Search results

I'm occasionally long / short volatility ETFs and it always "feels" like a bad idea if I look at a chart Positions have to be very small. Might consider short hold internals to reduce a risk of getting stuck a prolonged volatility spike Interestingly enough, every single trade in them made...

For those who are interested - RealTest now has its' own forum and there are already handful useful post / discussions. Marsten also posted a RealTest script for Bensdorp's strategies there. He normally runs backtest without compounding which is the case here. Val

Understood! It very interesting to see other traders' entries on the same instruments. As over-time it easy to stop seeing outside of the things we are used to see. Re my own strategies portfolio: With my longs, I had 2 strategies from late last year - Q1 2020 that bumped into each other a...

Not sure what was the best short ticker of the year by number of entries and win %, but I recently noticed Real Crappy Long. 5 short entries since April, 2 different strategies :) That + Just Killing Shorts discussion highlights the nature of systematic trading - outliers will be on both side...

It took a bit to figure out what you meant by Just Killing Shorts :) Agree 100% for systematic strategy. That would be too rare of occurrence also. Another reason - with such extreme outliers the probability of it continuing behaving in an unusual way also increases. It can be traded...

I know what you mean! Kotlin is my personal choice for execution. Literally sleeping better at night knowing my stuff runs on Kotlin vs Java (previously). I find it more difficult to make a mistake there. Null-safety, immutable/more intuitive collections, more expressive syntax and better...

The short strategy that picked up JKS trades full US universe provided there is enough liquidity and movement. I specifically exclude what I consider penny stocks from that strategy as in real life they are often non tradable due to unable to borrow of short or lack of intraday liquidity =...

Some of our strategies are similar conceptually but different enough to lead to very different outcomes. Some are completely unique. The comparison I mentioned is not to see deviations, just a bit of social aspect, to share some pain and to share some joy. Marsten is the only trader I know who...

They do up to an extent. For instance IB will give you 100 real-time subscriptions. In reality they are aggregates few times per second, which might be enough for most people. They also have historical data. But it comes with aggressive throttling because they don't want you to use them as a...

Appreciate it! Hearing that it helps people is probably the biggest reason I keep posting. I wouldn't make too much of it as I haven't discovered any systematic edge based on account equity or strategy performance itself. It always looks like there is something there though, I'd give you that...

After some Saturday morning trading routine, I'm off paddle boarding! Hopefully today will be as nice as the last time. Val

Thought I haven’t really posted individual strategies visuals in a while. Btw, I found and fixed the problem with that made my RealTest equity differ from IB lately, it was a either a silly copy/paste error or a corrupted file as a result of multiple kernel-panics I’ve had over last month while...

Really depends on where you are coming from. If you never backtested anything then most of the time with any tool you will spend on going thru basics of where get your data from, what is sufficient quality, what is sufficient test, what is realistic test etc. After having all my strategies in...

Can't think of any particular book. I suggest to define a criteria of what you call an IPO and "realtest" this universe. You are probably looking for stocks that have started trading under certain number of days and have sufficient liquidity. Val

Just noticed this chart today as a short position in it got closed. Jee.. I can't fathom the amount of speculation going on to create something like that. Val

mhparker is absolutely correct. This is a common miss-conception that you need complex math for this. All the math involved is super basic, basically if you're able to make the right choice between a / b - you're good, where: a. A strategy with 30% win rate and 4:1 win to loss b. A strategy with...

Glad it helps. I like what Pradeep from Stockbee does and been a member in 2014 or so but found myself a bit too distracted by all the chatter going on. So many styles mixed in. Though, on a few occasions I have considered coming back for the social element, and quality of people is certainly...

In addition to what @mhparker mentioned: For EOD data updates and RT market scans I have VM that runs a batch every 30 mins and uploads everything my execution software needs to AWS S3 bucket. Here is how that batch configuration looks like to give you an idea. RT's output is CSV files. Val

At first you need to develop a system. Depending on who you ask - that is the hardest part. You backtest should be solid, data of high quality and trades sample statistically significant. Thousands of trades, preferably across all the market types. Then you need to figure out execution...

Sorry to hear. I could have been on that trade, just not this time.