Search results

That's Doyne Farmer in the video who I met when he was visiting professor at Oxford in the same research centre which AHL funded. Fun guy! GAT

This is the book about them that got me into the industry GAT

Thanks for the considered response, and nice plots. I think this is the key point: "Stocks gap a lot, especially small/mid caps where most of my trades are. " IMHO that doesn't mean you shouldn't use stops, but it does mean you need to be careful in assuming how effective they are. "but also...

Yes he really likes that idea! GAT

Very interesting thread. Now following. My first job in HF was in quant L/S equity neutral so it's fun to see this stuff again after mostly trading futures for a long time. If I may, some constructive comments about MR and stops as it's something I've given a lot of though to recently and in...

FWIW I don't plan on using any of the material from those podcasts to make investing decisions, where they might be useful is in thinking about new trading rules, especially cross asset rules. GAT

Yes, which is why if you are using percentage returns for risk you should use the *current priced contract* as the denominator, and return difference of adjusted price as the numerator (this is what happens inside pysystemtrade). If you use return difference of the current contract you will get...

I've added this to github as an issue since I'm not sure when I will get round to it, and this way I won't forget about it https://github.com/robcarver17/pysystemtrade/issues/213 GAT

How long will you be holding positions for? What size is your stop (as a multiple of ATR or daily standard deviation)? GAT

I do miss the plotting functionality in Matlab. So much nicer than the cryptic API of matplotlib in python. Pity that you have to pay for it. GAT

Let's all just sit and admire this post, 'proving'* that there is no positive correlation between how fancy your system is and how much money you make. GAT * Terms and conditions apply. Sample of 1 over a one month period does not, by any means, represent anything within a million miles of...

Unit tests Regression tests Doc tests Integration test System test GAT

Actually this is exactly how the production code in pysystemtrade works; so all the stuff that gets and process prices, does back adjustements and so on, is an inheritance* of a data frame or series identified according to whether it is an individual futures contract price, several prices as...

Yes I use Mongo for everything now, Arctic on top for time series. Appreciate it will be a lot harder for mongoDb, since you have to allow the possibility that field names will be different across documents (==records), and infer the common field names across databases, but will have a google...

Thanks, will look at systemd. One of the problems I have is that anything that has appeared since I stopped working (in 2013) will pass me by unless I come across it or someone gives me a heads up. I do try and keep up, but it's not easy... I'm very jealous of your schema picture: how did you...

That's pretty similar to me. I like the idea of throttling the number of emails per day or something, although my severity level is set pretty high this isn't normally a problem unless something goes badly wrong (or there is a large price movement, resulting in a lot of price thresholds being...

Also not everyone is US based... GAT

In a pretty impressive display of speed I managed to get 99% of this done in one week, plus write a blog post on non binary forecasts. I finished writing the code by Tuesday evening, then spent Wednesday setting up all three of my trading servers (live, backup, development). Yesterday and today...

Run Linux off a USB stick: https://www.howtogeek.com/howto/14912/create-a-persistent-bootable-ubuntu-usb-flash-drive/ You can run this on any borrowed machine, but you might have trouble doing it in an internet cafe unless their security is really lax. Or use a smart phone if you're just a...