Search results

There might be dozens of funds using it, but they're mostly very small, or a small proportion of the assets being managed by more conventional techniques inside a big fund. They generate a disproportionate amount of PR but this isn't a big part of the industry. I would wager that less than 10%...

A lot of these things (NLP, AI, deep learning,... ) are like sex for teenage boys in high school. Everyone claims to be doing it loads, but the truth is that nobody has been able to do it properly, but they don't want to lose face admitting the truth. There is just one cool guy who has actually...

All things are possible, although this would require some more re-engineering. This is already on the list - I'm particularly interested in this type of system myself. GAT

I satisfy your requirements for "success" but I don't believe I have an edge, so I can't vote as there was no option for that. GAT

Futures. You are trading very infrequently so you'd need quite a lot of history. Your backtest is less than 2 years - normally this kind of strategy you'd test it over multiple decades. Also, to be frank, your historic account curve looks far too good for this kind of strategy and the number...

I developed and ran some macro strategies for a large quant fund a few years ago. Too correlated with their existing business, so was shut down. Hard area to make money in. GAT

Perhaps we should rename this thread "AHL Watch"! GAT

Relatively easy, and I'll add it to the 'to do' list. However I note in passing that if you equalise asset sharpe ratios, as I prefer to do, minimum variance and maximum sharpe ratio portfolios will be identical. GAT

Currently I'm using my older system for live trading, but I do plan to replace it with pysystemtrade for both live and production trading. I keep changing my mind on the 'separate systems' issue. For the kind of amateur low frequency trading I'm doing I think it's perfectly okay to have a...

When I started in hedge funds I used R, the same language I used in university for my masters dissertation so it was fresh in my mind. We also used S+, Matlab, C++ and a proprietary language elsewhere in the firm. Then the firm decided to consolidate and rewrite everything in python. So at that...

Neither the firm, or the holding company (Sterling Act Management) are registered with the FCA: https://register.fca.org.uk/. Avoid. GAT

Not exactly market making and you wouldn't cancel orders; the point is if you think the fair price based on some analysis is 100 and you'd happily buy at 90 and sell at 110 then you can put a limit buy at 90 and limit sell at 110, and just leave them there. GAT

There is a picture in this post https://www.elitetrader.com/et/threads/fully-automated-futures-trading.289589/page-6#post-4094709 I would say that I probably agree with you on the relative mean reversion strategy, but not so much on relative carry which if anything has made more money in the...

It is almost impossible to make money from intraday trend following as the costs are horrendous. You have to cross the spread and pay up on slippage every time. Once that is factored in you need double digit Sharpe Ratios to make it pay (without giving up more than a third of your expected...

Purely that code written by amateurs is more likely to be buggy than code written by teams of professional software engineers. GAT

Relative value carry - simply take the carry system and deduct the average for the asset class. Relative value mean reversion - again compare the recent price trajectory to the average of the asset class, and bet on it mean reverting. I appreciate that is scant detail, and when I get time I'll...

It might not be clear but psystemtrade is 'version 2' - Version 1 of my code I wrote a few years ago, and I'm actually still running since pysystemtrade isn't yet a full featured end to end trading system. Most of the design choices I regretted in version 1 I've subsequently fixed (or will fix...

I'm talking at https://quantconsingapore2017.splashthat.com/ GAT

You're correct. For the contract I trade (large size) it should be 250K so out by a factor of two. For interest I verified this by dividing the current contract value on IB page (KRW 76,916,748.05) by the price (KRW 307.666992). Github should now reflect this. Good spot. An excellent example...

I think you've linked to the mini contract there. GAT