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Personally I wouldn't risk this since the cost of doing a few extra optimisations isn't very much, especially in production. Rob

I use barchart.com (paid for subscription which I will keep whilst I'm doing my 'add loads of markets to my system' project), but in the past I've used quandl (when it was still free). Rob

I'm curious as to what your margin usage typically is. GAT

Same story and solution for me. IBCalpha couldn't restart my gateway, so I upgraded both the gateway and IBCalpha; IBCalpha now doesn't work at all. But I'm using the new 'built in' once a week option. Not ideal as I inevitably forget to do the restart. On the upside it's one less dependency on...

Well that's a horrible thought, and one reason why I only keep a fraction of my net worth in my trading account.... GAT

Well I'm 47, and I'm not sure I'd describe someone just seven years younger than me as a 'youth'. Bear in mind that as a bankrupt it's going to be extremely difficult for him to get work in any regulated FCA function (I'm sort of assuming he's going to need to get a job to rebuild his stake to...

He's 40 GAT

It's evidence that he was lucky, and has no idea how to manage risk. Indeed, there was already evidence of this: https://www.efinancialcareers.co.uk/news/2015/08/poker-star-hedge-fund-trader-leaves-tudor-capital Inman rose to fame by making a £700k profit on single trade when he was just 25 in...

Time for my annual introspective post I won't dwell on performance, since I plan to do my usual full report in April, but I'm down 9% for the year with a ~15% drawdown. That will be my largest calendar year loss, and actually only the second loss since 2018 when I was down about 7%. In fact...

Ignore this: When I look at monthly skew there is no clear effect. Also if I look at the average rolling monthly skew across instruments, that shows no pattern. So it's more complicated than that. Next I'll try the same checks on some simple trend following systems GAT

I just looked at an extremely simple strategy, basically the 'no rule rule' from ST - we just take a risk adjusted long only position (equivalent to always having a forecast of +10). And that also shows the pattern of falling skew over time. So it's not something weird about the strategy - it's...

I do something like that. I basically look at the return since the last recorded price, and translate that into a daily change (because my data is irregular and could be an hour or a few days since the last price), and check to see if that exceeds N * standard deviations of the recent daily...

Of course it is. But the relative improvement is what counts. GAT

You missed an important word from your thread title: "Inside" And another important word, "Illegal" GAT PS this is a great book

Rather than an ascending triangle, I prefer to look for a "gradually moving sideways rhombus". In my backtest with 7 trades on the NQ over the last 6 months this worked perfectly. GAT

Heres the plot of 10 year rolling monthly skew, as described GAT

Or more likely, lose it all https://xkcd.com/1570/ GAT

I just plotted the rolling (daily) skew directly The one year is in blue, ten years in orange It does look like there is a gradual downward trend, but I'm not seeing the same drop in 2018. Something bad happens in 2018, when there's the horrible drawdown (and black friday shows a dip as...

Check this out It's the average absolute forecast, averaged across instruments. I don't personally think the 1970's are especially trendy. Well the clothes weren't, anyway. GAT

Call yourself a trader? You should have gone long the future to hedge your exposure... GAT