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Todays trades code contractid filled_datetime filledtrade filledprice 2913 AUD 201506 2015-03-10 06:52:56 -3 0.760800 2919 BOBL 201506 2015-03-10 07:39:31 1 129.310000 2924 CAC 201503 2015-03-10 11:27:32 -1...

Correct, about the training. But I'm not sure it gives me an edge. There is nothing I do which couldn't be reconstructed from publically available information. I have almost no secret signals. I say almost because there a couple of things I'm doing which were proprietrary to my former...

In order: Realised volatlility versus expectations Costs versus expectations Skew, and related statistics like average gain to loss. Last, and least, Sharpe Ratio; as over short periods of time this has the largest variance.

I think there are two answers to this question. Firstly why do most people do it, and secondly why do I do it? For most people; trading is seen as: - a profession (business? lifestyle? hobby?) requiring little start up capital (wrong, in my opinion, unless you have another source of income) -...

I guess its down to where you come from. Many people I used to work with were rocket scientists or particle physicists, toting phds in maths and physics. For them its a valid question, why not this rather than Higgs Boson? Academically my subject was economics, and my maths is just about up to...

I'd never heard of that performance metric until just now. Googling it seems to be defined as gross profits over gross losses. Since I don't track individual 'bets' as such I can only do this in terms of days (I'm also not sure what 'gross' means). So I calculated the sum of profits achieved on...

I'm trading fully systematically so my context will be different to many. It's about 20% for the money, and 80% for the fact I find 'it' interesting, where 'it' is a combination of research, software engineering and a fascination for the markets. Only 20% for the money because I would be okay...

Todays trades Trades take 1 code contractid filled_datetime filledtrade filledprice 2892 ASX 201503 2015-03-09 02:14:43 -1 5813.00000 2891 AUS3 201503 2015-03-09 02:39:17 -2 98.02000 2890 AUSSTIR 201606 2015-03-09 02:39:01...

Trades code contractid filled_datetime filledtrade filledprice 2884 AEX 201503 2015-03-06 08:02:31 -1 488.15000 2878 ASX 201503 2015-03-06 01:00:49 -2 5870.00000 2881 AUS10 201503 2015-03-06 01:14:04 -1 97.40500 2880...

About 33% of capital. Yes, 1983 is the biggest; though there are only 4 markets with data then. The first interesting drawdown is 1994 (Fed tightening, particularly hits fixed income. Could have been worse, I guess it was for Orange county...).

Here you go. Although its .txt extension, its actually csv (ET won't let me upload .csv files). Missing data is blank. Each return is based on its contribution to my system. So if you want to use them in isolation you'll need to adjust them so they have the same volatility, unless you use...

Yesterdays trades: Trades take 1 code contractid filled_datetime filledtrade filledprice 2851 AEX 201503 2015-03-05 08:04:21 1 485.050000 2855 AEX 201503 2015-03-05 12:26:36 -1 488.650000 2852 BOBL 201506 2015-03-05 12:09:07...

Don't you think this is a form of overfitting / curvefitting?

Yes, no problem, but it might take me a couple of days to organise myself.

1) The EURUSD IMM future is the thing that worries me the least about the Euro breakup. Nearly all the volume is in the nearest contract. I assume we'd have at least 3 months warning of a complete Euro breakup, so no problem. If I was worried about the Euro vanishing it would be about the much...

I've finally got round to producing a new backtest which can be found here The bottom line is that the last year has indeed been exceptionally good, versus a realistic long run back tested Sharpe of 0.88. 2009, 2011 - 2013 are flat. However 2010 is more interesting, as my backtest made some...

code contractid filled_datetime filledtrade filledprice 2849 AEX 201503 2015-03-04 08:02:38 -1 481.250000 2848 AUSSTIR 201603 2015-03-04 02:34:45 -1 97.980000 2850 US5 201506 2015-03-04 14:20:22 -1 118.867188 Slippage in GBP...

To add a slightly different spin on this fascinating issue, I think there are several key questions. First question is, are you trying to predict volatility or direction? Second question, how is implied volatility priced? Thirdly, how comfortable are you with stop losses. Assuming you have no...

Trades yesteday code contractid filled_datetime filledtrade filledprice 2846 BTP 201506 2015-03-03 07:32:43 1 139.19 2845 KR3 201503 2015-03-03 02:02:01 1 108.69 Slippage in GBP, for entire trade code gbpt_slippage_process...

Yesterdays trades code contractid filled_datetime filledtrade filledprice 2838 BOBL 201506 2015-03-02 07:32:43 3 129.33 2839 BTP 201503 2015-03-02 07:31:57 -2 141.16 2843 BTP 201506 2015-03-02 07:44:18 1 139.49 2840...