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They use python, and you wouldn't get very far using them unless you knew python

Cross post http://www.elitetrader.com/et/index.php?threads/oh-no-not-another-python-backtester.296589/

There are already many python packages where you can back test trading strategies. Some of them also include a framework for automatic execution and complete position management. I can't give an exhaustive list but I'll pick out: - Quantopian's zipline - BT - pythalesians - pyalgotrade...

That's a very interesting couple of pictures, thank you for posting them. In theory the risk contribution from an asset class will be proportional to the strength of the forecast. So if interest rates are contributing a lot it suggests they've had strong forecasts. 50% seems, high but of...

I promised I would update you on what happened with HMRC. Sorry for the delay. So I put in my tax return assuming all my profits would be classed under CGT rules. This was my only income apart from some dividends that I also received (that were less than 10% of my income). The reason I did this...

This is fun: http://www.southampton.ac.uk/~sjc/raspberrypi/ I do wonder if this is really a cost effective thing to do (though fun no doubt). Think back to the early days of google, I wonder if a better approach might be to just source loads of old computers (you can pick them up for peanuts)...

Yes that's why you should use end of day prices of futures to calculate carry even if you trade on intraday prices

With Z16 I would use U16 for carry For Sp500 I use the next contact - but spot is better if you can get a synchronised price. GAT

Flattery will get you everywhere I spent 4 years doing that (Formally its global tactical asset allocation.), and then 3 years on the fixed income side. Mostly it was taking ideas from economic theory and trying to apply them. So for example you have things like PPP in currencies (google it...

History. Back in the day, I only traded individual equities, UK only. This was before ETF's really took off here, and I'd always been interested in equities right from when I got interested in finance around the time of the dot com thing (funny that). Then once I was working in a CTA I couldn't...

I trade stocks with a very non quant approach (essentially value though). I basically buy things that look cheap on a number of metrics, and then hold them forever, with very occasional selling to optimise capital gains tax. Yes in theory long:short cash equities would complement trend...

No,it's usually a bit more complicated than that. Take a desk trading corporate bonds. They'd be paid for bookrunning (essentially taking pricing risk away from the issuer). They'd be paid for market making (essentially taking liquidity risk out of the market, for a price). They'd be able to...

You're right. That's why I use a slightly more complex method; but it is a bit involved to include in the book. I'll blog about it some day. Agree with the nightmare. I have a lot of controls to limit the damage; for example I can't trade more than 5 wheat contracts a day. GAT

No it's really a sell and a buy. In chapter 11 I describe how you wouldn't change your position unless the rounded position has moved by more than 10%. I use something similar to that, which has a similar effect. I trade based on daily prices, but using the last price in day. Since I sample...

$200 million (revenue i.e. gross trading profit; before salaries, bonus, infrastructure, back office and corporate overhead) Eight people GAT

Apart from Jim Simons. And David Shaw. And Cliff Asness. I could go on... Come late to this thread, but heres my 2 cents. Do you believe the past will repeat in the future? Most trades seem to operate on this assumption. All technical traders do (by technical I mean anyone who analyses prices...

Extreme values of momentum don't translate into larger trends (think - dead cat bounce) I use a simple cap to get round this. However AHL use something where larger signals are actually downweighted. The blue line shows the original signal; the red line applying the response function. Note...

Monthly update: Last one was November 4th Up 12% of capital, or around £48K Last month: Longer term: Well up to yesterday I was looking forward to telling you what a f**** genius I was, and actually posting at a HWM level for a change. Then Mr Draghi opened his big mouth and I dropped...

I certainly wasn't responsible for writing it, as I am not by any means a professional programmer! But I probably did do some beta testing of a very early version (it wasnt called arctic then, so I can't be sure). GAT

I don't use tick data myself, but this might interest you https://github.com/manahl/arctic GAT