Search results

I was slapping my own head because of my carelessness. Not angry at you! GAT

Slaps head.... GAT

I use https://github.com/man-group/arctic but it probably won't suit if you want to keep the ascii format. GAT

Not an answer to your question, but some independent confirmation of your results that compression increases speed as well as obviously disk usage. https://code.kx.com/q/wp/compress/ GAT

Reading back, there is a bit of 'second system effect' going on. I feel that the 3 tier order stack was justified, since it would have been very hard to re-engineer afterwards if I had started with something simpler (would have probably ended up throwing it away and starting again). The...

This weeks update. TLDR: I have made money and I have written some code, but also deleted some. Let's start with performance, like most people this has been a pretty good few weeks. Here are some graphs, zooming in on more recent periods of time (total, rolling year, YTD)...

I'd still avoid using 0. Also https://en.wikipedia.org/wiki/Magic_number_(programming)#Unnamed_numerical_constants. Ideally if you can, I think it's cleanest to mark something as 'no price', or 'untradeable' or 'bust'. A missing price could be for any of these reasons, and you should treat them...

Don't use zeros! Use NAN or None or something like that. You never know if the price is actually zero (cf crude oil futures...). Forward filling can make sense, but it should be done as late as possible for the reasons you've described. Eg once you've calculated a signal using a price series...

Kind words, but 'knowing stuff' and 'being a genius' aren't quite the same thing... GAT

True. Actually thinking some more, in futures at least there is a fixed commission per contract, so for smaller futures traders it's okay to say costs are proportional (the spread is proportional, assuming you aren't big enough to cause impact). It's only in stocks that smaller traders will...

If anyone is interested on how one would calculate the optimal buffer width, a former employee of mine wrote this paper: https://www.risk.net/risk-management/asset-liability-management/2356901/optimal-trading-under-proportional-transaction (for smaller traders transaction costs aren't...

I think I agree with you, but to be honest I don't like the use of the word 'lag'. Annoyingly the first definition that pops up on google is 'the phenomenon in which the value of a physical property lags behind changes in the effect causing it...'. The (IMHO correct) wikipedia definition is...

As has already been alluded to, it's unlikely to be an issue unless you are managing relatively large amounts of money. GAT

Suppose my optimal position is 5.5 contracts. I calculate a 'no trade zone' of 4.4 to 5.6 contracts (the best way of doing this is as a proprotion of your average forecast, but I present a simpler method in ST and LT. The proportion depends on your costs levels, but again for simplicity I use a...

I don't think so, at least not with respect to positions (obviously exponential averaging is hysterisis with respect to prices by construction). Hystersis is state/ path dependent for positions, exponential averaging is not. If I started up a trading system cold tommorrow with exponential...

Perhaps I should have said, but I have position buffering in place (which is indeed a form of hysteresis). So I won't trade any small change in signal (wether it be from a signal of 0 to 0.01, or from 5 to 5.01) that is less than a certain threshold. Hence I don't need a minimum signal threshold...

... which is related to how I currently deal with limited capital right now (not an S shape) https://qoppac.blogspot.com/2016/03/diversification-and-small-account-size.html GAT

My next blog post will be on this subject, but very quickly: - it also works for momentum, although perhaps the intuition makes more sense for mean reversion - yes agreed - disagree, you don't have to have a min signal parameter and the max signal parameter doesn't need fitting you just set it...

Brilliant! If I may be indulged by quoting from my own book: "... you can run quite sophisticated strategies on $30 Raspberry Pi micro computers" (ST page 4). I don't know of any slack channel or similar. I'm not sure the more cerebral nature of systematic trading is suited to a platform like...

Yes I look at the volume ratios, but it's a manual decision without any fixed rules. GAT