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Obviously, you are making the assumption that you have everything that it takes to become the next Maria Sharapova. I am pretty certain it's not true (I've never seen you but I am sure she has nicer legs), plus it's important not to discount the value of luck along the way to the great success...

It's less about delusion and more about things like statistical significance (primarily) and then frictions, asymmetry, excess free parameters (secondarily) etc. Since I know nothing about the strategy, it's hard for me to say what to do exactly. For starters, try to understand if you have a...

It makes sense to look for a third party tool first, actually. In my experience, something like this takes 2 hours to build the functionality (even if you need fancy analytics like resampling and factor correlation). After that, it takes 2 days to make sure the output is nicely formatted. Those...

Well, in that case IB is confusing options on the VSTOXX futures with options on the index. Eurex contract spec for the index explicitly says: In any case, making a cash settled option on vol index American makes it a bit weird for market makers as it introduces a very strange path dependency...

Actually, this is definitely not true. You can keep increasing the ratio of free parameters to the number of trades in your backtest. Eventually, by doing so you can perfectly fit any dataset. Alternatively, you can fit on the full system and then use random sampling with a regression to...

It certainly good to use at least two brokers (preferably more). There is a risk of a single broker systems going downs (happens more than you think), them not having borrow in specific stocks (happens A LOT), them shafting you on some corporate action because of "internal compliance reasons"...

It's especially touching that they offer IB TWS as a platform while pushing a latency-reducing solution :)

What is the P&L per trade value? I think in a lot of cases, people make unrealistic assumptions about their transaction costs (slippage, adverse fills, commissions) and that really eats into the results. PS. In this business, when something is too good to be true, it usually is. So before...

You are going to make an opinion regarding correlation based on a 20 day sample? That's bold :)

I am going to highjack this thread and use it to as stupid C++ questions. For starters, is there a good primer to using “modern” cpp and best practices? I was told by my JM that my code is very 90s and decided to remedy that

Vstoxx options are European

Can one get access to institutional aggregator venues via guys like IB?

In his book, Ray Dalio is speaking from the perspective of a manager that has the luxury of hiring a diverse team. Our perspective should be much closer to that of an athlete in a complex sport. We should embrace our strengths and work to decrease our weaknesses. Take an example of tennis - if...

It is not really, though. Sunk cost assumes that time or money spent does not change your state as an economic agent and only adds material possessions. You don’t know what will work in the long run because you have never done this in the long run. However, there is certain value of expertise...

Two standard deviations is where “significant” starts in my mind. This way you normalize the idea of “big” between different assets.

Well, you should also run just as fast when someone tells you that something commercial quality can be fully implemented in Ninja Trader :) It is a balancing act between quality and time to market. Good code increases the ability to fix bugs, add features, extend to new markets - all those...

I think people here don’t understand the concept of volatility (which is needed before you delve into the the correlation mess). Bitcoin is realizing about 10-11% per day this year (160-180% per year). It’s down 30% from its peak over the course of two weeks, which is actually less than a single...

True/False A. Is it something that otherwise fits your needs? B. Do you have the skills and the knowledge of the system to fix it without breaking anything else? C. Do you know off hand another system that will do what you need? If B is False, you know what to do :) If A and B are true and C...

A 100k is a pretty high bogey to beat if you are trading your personal capital. All valid points, I guess but I can’t help but think that each one separately can be achieved by simpler means (except maybe point 2?). So in the end that means you are trying to open a fund with all the fixings and...

All right, what do you think was your failure? Is it the strategy hypothesis, execution costs, over-fitting? Why did your strategy work in the back test but failed in real life?