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Recent article http://www.followingthetrend.com/2016/11/a-very-different-kind-of-trend-model/ There is some data on this site but I think it's behind the paywall. You can also get the raw prices and construct it yourself from something like quantopian GAT

http://www.bi.edu/InstitutterFiles/Samfunns%C3%B8konomi/Papers/Fall%202013/Pedersen.pdf A naive strategy of going long contango does pretty well, I use it myself GAT

https://en.wikipedia.org/wiki/List_of_largest_daily_changes_in_the_Dow_Jones_Industrial_Average 20 days with more than +7% of which three were in living memory (last 42 years in my case) GAT

My account balance as reported by the API was once light by a similar amount. I did have a brief heart attack but by the time I had logged in to account management it had been fixed. Computers aren't full proof (neither are people). GAT

I am fairly sure every academic paper on vol is here http://www.helderpalaro.com/ GAT

I don't quantify it as I don't have enough intraday data. To be honest it makes no practical difference, as what I have quantified is running the system at 0 days delay and +1 day delay and it has no effect on the performance. I don't have a preference for eithier. Actually I am going to drop...

For the same reason we should call out lying politicians. Less well informed people might believe this dangerous nonsense. GAT

That's hardly fair. You post a "fact" and then it's someone elses job to do their own research to prove you are correct??? It's like dealing with D J Trump As it happens I did google "R versus Python trading system contest" and variations thereof and nothing relevant came back. GAT

Some observations a) momentum hasn't been great generally, so you're not alone (I lost money in Sep, Oct and so far in November) b) you have highly unrealistic expectations of performance consistency. No trading system will make money every month or every 3 months, or every year THis is...

Yes I'll add them at some point, for exactly that (a mean reversion system). I need to think about the most elegant way of doing it plus I am full speed on book writing right now so it will be a few months before I get a chance to do any python again GAT

I'm a bit surprised and amused by this statement. Firstly trading competitions prove nothing. They are normally a very small sample - very short periods of time. They don't give you statistically significant results. Secondly languages aren't profitable. The trading systems they run are what...

https://www.rencap.com/ ... and obviously I could post names of another hundred or so hedge funds managing more than $1 billion on a full systematic basis. GAT

True but we don't learn by learning how to create systems first doing abstract things like architecture design. It's more logical to learn how to program first. You don't go straight into a career as a system architect, without having earned your spurs writing the bits and pieces . And with...

Yes computers are like very dumb desk assistants, you have to explain to them exactly what do do. But once you've done it, they will do it repeatedly, and much faster than you can. There are python libraries for things like moving averages (pandas is the most famous one). You don't have to...

You might find my blog interesting http://qoppac.blogspot.co.uk/p/systematic-trading-start-here.html Or this one https://www.quantstart.com/ There are more links here http://quantocracy.com/ GAT

Yes I use IB data. I wouldn't advise doing automated executions without it. So it would be fine to use daily quandl to calculate positions and then do the executions manually on IB. I recalculate positions and then potentially trade hourly during trading hours. More here...

I'm surprised to be honest. I've opened a ticket on this, and I'll look at it when I get a chance https://github.com/robcarver17/pysystemtrade/issues/37 GAT

Only in as much as I use Kelly, i.e. scale my positions according to my account size. So position size is proportional to (max capital at risk - drawdown) GAT

No it wasn't GAT

Sorry for the lack of updates recently. Trying to get redraft my second book is taking up a lot of time. Anyway if you're based in London and free tommorrow I'm doing this panel discussion: http://www.meetup.com/London-Systematic-Traders/events/235411047/