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I'd be suspicous as well. Having thought about it some more, given that predictability was still going up with 10 years of data (not for the underyling instruments, but for both forecast and instrument weights). The only real reason to use a shorter window was because I was uncomfortable with...

"5 Automation then becomes another job, What do you want to do, trade or code?" Code. Every time! GAT

Thanks, that's exactly the kind of 'hacky' solution I like! GAT

https://qoppac.blogspot.com/2020/11/improving-use-of-correlations-in.html?m=1 GAT

Incidentally I just double checked, and I am indeed Mifid retail with IB, but I have trading permissions for US futures anyway. GAT

Not sure why you'd want to trade US ETFs since there is usually a european listed equivalent. GAT

Huh? Anyone can buy an ETF. Don't have to be professional. GAT

Or signs him up as a retail investor... GAT

Nothings finalised, but if UK financial institutions want to passport to Europe they'll probably have to keep MiFiD. GAT

Whilst you're considering my first question, here are a couple of thoughts. I presume you are considering 'per se professional' because you don't qualify for elective professional. In other words out of the three criteria: client has carried out transactions, in significant size, on the...

I used to be FCA registered and I'm UK based, so I can possibly help. The first question I'd ask, is why do you want to be an 'elective professional'? What advantage will it give you? GAT

Yes a) is the approach I'm using. It runs when an order is executing, but I can also call it periodically which would make it suitable for orders that take a while to execute (my main execution algo has written now is blocking, to ensure it has minimum latency, because there is no possibility of...

Thanks for the update. I'm also in the process of doing a lot of refactoring; having got all the functionality I need in pysystemtrade to run my system I now need to back track and clean some stuff up before I can add code to support new strategies (if you're followed my earlier posts, this is...

I only pay for data - the other stuff is IMHO a total waste of money. I pay about $200 a year for non pro futures data from IB, L1 only (there is probably some rebate I don't know what the headline cost is). It works out to about 0.04% of my account value. For the last couple of years I've paid...

It's unlikely that a new trader will have the six figure capital needed. TBH most new traders would be better off staying away from leveraged / derivatives altogether. In the US I'd say trade large cap stocks to begin with, though direct investment in stocks in the UK is a tad expensive. GAT

I wouldn't waste your time trying. I doubt I will be able to recover the original numbers and I will be using a better method in the new post (based on parametric distribution of correlation estimates). And none of this will make a blind bit of difference to how much money you or I make. GAT

But it costs a lot more than trading futures. And there are other disadvantages of trading OTC. GAT

1. Did you frame your earlier optimization problem using training set, validation set and testing set? No. I don't use a 'validation set' per se. 2. Let's say if we have 10 years of data, what would be the best split for training set, validation set and testing set? I always use expanding...

I'll revisit this subject in my next monthly blog post, in November. GAT

I've been trading my own money now for 6 full tax years. The percentage of my 'income' that was trading income has varied between 0% and over 95%. In all of those years my trading profits have been taxed as CGT (basically that is what I have put in my SA, and that is what HMRC has used for the...