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You have to build a contract object in which the code will be "ES" and you specify the expiry date in a different field. Which language are you using? This works in python: ibcontract = Contract() ibcontract.secType = "FUT" ibcontract.expiry="201512" ibcontract.symbol='ES'...

The good news is you've made some mistakes whilst still relatively young (so a chance to make it all back in the decades ahead), and the amounts involved are probably a small fraction of the amounts of money you could have been blowing if you had invested 20 years of life savings into trading at...

Just to add that if you are looking for investment your "low" Sharpe might not be a problem. More of a problem is that if you only get two 'wins' per year you're going to need quite a long track record to show that your wins aren't just luck. Can you diversify into trading more instruments? GAT

It is, insanely, high. Without those two days in August however it would be 24% For someone who is buying out of the money options, and whose strategy has massive positive skew, this measure is always going to overstate your risk. GAT

Which figures do you need help with? To be honest a couple of them I don't recognise eithier GAT

Chuck Thanks for the .csv. You have two massive returns in the middle of the sample which are distorting all the statistics (49% and 312% over two days). Without those you'd be slightly down. You also have a lot of days when you haven't got any returns at all. Under these circumstances there...

They look completely made up to me. Various numbers aren't consistent with each other. Can you post a .csv of the daily returns? GAT

I just use my local time for everything. I don't bother saving holiday calendars or opening time. I just check if a market is open. If it isn't, I wait. If it's a holiday then I'll be waiting to the next day. If the opening time has changed due to DST maladjustment, then I'll probably be...

Hadn't realised you were such an expert http://www.elitetrader.com/et/index.php?threads/how-to-start-using-this-automated-trading-system-i-just-downloaded.295899/#post-4208913...

No, trading the equity curve is a seperate additional step from position sizing. I'm talking about looking at the equity curve of a system which is already doing position sizing for eg volatility of positions, size of account curve and trend strength. And if you are cutting losses and letting...

Yes To understand why it's worth knowing that certain types of gambling are more addictive than others; probably due to certain factors which reinforce the stimulation the brain receives during play. There appear to be three main factors associated with the most addictive games. Firstly there...

Hi Ralph I will check out your book (when reviewing my book someone said "If you subscribe to the notion that money management is the most important part of any trading system ... this one is for you.". I don't believe there are enough books on this subject and I can't believe I've missed...

Everyone hates draw downs (those periods when you're losing money whilst trading). If only there was a way to reduce their severity and length.... Quite a few people seem to think that "trading the equity curve" is the answer. The basic idea is that when you are doing badly, you reduce your...

Now the OP is banned, I am curious as to whether people believe they can define the difference between 'investing' and 'trading'. GAT

Glad to be of service....

Monthly update (last one was 5th October). Down about 8.8% of capital, or £35K. So no new HWM. This is line with CTA performance across the board; eg Man AHL diversity GBP is down 4% on roughly half the volatility target. (picture is a few days old but not much has happened) Drawdown...

Incidentally this is the hedge fund I worked for until a couple of years ago. Currently at $18bn and still using python https://www.ahl.com/coderprize https://github.com/manahl https://twitter.com/ManAHLTech GAT

On the corporate side libraries and availability of good programmers were definitely important. Python is a 'nice' language in the sense that non programmers from a technical background like the syntax and programmers like it also. "significant white space" can you elaborate? Are you referring...

I like the second link, using python notebook. Python notebook is yet another very cool thing about python. I should also mention the IBpy library, for which quantstart is a good resource (https://www.quantstart.com/articles/Event-Driven-Backtesting-with-Python-Part-i). GAT

Back to the OP plus one for python. My last real job was at a multibillion dollar systematic HF that had previously run every combination of language setups under the sun. Then we finally took the decision to migrate everything to Python. The result was a huge improvement. In terms of large...