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everything in italics in my post was a quote from the original source, http://globalslant.com/2015/06/black-box-trading-why-they-all-blow-up/ So you'd have to ask him for the link I guess GAT

Depends on the model. A high frequency model with holding periods of less than a second will probably work for a few months at best (although providing liquidity to the market will always pay). But there is tons of data to refit it regularly. A low frequency model with holding periods of weeks...

Option prices are driven by supply and demand for options. Implied vol backed out from that. So it's less about a calculation, or a forecast, and more about the whims of the option market . That's why if you use the simplest possible forecast (realised vol will remain where it is now) you'll...

Let's be clear this article is referring specifically to models which try to be hedged / neutral to a large variety of weird risk factors; not to all automated / systematic trading. I don't believe there is anything wrong with those models, but: I recently listened to a podcast with some...

You're right I can't easily do this because I don't have "trades". The continous position sizing problem occurs at both the trading rule and portfolio level. I'd need to write some quite involved code to map my changing positions into discrete trades. I might do this at some point, but since...

First of all I assume that test3_IB works okay ( you should always check the official test code works before trying to modify it yourself). It would probably be be easier if you started with the test code and modified it rather than writing your own from scratch. You must be missing some code...

I doubt you'll get a reply to this. Certainly not from me. Most of the questions you put on ET would be better answered by consulting google, or posted on something like stackexchange (make sure you use the search function though. They're very hot on people not repeating questions). This is a...

There is no statistically significant difference in performance between the three GAT

Oh yeah I have a smooth as well EWMA look back varies with window size

That sounds good. I use a slightly different approach. I take the price range (min/max) from the last N days (depending on the speed of the system) and then normalise the current price within that range. This gives me a number between -20 (current price is at the bottom of the recent historical...

For your second question tws_conn.reqAccountUpdates(False,'DU15211') GAT

Not as far as I know. Weird you can install ibpy but not swgibpy GAT

Like I said I don't use Ibpy, so this was a punt. If you're willing to switch to swigibpy then you can, as I said, get a complete working example from here http://qoppac.blogspot.co.uk/2014/05/getting-accounting-data-out-of.html. That also means if you have any other problems then I can probably...

I don't know ibpy works, but in swigibpy you'd need to do this: Instead of: def updateAccountValue(self, key, value, currency, accountName): showmessage('updateAccountValue', vars()) you'd have updateAccountValue(self, key, value, currency, accountName)...

I wouldn't say last year was a bad year; in terms of SR at a fraction under 1.0 it was pretty much in line with backtested expectations. Just not as insanely good as 2014. (I also note that there are plenty of people on this site for whom making a 'mere' 24% would be a pathetic year) I've got...

Monthly update. Last one was December 5th Up 7.2% of capital or 29K. I got a new HWM towards the end of last month. No nice picture this month due to technical issues. Drawdown 1.7% off new HWM Actually quite a 'quiet' month in terms of p&l, with about half the gain of last month, despite...

No..... my book includes NO python code! Quantstart is the best reference for ibpy. Alternatively if you want to use swigibpy then you can check out my blog http://qoppac.blogspot.co.uk/p/code.html (ibswigsystematicexamples). It might be that you can adapt the code in...

Perhaps. But having already 'made one of my own', and since plenty of people asked me to release it into the wild, it seemed like no extra work to do so GAT

I'll do a proper monthly review on 5th January, but in case you're interested here is my 2015: +24% Big winners: Gold 2% AEX 2.1% BTP 2.2% Copper 2.5% MXP 2.5% Crude 4% Platinum 4.3% Palladium 4.5% Gas 5.4% Big Losers: GBP -2.4% Leanhogs -2.5% SMI -3.3% GAT