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That's what I see at least on the micros; both markets have tick values of 0.25 price points, but the sampled average is about 0.13 price points for S&P (just over half a tick) and 0.20 for NQ (about 0.8 of a tick). GAT

Options are much harder to trade in quant space (operationally and in terms of the research pipeline). Retail Forex I would stay away - sharks, expensive, relatively little diversification (only a single asset class after all). I'd probably say futures, but having said that if you haven't got...

2 ticks is conservative for small orders in those very liquid markets. You (and others) might find the following useful: https://github.com/robcarver17/reports/blob/master/Costs_report. It's a report regularly showing my slippage estimates based on the last 12 months of trading. All values are...

"Advanced futures trading strategies" GAT

Discussed here https://qoppac.blogspot.com/2015/05/systems-building-futures-rolling.html Or you can wait for my next book which will also discuss this. GAT

Sorry I will add a link Actually my blog post for next month will be a complete review of what I'm now trading, more informative than a config. GAT

Update on dynamic optimised positions: https://qoppac.blogspot.com/2021/11/mr-greedy-and-tale-of-minimum-tracking.html Seems to work now. Thank god, I'm sick of it frankly... GAT

Bluntly, I don't have the time or brain space to translate between 'swap points' and annualised interest rates, but if you're going to trade with these people you should probably work out how to do it. GAT

Well the great thing about carry is the signal is an expected Sharpe Ratio. So the multiplier of 30 implies that with an expected SR of 0.333 you'd have an average sized forecast of 10. The question is whether an expected SR of 0.33 is 'average'. That estimation was done over futures, but those...

https://www.efinancialcareers.co.uk/news/2019/02/python-or-r GAT

1. I don't know what a 'swap point' is. Can you give me an example of what a 'swap point' will do to your position if held for a year? I assume this includes both the interest rate and spreads? 2. it's an average calculated across a large number of instruments to get the forecast to be of...

This is just a difference between two Sharpe Ratios (Sharpe ratios also have risk free rates, but these would be mostly cancelled out or close to zero given a small enough time period and low enough interest rate). So it's just "Is my SR higher than the benchmark?" GAT

I'd argue that this is irrelevant, since what matters is the statistical significance of the alpha (eg t-statistic), rather than the actual value. The statistical significance will be unchanged by the amount of capital chosen, whereas the value would. In practice even a 'zero cost' strategy...

No GAT

I can't stand sticky notes on screens, or anywhere in the desk area for that matter. I think my revulsion came from my first job in the industry, where they were banned. The COO used to stalk the trading floor, tearing them off peoples screens whenever he saw them. A few years later I was...

I can't tell you the exact number, because it would then be a trivial mathematical problem to calculate my total net worth - which I'd rather keep private, if that's okay. However I can tell you that it's somewhere between 5% and 50% :-) The 'forever' asset allocation is a tricky one as I'm...

Ah so my cheque for $429 has finally arrived. Don't spend it all at once. Just kidding - well done :-) GAT

I noe have a buffering type approach which also improves the cost profile. It's checked in and I'm using it but won't be able to write a blog post on the subject for a week or so. GAT

I use backadjusted futures for signals and p&l in sim; in production I calculate p&l on individual contract prices. As others have said I wouldn't calculate carry as the difference between two backadjusted prices, but actually that isn't a dumb thing to do as it will result in a smoother...

No such differentiation exists in the UK either. Sounds to me like a typical 'what goes for the US, surely goes for the world' attitude. GAT