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For your interest here's my own personal current asset allocation, including my house, in nominal terms: Bonds 32% Equities 44% Property (mostly house, but also including about 2.5% in property ETFs) 32% Cash 9% Debt (including mortgage on house) -16% And here's my estimated breakdown of my...

I just created this gist using my standard market data example. https :// gist.github.com/robcarver17/4b09c440ea56e1011d1528f6ccfc266b [I've edited the web address because ET keeps trying to render it as media - take the spaces out] It worked perfectly. The contract is created at line 397 GAT

I'll give you my opinion but I should warn you I've always hated the idea of rental property as an investment so I'm biased. Given that your net yield on your housing equity is just 3.1% I think I'm justified in this opinion here. In fact the most important issue here for me is whether this...

I'm not reading through all that crap - not for free. Can you please create "a minimum executable example" - a fragment of code that produces the error and doesn't need any other imports? i.e. just a few lines to create the contract and try and get the price. GAT

Please give me the *full* code you're running and the exact error trace that comes back. GAT

I don't think I've sent a cheque to a broker for 15 years... https://www.bloomberg.com/news/articles/2017-07-26/why-can-t-americans-give-up-paper-checks GAT

... and what symbol_id and symbol... GAT

Which ccy and baseccy are you using? GAT

RTFM: http://interactivebrokers.github.io/tws-api/basic_contracts.html#gsc.tab=0 Here's the function I use: def make_IB_fx_contract(ccy, baseccy): ibcontract = Contract() ibcontract.secType = "CASH" ibcontract.symbol=ccy ibcontract.exchange="IDEALPRO"...

The funny thing is I couldn't read this article as I'm not subscribed. I asked Chris if I used my quote, and if so to send me a copy, but he didn't reply so I assumed he didn't! GAT (AKA Robert Carver, to those who didn't realise)

Yes, you will sometimes get different sets of rules for different instruments. Using the same weights but then doing exclusion makes things difficult with the code, and also leads to potential problems (eg if all your TF rules but one get dropped you'd end up being underweight TF and overweight...

You've created a trading system with the characteristics you want, given some amount of capital. You shouldn't change the trading system just because you have a different amount of capital. What if the reverse were true? What if you were reducing your capital, but you had increasing forecasts...

Absolutely not. You're confusing the various reasons why you should change risk capital. We're not reducing / increasing risk capital because the system is doing well / performing poorly. There are a few different reasons why you'd reduce positions: A- higher vol B- because a particular trade...

You're right all these are missing a 1/n term: (250)* ([abs(p1-p0)/ (2 x P0)] + [abs(p2-p1)/ (2 x P1)] + ....[abs(pt-pt-1)/ (2 x Pt-1)] (250)* ([abs(p1-p0)/ 2 x A0] + [abs(p2-p1)/ 2 x A1] + ....[abs(pt-pt-1)/ 2 x At-1] (250)* ([abs(f1-f0)/ 2 x 10] + [abs(f2-f1)/ 2 x 10] + ....[abs(ft-ft-1)/ 2...

er probably... could you copy and paste the formulas to save me looking :-) GAT

Nice piece from my former fund on why they chose to use python: https://www.ahl.com/ahl-tech-why-python Only a slight inaccuracy (or more kindly, a simplification): "Previously, research on models would be done in R, and the model would be rewritten in Java for production." Actually it was...

My mind reading skills are pretty good, except with my wife. GAT

Unless your data series is really short the weights should hardly change at all. But do it if you want to. GAT

Are you using the latest version? If so, what happens if you look at system.portfolio.get_instrument_correlation_matrix() Does it have different correlation matrices inside it? GAT

I'm not sure what you mean by "mean square error" so I'm going to guess. If returns are uncorrelated and normally distributed then the standard deviation will always scale with the square root of time. So the daily standard deviation will be roughly 1/16 of the annual standard deviation. The...