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It shouldn't make much difference, unless you're trading spreads where you'd need to make sure whatever you were capturing was a tradeable price. GAT

Very flattered. But it's a firm "no thanks" from GAT's secret bunker. GAT

As an update, all the closing trades are now done. The average price was 3517.67, with £67 of slippage. GAT GAT

Individual stocks don't trend well (at least on an absolute basis). It's not that they are expensive, unless you trade them too quickly. A holding period of a few weeks or months is fine (assuming you're with a decent broker). GAT

In fact this is a well known thing, which I'm by no means the first to come up with: https://www.elitetrader.com/et/threads/van-k-tharps-random-entry-system.23498/ http://www.thehedgefundjournal.com/content/winton-capital-management...

Actually if you enter randomly, but then go out using an appropriate stop loss rule (appropriate to the level of trading costs), you actually end up ahead in any market that exhibits trends (eg I tested this on futures markets, and it worked in around 92% of them). You don't do as well as if you...

As most of you know I run two types of strategy in my trading account: (a) a long ETF portfolio of about 80:20 stocks / bonds with a very imperfect hedge (which consists of a short position in Eurostoxx), (b) a futures trading strategy. As I've discussed before I didn't want to fully fund my...

https://github.com/vinta/awesome-python

Well the answer isn't in the new book, although I discuss changing weights given some information about future SR in table 12 of the first book. But I can tell you that whenever I've tested this in the past it's been difficult to find a statistically significant effect. Bear in mind you'll be...

No idea. You'll have to ask FS as there is certainly no menu option. But...I doubt it. Would make the system very easy to game. GAT

Yes, inception of the IB account. GAT

You lost me at "discretion" GAT

In theory sampling the market intraday won't speed up your trading, that will be determined by the size of your buffer. In practice you'd probably see a slight increase in costs due to intraday autocorrelation effects. What I do isn't 'true' intraday trading since I use the last sample of the...

No, still nothing. However if you can write down the precise algo for this stuff I'm happy to code it up for you and test if it actually works :-) Grateful, but happy to remain ignorant, GAT

Not sure if I will make it, I'm already having drinks round the corner. Say hi to Ernie for me. GAT

It's dangerous to think you can forecast Sharpe Ratios, and there isn't any statistically significant difference in performance. But based on it's diversification properties TF should probably have a higher weight than I give it; a third is probably reasonable. But I don't have a job; and my...

Smart contracts are an interesting concept, better than first mover. I'm exploring the growth of smart networks that are greater-than-transactional based on an extension of personal values. I like trees. The bigger the better, the older the more precious. I don't like when they are cut down...

It sounds very very complicated. The "correct" value of the % diff will vary wildly from instrument to instrument and over time. If you believe that both price and carry are tradeable prices then why should you prefer one value to another? I wouldn't do this. Alternatively you could try taking...

Yes I've thought about it before, and dismissed it, because it's a terrible idea. Firstly the market doesn't know you're making a loss. The future path of prices is unaffected by whether any individual trader is up or down. Which is why in a well designed system the forecast for future prices...

Part of the problem is you are looking at daily data which has been resampled from intraday. ADJ PRICE FORWARD PRICE_CONTRACT CARRY_CONTRACT 2016-10-14 15:53:10 34.425 23.475 NaN 201611 201610 2016-10-14 23:00:00 34.600 23.650 23.15...