Search results

If you log on as a demo user you can see the features it offers. But yes, it doesn't do any of the fancy things you say. Hey - calm down - it isn't my product and I have no connection with these people. It's clearly a beta product and perhaps if you make suggestions they will add these things...

Apologies if you've seen this before but this looks quite a neat little product: http://tradinganalyser.com/ I'm in discussion with them about adding interactive brokers. This is a cloud service so if you're paranoid about someone reverse engineering your trades (which as I've said before I...

My initial, cursory, research revealed a couple of different ways to use python with the API (there are a few more now). I chose swigiby purely because I couldn't get IBpy to work. Even now after googling I can't see any python FIX -> interactive brokers packages out there so I'd have to write...

Especially appropriate for the lean hogs future. GAT

Yes. Please finish it before asking any more questions. I don't want to spoil the ending. GAT

What you do is backtest your system, which you can do for different signals. This gives you r_a r_b... r_z where each r_ is the return of a signal over some period. You then add these up and get r_sim. You then measure your actual total performance r_actual, and calculate the total difference...

page 155 print edition GAT

Bayesian: Yes you can do it that way, but all that provides is a formal framework you still have same fundamental problem of how much to weight your backtest vs live trading. It's a tricky one. If your backtest was entirely in sample then it's relatively easy to run some simulations and work out...

Q1 I don't do this but an easy way to do it would be to double the weight of actual returns versus sim (given most people halve simulated sharpe ratios). If bootstrapping you could double the number of actual returns in the sampling distribution. So with 30 years backtest 1 year live your 1...

Snake? GAT

Thanks for the kind words 1. I don't have any edge. I'm just picking up a diversified set of risk premia. I have no idea what Sharpe Ratio that will bring; it's mostly luck. Hopefully positive. Over say 10 years I'd be surprised if I earned less than a SR of 0.10. And equally surprised it was...

With your previous experience and skills I think direct API access makes more sense. Having said that I've never used a platform so I can't compare them directly. GAT

No just python (discounting the IB API wrapper into C++). I've learned and forgotten dozens of programming languages since I started programming in 1981, but I'm now firmly monolingual. GAT

Here are a couple of links to help: a) use someone elses system. If you're trading equities the best is probably https://www.quantopian.com/ It's python. b) build your own This is my blog. I suggest you have a read through that. Everything I write is in python. Also yes you can use a paper...

Pick your favourite answer; - I have no idea based on the information available - There is insufficient history to say whether it is any good or not - performance is hypothetical not real - the numbers I can see indicate this is probably a strategy with a large amount of hidden risk ('negative...

Yes it's low (about 0.1) I don't accept outside investment. GAT

Yes it's hedged out, but no hedge is perfect. GAT

I think your number is a little off. Even a small family office will cost $500K a year to run. So at $50M you are handing over 1% of your capital every year just to run it. And you are still going to be handing over money for other advisory services you don't have in house. At this level having...

Hopefully before expiry! GAT

Yes the latest mark I saw was -2.7% up to the 5th October. I am no longer invested, though I have some (deeply underwater) options in the parent company. GAT