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I don't know if this is reliable. My code checks for zero or negative prices, and treats them the same - as an 'untradeable' market. I don't care if a market is closed, or just happens to have no liquidity at that moment. GAT

You're right - it isn't possible. Great experiment by the way. I see a lot of people getting really tied up about the 'correct' value of these things. But it doesn't matter as much as people think. For example if you apply random noise to all your forecasts scalars, such that they're only...

Yes the DAX includes dividends; so the effect doesn't apply. I think the yield on the Eurostoxx is quite high. I guess also there are more firms paying semi-annual dividends (quarterly divis rarer in europe than the US). Thanks for the code tip. Speed isn't a concern with a daily system, but...

Over time Quandl have been backfilling their data. When I first tried to get this from quandl, a couple of years ago, they didn't have any Eurostoxx data. So I had to just use the IB data. At some point I'll add this extra data. The carry 'bumps' are due to the different timing of dividend...

It's probably easier to show you my code. def breakout(x, ws): max_x=pd.rolling_max(x, ws, min_periods=min(len(x),int(ws/2))) min_x=pd.rolling_min(x, ws, min_periods=min(len(x), int(ws/2))) sig=[breakout_one_row(idx, x, max_x, min_x) for idx in range(len(x.index))]...

if you have a novel rule you might not know what the scale should be (it's not always possible to work it out without using data) GAT

I've just added the ability to estimate forecast scalars to pysystemtrade. So rather than a fixed scalar specified in the config you can let the code estimate a time series of what the scalar should be. http://qoppac.blogspot.co.uk/2016/01/pysystemtrader-estimated-forecast.html GAT

I've now added the ability to estimate forecast scalars using a rolling window to the code for pysystemtrade. GAT

Delta hedging perhaps not so important... the other value is if the option moves well into the money, and then back again before expiry, you won't have captured that vol and you'll lose the premium. GAT

About 4K was Oil, but there was more to it than that. Here are yesterdays moves, fifth column is move in standard deviation terms, next column is my signal: Headline chanages: (norm price change>1 sigma) code last_price datetime_last_price last_norm_return rawsignal rawsigchange...

Both open and close

It is completely arbitrary. Doesn't matter as long as it is consistent across different trading rules

Finished up just over 30K or 7.6% (I stop measuring my p&l after 7:05pm my time). Slight pullback from HWM set an hour ago. About a 3.5 standard deviation day. Good weekend to all. GAT

This is insane. I'm up 8% today (snapshot as of 15 minutes ago). If this holds will be my best every day (as a percentage versus vol target; might have pulled bigger dollar numbers in 2014 when I was running more risk) GAT

Probably the exchange and strike respectively. But I hope someone else can tell you for sure as I don't trade these

I use correlations in two ways: - calculate IDM on an expanding window way - in a bootstrap framework to calculate instrument weights For the former I'm using an exponentially weighted MA correlation estimate with a lookback of maybe a few years, with let's say a minimum period of 250 days...

It's just a Z score x= Carry_instrument - Avg_carry_asset_class x = x / std_deviation (x) x = x * 10 GAT

It's just a definitional thing. The one listed in wikipedia will have a range of 0 to 100. So anything below 50 is short. Mine has a range (after scaling) of -20 to +20. I like my shorts to be negative numbers. GAT

I've since found out that what I call 'breakout' is referred to as 'stochastic' by the TA crowd (see earlier message on this thread). So for an L day lookback my forecast would be EWMA with an L/4 smooth of ([ x_t - (x_average)] / [x_range] ) where x_t is current price, x_range is x_high -...

Good news I managed to reconfigure my tax calculation to do this. So for the last tax year (which was unusually good in terms of performance) at least the figures are 45% win rate, 1.92 win:loss rate. GAT