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Back of the envelope from your statistics your Sharpe Ratio is about 2.0 (would be easier if you quoted it directly) with 50% annualised vol if you run at 'max' Lets suppose that you manage to get that in live trading. After 18 months of getting that there would only be a 2.5% chance (classic...

Remember "no history, no derivation, no explanation, no hints now or later." The first rule of Kelly Criterion is.... (You might try googling Taylor series. Just don't tell anyone I told you.)

If your returns are gaussian, this should end up as annualised mean divided by annualised standard deviation (Sharpe Ratio), which is the formula I use (having first checked my returns are gaussian or close). It punishes negative skew - good - though I'd personally do it more aggressively (use...

From the post "So I limit my sampling to active opening times in markets, although I don't account for changes in daylight savings. I will try and get prices on holidays (unless I've turned my system off on a “universal” holiday to do some maintenance). " So its the laziest possible option...

I've stayed out of this debate, since I learnt to my cost that debating with VP is a painful and pointless exercise so I generally keep him on ignore. However I feel I should correct some misconceptions - since its my thread I actually know what its supposed to be about. To quote from the...

No, you still can't afford me! Also I'm very much in the "teach a man (or woman) to fish" school of thought. You'd be much better in the long run if you learnt this stuff yourself.

Yes I use swgibpy to do 1 and 2. In theory it would be trivial to do (3) although I don't do that, since my order system is tightly coupled with the API. I'm a bit reluctant to advocate mixing languages with a two layer approach, passing csv between them. If you're comfortable with R I'd learn...

It might be worth starting a new thread on the use of R and IB in the appropriate section. I use swigibpy as there isn't a native python API.

Just to show how easy it is in pandas, this took me 2 minutes to do everything you wanted. I removed the first and third line from your csv. The second remaining line then becomes the header line. import pandas as pd ans=pd.read_csv("temp.csv") ans.head(5) Out[1]: Transaction Date...

Sharpe Ratio? Length of return history? I'd have at least another 100 questions I'd ask to do a proper due diligence. Without the answers to those, zero. GAT (Ex CTA portfolio manager)

Yes I stopped using Matlab about 14 years ago, and went from S-plus to R 7 years ago! I then went from R to Python about 4 years ago. I haven't used it but this appears to be the most popular package if you want to use R.

Pandas is taylor made for this kind of processing. I strongly encourage you to use it. For example you could do the first two things with one line of code. Third thing would be: data.NewTotal - data.Total - data.Costs Fourth thing would be: data[data.Type =="Buy"] The couple of hours you...

This is nicer, but probably still won't work: lines_list=ins.readlines() for line in lines_list: items = line.split(",") As another poster suggested you can use csv: import csv with open(csvln, 'rb') as f: reader = csv.reader(f) items = list(reader) Which will give you a...

I covered spread collection although I probably could have been more explicit. I didn't go into candles since I don't use them, so I've added a few lines. Thanks for the constructive feedback

Yes I like the stuff in Panic about the housing crash. Boomerang is great too. Its about the sovereign debt crisis.

I've added some material about implementing price capture systems to my blog. Cross post: http://www.elitetrader.com/et/index.php?threads/building-a-systematic-system-part-one-data-capture.291170/ Please add any comments to the other thread.

A while ago I ran a series of posts on how you would write some python code to systematically trade using the interactive brokers C++ API. Whilst I hope this was helpful it was just a starting point. There are at least two major projects to undertake before one could actually trade. The first...

Just my opinion but personally that raises a big red flag and strongly suggests your system is over fitted.

I should add that although I paid slippage of £175, I would have paid £240 had I paid half the bid/ask spread each time (i.e. just crossed the spread) which is what I assume I do in simulation. It doesn't make sense to include a figure like £175 in without explaining the context and what my...

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