookback factor developed by AQR...

You can consider using it to collect tick by tick options chain data. Those cost a bomb when you purchase it from vendors.

For fat tail- high kurtosis strategies, trade small. Use fix bets and dont compound your profits.

This backup seems like an overkill. haha!

Martingale is a strategy with positive expected value - BUT only if you have infinite capital. Standard deviation of returns stream is enormous and gory. Some post I wrote couple of years ago, https://jironghuang.github.io/post/martingale-strategy/

Well diversified portfolio all day long. First across asset classes, then strategies. Only free lunch to bring up your risk-adjusted returns. And with leverage applied, you can bring up your absolute returns.

@globalarbtrader @test_user I came across Ernest Chan material on carry/roll returns as a predictor. Instead of using adjacent contract, he carried out regression (on daily basis) across term structure to extract the slope. Would this be a better and more robust approach? Jr

Was mucking around last time. Wonder if this helps. Under strategy class, define the method. Then below, add a prefix of req (check against official API page). I'm unfamiliar with order book depth stuff; you have to explore. # Import necessary libraries from ibapi.client import EClient from...

I believe the official API is also asynchronous. And you have to comb through their official API pages to figure out all the overriding stuff. ib_insync - you can use it in a non asynchronous manner. For me, I'm not running tick by tick algos, so I'm using cron jobs to trigger the various...

For 1 of my strategies, US dollar ate up 40% of my absolute returns and 50% of my risk-adjusted returns from September. I decided to hedge my foreign exposure to US dollars.

ib_isync package is multiple times easier to use.

Backtest, carry out simulations using monte carlo, boostrapping. Deploy it in paper account for a period of time and monitor performance. If performance looks fine, proceed to deploy and continue to monitor for any signs of strategy decay (you can use Kolmogorov-Smirnov Goodness-of-Fit Test for...

Good equity curve. But be careful of overfitting. Try to introduce uncertainty into your backtest by introducing monte carlo simulations, bootstrapping, block bootstrapping. Next carry out walk forward or expanding window backtesting. And average or weight different trading rules for robust...

Out of topic here. How do you guys cope with IB server outage? like today! My IB gateway can't seem to retrieve data and place orders.

Managed to liquidate my straddle manually. My automated strategy can't retrieve data thru IB gateway. gasp!!!

I must admit that I'm not well verse in HFT area. How about trained models which just read in data and carry out scoring only? There may be algorithms with high time and space complexity for training but not for the scoring portion.

As an algo trader (with academic background in Economics, Stats, Finance and Comp Science), I steer away from AI techniques. From what I gathered and heard, AI may work in HFT order book area but not in slow to medium term trading. Ernest Chan, who once worked in IBM Watsons team steered away...

@globalarbtrader Thanks for the update. I'm 'greedy' - would love to see 3rd, 4th, 5th and 1st book in that order of preference Personally, I'm not a fan of quantopian and quantconnect type of platforms (& zipline package). Perhaps I'm not skilled enough but I find it really hard to customize...