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Looking at my system I don't have many positions on (14), vols are high so most positions are small or zero, and I don't have positions on in the markets that are actually moving a lot (and also have high vol): Crude, Vol and the equities. Positions (no report for this yet so here's an...

I don't use volume triggers but I would probably have set the system to hard roll on Thursday (not worth the soft roll period since the possible roll period for Korean bonds is so short). Fridays relative volumes were 27% for 3 year and 13% for 10 year. Let me show off my new system...

Just over 2 weeks into the worlds fastest trading system rebuild... I'm now making good process on stage 2, the goal of which is to be able to do basic auto trading. As of yesterday the code can submit orders to IB and get fills back. In theory this is auto-trading, but I haven't actually run...

Thanks. I've found it very easy so far, much easier than dealing with the IB API, but I'll let you know if I need some help. GAT

Anyone can write code this quick, as long as they don't properly document or test it :-) GAT

Did my first manual trades today. Basically I have got the code to put where it can publish desired orders, and then I have to manually type in fills which then get propagated. Painful, but there are a few advantages to this approach (apart from the fact that it was the fastest way to replace my...

My trading system, which has been running since April 2014, has just fallen over: permanently. I was forced to upgrade my TWS gateway, and there was a non backwardly compatible change which meant https://pypi.org/project/swigibpy/ mostly stopped working. The original author is no longer...

@page { margin: 2cm } p { margin-bottom: 0.25cm; line-height: 115% } Moving averages work in the sense that they pick up recent trends in the market, and if those trends persist then a moving average will be profitable. In many markets trends do seem to persist, and therefore moving averages...

The formula is correct. But it is an approximation/ rule of thumb (it's partly based on theory, partly on empirical evidence), not a canonical equation. Like I said, I don't use it personally. Instead I calculate 'V' directly as a standard deviation (of daily returns, which I then annualise). GAT

First a caveat, this isn't exactly how I calculate positions and includes some simplifications to show the broad principles. C is my current 'capital at risk'. Roughly speaking it's my current account value so includes any unrealised mark to market profits (see here...

Fixed thanks GAT

No it's a bit more subtle than that. The figures have to be calibrated for the trading system you are using. The one in the blogpost is a bit smaller than my normal system in terms of numbers of instruments. However it has sufficient diversification that it just hits an IDM of 2.5. The realised...

I'm assuming @Kernfusion is already working with data that has been resampled to business days, so on holidays it will have NAs rather than missing rows. GAT

Crazy talk. You should never speculate with money you'll need in a couple of years time. GAT

No it's fixed at 10. Perhaps 'target average' is a more precise term, though also more confusing. GAT

Neithier option is ideal of course. The main issue with switching from summer to winter is that it may cause the carry rule to behave weirdly. In some cases though, eg GAS, we just have to live with it (similar things happen with Bunds, and again we just have to live with it). Doesn't answer...

You are correct. Ironically, I've just finished writing a long twitter thread where one of my comments is about low quality research code :-) A confession. I often find the implementation of matrices and vectors in pandas/numpy downright confusing. Another confession, I don't write enough...

It's an error, which I am in the process of solving (once I finish another bit of code first) GAT

Perhaps related to the batshit crazy action in gold leasing rates https://www.kitco.com/lease.chart.html GAT