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A few hours paper trading doesn't tell you anything. It's one roll of a dice in a series of tens of thousands. Trading with much lower leverage for say 6 months seems sensible to me.

Well there is good and bad here. Betting less often will reduce your standard deviation of returns - for a given trade size. But if you increase your trade size then you'll cancel that out. So it sounds like you're still running with too much risk, and that you haven't cut your risk in line...

Could be the classic scam: Open 64 IB accounts running different trading systems, with negative correlation Wait a month. Close the ~32 accounts that have lost money Wait a month. Close the ~16 accounts that have lost money ..... After ~7 months you have one account that's traded perfectly...

I've toyed with it. There are weak mean reverting effects in some models, the emphasis being weak. I'm very uncomfortable with it, due to the explosion in the likelihood of overfitting. Make it simple suppose there are two 'states' in the market, where different models are profitable. You...

I've said this before I will say it again. Judging by the size of your cumulative losses you are running too much risk, and are continuing to do so. This concerns me much more than the size of your drawdown. The longer this goes on the more chance you'll end up blowing up. You should be...

See here. This is a cross post, please discuss at the other place.

New post on futures rolling (cross post, please discuss at the other place).

Applies to all futures, but this place seems as good as any. Trading futures has one fairly substantial complication compared to many other assets. You can't just buy 'the CME Gold future'. There is no such thing. You need to select which delivery date future you are trading. Do you want to...

Obviously it depends on the level of the tax, your average holding period and your leverage (which in turn will depend on your appetite for risk, as well as the kind of assets you are holding). At 0.5% or 1%, clearly you have no chance. At 0.01%, which is the level we were looking at, it's...

It wouldn't be the size of the drawdown that bothered me now, but the speed you are losing money. This suggests you have very high risk (much scarier than a high drawdown). How does your loss over the last week compare with back-test, expectation or your experience since you started?

Ex-firm, I left 18 months ago. Mostly trend following; average holding period around a month.

People would find a way round it. We have a 0.5% FTT on UK shares. It's called stamp duty. So nobody day trades the underlying shares. They use derivatives - retail customers mainly use spread bets, and institutions CFD's. You'd expect the government to slap the FTT on derivatives as well...

+1 This is a great rule of thumb, especially if you don't have a long backtest to draw on. If it makes you feel better I'm currently in a 16.7% drawdown, but my vol target is 25% annualised, so I'd only be concerned at eithier a drawdown in the 33% (from simulation) to 37.5% range.

1. I trade the most diversified portfolio I can given the capital I have. In terms of choosing which instruments in which asset classes I look at costs, diversification, cost of data, volatility, liquidity and minimum size. So for example I don't trade gilts because of the data cost. I don't...

Report since April 25th Market moves: Well in case you've had your head in the sand it's been quite exciting (http://www.bloomberg.com/news/articles/2015-05-06/there-have-been-some-big-mysterious-moves-in-markets-lately) The rout in European bonds continues with OAT and BUND really hard hit...

(This post doesn't form part of this thread, but I will be perma-linking to it from other posts to save time and hassle) I don't feed trolls. So if you see a reply to my posts that I've ignored, its because I've ignored that poster entirely (so I literally won't see anything they write on...

I don't understand why everyone is so down on libraries, and having to load them to do anything. Theres no free lunch. You can eitheir: a) Have a bloated core which does everything, but you then have to load XXX MB of crud just to write hello world b) Have a lightweight core and then have to...

It only comes with more risks if you leverage up because you think your risk is lower due to diversification across asset classes. Nobody is forcing you to do that. You could "bank" the lower volatility, and end up getting the same return with less risk, rather than the same risk with more...

For a systematic trader I don't think there is any question that trading multiple asset classes is better, as there isn't likely to be enough difference in your expected performance between assets, than you'll gain from diversification. Let me ask myself a question. Lets suppose I have a system...

Well I'm glad that you got it to work. But you've ended up with some real ugly code there (your code is so ugly..... pick your own punchline http://www.jokes4us.com/yomamajokes/yomamasouglyjokes.html). Hope you, or someone else, never has to debug it.