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It's a very difficult one. To get anything like a straight answer is probably going to involve hiring a very expensive accountant, and that would just get you an opinion. Don't forget that we are a small group. The vast majority of retail clients who use derivatives spreadbet. That just leaves...

They're not really 'articles' are they, its an advert for a trading system. The account curve shown is for simulated, not real, results; although this isn't clear from reading the page. This in itself is a big red flag.

What is your typical average holding period? If more than a week, no need to automate. I could run my system off a spreadsheet. But I'm too lazy to do the trading myself. If less than a week, are you convinced you make money after costs/slippage trading that quickly?

Not really. Its a stat I look at, but not part of the formal design. I'm looking for all the characteristics of a positive skew, momentum style, strategy: positive skew (obviously) ratio of average profit week: average loss week over 1 (not day, as MTM makes it too noisy) compared to zero...

Well the multibillion dollar fund I used to work at used, in the seven years I was there, used Matlab for the equity neutral system and in succession a proprietary language, S-Plus, R and Python for the futures system. So that is one data point. I know of a few other funds using Python or...

Trades code contractid filled_datetime filledtrade filledprice 3034 ASX 201506 2015-03-20 01:49:56 1 5967.000000 3052 BUND 201506 2015-03-20 16:28:05 1 158.760000 3046 CORN 201512 2015-03-20 15:07:18 1 404.750000 3051...

http://www.elitetrader.com/et/index.php?threads/interactive-brokers-api-wishlist.290380/ This is a cross post. Please reply on the original thread.

Published today on my blog: As regular readers know I use interactive brokers (IB) to run an automated futures trading system. Now in many ways IB are great. They have several huge plus points compared to most other brokers: Uniquely (?) they offer an API that allows you to build your own...

Really nice write up of this on bloomberg.

Todays trades code contractid filled_datetime filledtrade filledprice 3023 AUS3 201506 2015-03-19 02:35:05 1 98.280000 3030 BOBL 201506 2015-03-19 14:44:25 1 129.400000 3027 CRUDE_W 201512 2015-03-19 12:14:04 1...

You could trade futures. However the contract size is CAD100,000. So if you want to hedge in 1/4 account increments your account needs to be at least 400,000. The other problem with this is you're effectively taking on some extra risk. Depending on your broker you might need to stump up margin...

I can think of only one other site I bookmarked when I was doing my initial research: quantstart which uses IBPy http://www.quantstart.com/articles/Using-Python-IBPy-and-the-Interactive-Brokers-API-to-Automate-Trades

Todays trades code contractid filled_datetime filledtrade filledprice 3008 AUD 201506 2015-03-18 06:27:30 -1 0.75690 3012 AUD 201506 2015-03-18 16:23:36 1 0.76090 3018 AUD 201506 2015-03-18 19:24:55 1...

Things I consider when deciding which contract to trade are: - liquidity (open interest, volume, ) - volatility (higher is better, as reduces trading costs). - contango/backwardation - seasonal effects The right answer will be different depending on the market, and you're trading style...

There is such a thing as a symmetrical moving average - you just defined it. Formally, if it's time T in the past, and we want a 100 wide interval for our moving average, we take the average of the periods T-50 to T+50. Obviously you can't use such a thing when building a trading system.... or...

Todays trades code contractid filled_datetime filledtrade filledprice 3005 BOBL 201506 2015-03-17 14:39:47 -1 129.050 3002 BTP 201506 2015-03-17 11:21:05 -1 140.840 2998 FTSE 201503 2015-03-17 10:11:16 2...

Are you talking about individual stocks, or 'the market as a whole' (eg trend following the S&P 500 index)?

I don't think we can dispute that trends existed, and still exist. We can look at a dozen charts that will show strong trends over time. What the papers purport to do, and is a harder question to answer, is to whether the trends can be captured (and I think we need to capture them using a...

Sure trends have existed for 100 years (https://www.efficient.com/pdfs/A_Century_of_Evidence_on_Trend-Following_Investing.pdf), 200 years (https://www.cfm.fr/pdf/financial_market/Two_centuries_of_trend_following.pdf) I think idiotic is a bit strong. Every now and then trend following appears to...

I did this exercise a few months ago (7th January to be precise). The goal was to put together a cross asset class, low risk, portfolio that could then be leveraged. So there are no leveraged ETF's, but the portfolio itself should be leverage friendly for margin traders. It's very UK centric...