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Many thanks Bone. But wouldn’t the hedge ratio and chart ratio be different? The hedge ratio would be the monetised volatility of spread 1 / spread 2 but for the chart to make sense would there need to be a multiplier so they were equally weighted on the chart? In the above example even...

Hi all, Please can I get some help in working out spread ratios and price ratios for when 2 markets have completely different tick values or pricing. An example i'm currently struggling with... Both markets have the same tick value and similar volatility. However one is priced around $50 and...

I’m from the U.K. we just had our own election with a crazy Marxist. He got so desperate towards the end he offered something free every day. Offered free broadband, even the other socialists were like ‘err nationalised broadband...I better delete my search history’. Thankfully he got...

Yeah I was actually googling to try and find out what commission rates were back in 70’s and 80’s to see if they compared to $30+ for a 1 lot in futures (I’m a futures guy so wouldn’t even know what the equivalent is in stocks). I guess they have been that expensive before. But even so...

I tend to agree with gkishot. Never say never. Bernie pretty much neck and neck with Biden who is practically senile. Wisdom suggests Trump could beat either of them but it’s Trump. Who knows what he could do to sway the vote for or against him day to day let alone in a year.

Hi I don’t really want to turn this into a political debate. But Sanders (along with a few EU govs) are musing over a financial transaction tax. But does anyone know what that means in terms of costs to us? They just say 0.005% of tax on a transaction for derivatives. So is that of the...

Ah thanks, thats interesting, i think i looked into that but don't think the spread charts are great are they? More just a line produced as a study rather than actually able to open up a specific candlestick/MarketProfile chart of a synthetic spread?

Yeah its only their Integrated Client account that allows for autospreader/backtester (and I think even the ability to chart synthetic spreads) QTrader is just for basic order entry on a couple of markets. Thanks again

Yeah CQG and TT do it but pretty pricey. $4/500 a month plus extra per lot fee. I can pay it if needs be but once you add in the per lot fee could easily cost me a grand a month and if I can avoid that that’s definitely a bonus. Also neither of their backtesters are great IMO.

Cheers ZBZB, thanks for letting me know. Do you know if it allows you to trade ratio spreads automatically or you have to leg into the spread manually? But yeah i need the backtesting functionality ideally too. Thanks

Hi, I'm considering switching accounts to trade through MetaTrader5. I currently do my systematic trading via NinjaTrader but they don't support spreading and I want to automate some synthetic spread trades. NinjaTrader has outstanding customer support. If i email them or post on their forum...

I understand that to mean you assume all market movements are random?

Guess it depends what side of the fence you sit on. I know a couple of guys up close to a million this year mostly trading Trump tweets. Which I guess ties into my question of whether a strategy that reoptimizes regularly starts to adapt to changes in the market such as random spikes off of...

Fair question. But it’s a technique some people use both for robustness testing and also staying on top of the system so it adapts with current markets. Idea is in real world trading you can keep the core system the same but have a short term optimisation regularly to keep the parameters as...

Hi, Thanks for that, good response. Yeah I tested from 2014-2017 to build the system (averaging about 1 trade every other day so lots of samples) and then put the exact same parameters on the same market from 2017 to present and results were actually slightly better. I wanted to use the...

I partly agree and partly don't. I've been a prop trader for 11 years and had massive edges that lasted for years, sometimes went months with barely a losing trade. But I have been discretionary. I'm needing to automate more approaches. So in theory I could automate what i'm doing now.. thus...

Hmm walk-forward optimization is considered a standard methodology in strategy development. Optimization is likely to lead to curve fitting and damages robustness. But walk-forward optimization is actually considered a way to eliminate curve fitting as you are constantly in walk-forward to test...

So you're against all forms of systematic trading/ research?

Hi, Just wondered what your thoughts were on walk forward optimization as a way to test the robustness of a system? I have done conventional walk-forwards, so for example build a systems based on 4 years of data (sample of around 350 trades) and then test that system on the most recent two...

Hi, I've been a professional futures trader for 12 years. I am looking to learn coding for obvious trading/career benefits. My plan so far is learn c# basics via traditional learning methods, but want to get working on trading systems asap. I think the only way i'm going to learn properly is...