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https://volow.co/book/read/systematic-trading Hi JJ These are basic and very important concepts which it is worth understanding in detail, not tiny details that only experts know. I'm donating my time for free in answering your queries. This is a pretty good deal for you; I used to get paid...

IB limits downloads of historical data, not tick data*. I trade 40 futures markets and only sample prices hourly by snapshots of the tick stream. * There might be a limit to how many tick streams you can have at once, but I'm never sampling more than 30 or so at once so I don't know what it is...

You might find my blog interesting, although it sounds as though you're leaning towards HFT where you think* your programming ability will give you more of an edge, and I'm more into much slower trading. qoppac.blogspot.com I think it's reasonable to find a simple strategy diversified over...

I feel compelled to address this, since I've seen this "TA indicators are on Bloomberg, therefore they are a commonly used thing by institutions" too many times now. Bloomberg is massive. Any individual user will only use 1% of the functions on it. Pretty much any time someone asks for a new...

I own stock in this firm called Europe. I'm considering selling it, and buying another stock called BritainAlone. There may be benefits to switching, but they're highly uncertain. However there is a definite cost to buying and selling. These are very illiquid shares, so the cost is extremely...

Because they work (oh look, someone else already said that). Also I trade with a multi week horizon. How does the state of the order book now tell me what will happen to the market over the next month? If your time horizon is short enough (holding period in the seconds) then the order book...

You're thinking about calculating correlations every 5 minutes?!?! To do correlation analysis you need synchronised prices. So what granularity is your data that you can treat prices as effectively synchronised? This is normally a lower frequency than your data starts with (I calculate...

If you want to get a job then it doesn't matter what subject you do out of that list, it's more important which university you go to. To that list I'd add: computer science physics maths engineering economics But don't do an MBA. Almost uniquely on that list it is both completely useless for...

I have a tweet from Nassim Taleb which I can't find, where he says he only works in coffee shops, finding offices to be empty of creative thought. Of course 99.9% of the time he isn't actually trading when he's 'working'. I like working in coffee shops (and libraries, and park benches) as well...

Oh yeah it's a stupid statistic. The other thing I don't like is the fact that it's a single data point, so it's statistically highly non robust. But people seem to want to know it. They should bear in mind that max DD isn't the maximum you can lose. You should assume that 100% is the maximum...

Max DD 33%, sharpe about 0.9 GAT

"Is the sum of all position risk values divided by the Instrument Diversification Multiplier a good estimate?" Not really. The IDM is a long run measure of the correlation between subsystems, not between returns on positions. I just use standard risk measures assuming gaussian returns, eg...

And people wonder why I like python so much.... GAT

Yes; it's my understanding that is the closed form solution for 2x2 correlation matrix only; I think for anything bigger you need to use a numerical method for the decomposition. GAT

The algo is on wikipedia https://en.wikipedia.org/wiki/Multivariate_normal_distribution#Drawing_values_from_the_distribution C implementation http://stackoverflow.com/questions/6142576/sample-from-multivariate-normal-gaussian-distribution-in-c Also worth looking at the link...

You can do this easily with python corr ## np.array correlation matrix stds ## np.array Nx1 standard deviations plength=500 ## no of observations covs=np.dot(stds, np.dot(corr, stds)) m = np.random.multivariate_normal(means, covs, plength).T GAT

Another milestone yesterday, new HWM set at +100.7% at lunchtime. Over 6% up on the day. In other words if I'd maintained the same risk capital throughout I would have doubled my money (I've actually made about 132% on my current capital at risk and 176% on the original 300K) GAT

3 year and 10 year korean bond futures GAT

I don't 'trade' eurostoxx. I hold it purely as a hedge against my long stock portfolio. GAT

Gold is tricky, as I think that is such a totemic asset there would be outcry, even though most people only own a few ounces max in the form of jewelrrey. It's much easier to ban overseas holdings or bank accounts, since most people don't have them or care about them. But this would be...