Search results

https://qoppac.blogspot.com/2020/02/what-is-right-way-to-set-stop-losses.html GAT

That's nice but I don't really have time to verify your system for you Rob

Again would be very helpful if your plot had an x-axis on it... https://photos.app.goo.gl/jZz39sqeNXJTA64X9

"NY Harbor ULSD" is probably the least helpful description of an instrument I've ever seen... apparently it's heating oil. I wish people would just give the name of the instrument rather than these cryptic codes. My codes for these markets are HEATOIL and GASOILINE. Anyway yes they both make...

What are HO and RB? Rob

Hi I'm happy to keep doing your maths for you, but I will have to charge you for the time I am spending on these queries. Since I'm a nice guy I will give you a discount on my normal consultancy rate, and I'll charge you just $496 per hour. If that's okay, please DM me with further questions...

I forgot to divide the spread by 2. Sheet is correct. Use the formula in the sheet for the spread rather than overwriting it by hand Rob

Spread is obviously wrong should be 0.04 % transaction cost 0.04/110 is 0.036% Vol normalised tc 0.036/8.7=0.004 Rob

Oh wow I have a free open source trading strategy wtih 1.7 million lines of code, so I guess I should be charging 1000*1700/5.5 = $305k for it :-) GAT

image not found Rob

I'm not sure that's really optimisation, we're talking about some kind of parameter fitting process I think. I run a daily optimisation to determine what trades I should do, but the parameters that control the forecasts which dictate those trades are never optimised. So I answered 'never'. The...

Some classic books but not a single one on trading

Yes always 1's on the diagonal, or it ain't a correlation matrix anymore Rob

Yes when I say 'independent' I mean all off diagonals are 0, so yes that would be the identity. I do sometimes use the average correlation when I'm trying to do a more robust optimisation, but for this use case we want something closer to 0. Yes addition for matricies is element by element...

Python IB API via ib_insync Home grown strategy code https://github.com/robcarver17/pysystemtrade GAT

OK so you're using the provided AFTS code and not pysystemtrade. You have to shrink the correlation matrix (see https://qoppac.blogspot.com/2021/11/mr-greedy-and-tale-of-minimum-tracking.html) " Essentially, once I started examining the results of my optimisation more carefully, I realised...

Not exactly what you mean by a negative covariance? Rob

Costs are correct. NASDAQ is a cheap market - tight spread, highish vol. Costs 0.00018 in SR units (hope you can work that out as a %) to trade NASDAQ futures per trade, so less than half what you have here. Note that with zero commission, minimum capital size does not affect costs. Rob

Right... are you sure that trading is the right option for you? Because without being rude, this is very elementary stuff. In the UK it's covered at the age of 10 years old. It's also a question that could be answered with a basic google search, so I feel like you are wasting my time here.... Rob

There aren't cash markets for STIR. Think about it how can you trade euribor 'cash'? What even does that even mean? For the bonds there are cash markets but not ones that really can be accessible by retail (There aren't really cash markets that retail investors can access in most futures) What...