Search results

I'm guessing the tax savings of incorporation are greater than (90-6)*12 or you could just switch back. I'm really cheap! I get only the most basic feeds and my market data bill is around £10 a month. That means for example I can't trade the UK ICE markets which are really expensive. The...

Rolls are only moved in the past data if there is a gap in the available data so that a roll isn't possible on the date it should be. GAT

Partly. Also because I can do it myself with minimal ongoing work, and it's fun. GAT

I don't code up the optimal roll policy in the past. It would be far too much work. GAT

On 400K. It's also interesting to look at the cost per unit of turnover on each instrument, since that is a key datapoint in determining how quickly you can trade. GAT

I've said this before but you should calculate costs as a proportion of capital (perhaps standardised for risk) rather than actual / expected profit which is almost a random number. GAT

Depends what you mean by 'range'. Do you want the absolute maximum and minimum I'd expect to see? [answer: more than 5%] Do you want the 1 standard deviation move (moves typical around two thirds of the time)? [answer: around 1.5% - which is not an option in your poll]. Or something in between? GAT

Yes I multiply by around 2.5 but ignoring performance fees (which obviously handicap AHL in the comparison). I'm using the precise monthly figures from a spreadsheet hence a slight difference in the numbers you get reading off the graph. My figures already account for my change in vol target...

Big components of AHL Evo fund include: Interest rate swaps (admittedly some of these are extremely liquid but they're OTC so not suitable for a traditional managed account) OTC FX (also very liquid, although EM crosses less so) forwards and options Single equity and ETFs (again quite liquid)...

Another few years from here: https://github.com/robcarver17/pysystemtrade/blob/master/sysdata/legacycsv/KR3_carrydata.csv GAT

Yes 3bp. £400k GAT

Slippage is the difference between mid and what you actually pay. In the case you specify you'd have zero slippage. If you always trade hitting the bid (or ask) then your slippage would be half the bid/ask spread. If you can always capture the spread you'd have positive slippage. GAT

Ok if they are consistently profitable HFT traders, they paying up to a third of their profits in commission and market impact is probably OK. Let's say a Sharpe Ratio of 3.0 with a vol target of 20% a year; that's 60% a year in returns, paying 20% in commission and market impact. But I doubt...

0.73% And 0.56% slippage Futures. Medium term trend following and carry. Anyone paying more than 3.5% is crazy, IMHO GAT

... so normalising for the amount of risk capital I have purely in Crude, it's £50,240 or if you prefer $64,374. So a 0.25 move is 1.6%. Still not exactly heart stopping. GAT

Hacky, but can be done: In /pysystemtrade/systems/portfolio.py you'd override the method get_raw_fixed_instrument_weights so it returned a specific pandas dataframe (assuming config.use_instrument_weight_estimates = False) There is no underinvestment problem. If you set...

Yes $1,000 / £400,000 is indeed about 0.2% depending on the FX rate. a) Because I trade 37 other markets. b) Because my volatility target is "only" 25% a year. I suspect yours is much, much higher. GAT

Just for "fun" I worked out the impact of a 25 cent move in Crude, if I was holding the largest possible position I've ever seen in my backtest (4 contracts), based on my capital (£400K). The answer: 0.2% GAT

I find that on the internet, and on ET especially, the harsher you are the more defensive people are - and less likely to listen. GAT

Exactly right. See this blog post GAT