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Probably a subtle date / time alignment; I've raised an issue https://github.com/robcarver17/pysystemtrade/issues/48 Thanks GAT

One sort of famous trader is based out of Singapore, and indeed has publicly raved about how wonderful it is: http://antonkreil.com/ (PS: I absolutely don't endorse his product in any way shape or form) I don't know what kind of visa he is on since I'm pretty sure his ITPM shop doesn't employ...

The raw carry signal is carried forward from the last valid value. That might have been the previous days close (note in many contracts such as equities you get a 'spread marked to model' closing price even if there has been no actual trading), a few days before, or in an extreme case like Korea...

I didn't realise anyone knew what medallion did... I'd be surprised if it was intra-day trend. GAT

I've looked into this and I can't repeat the problem, nor can I see any obvious bugs that might be the cause. For example with USD and GBP I get sharpe ratios within 0.02 of each other. There are still some small differences as you'd expect for the following reasons: The main difference is with...

The carry data file gives the current contracts being used for prices So for example in here: https://github.com/robcarver17/pysystemtrade/blob/master/sysdata/legacycsv/EDOLLAR_carrydata.csv The final row (#8646) has a price contract of 201909 and a price of 98.1175. The carry contract is...

Looking after kids is a job! GAT Trader, writer and child carer

Curiosity

Pick the answer that describes your current situation best.

Feel free to interpret day trader and profitable as you wish.

This is more down to style. If you have a strategy with a high win rate, eg market making / scalping then that would be logical to think in terms of a monthly income (with a big cash buffer for the inevitable sharp losses). If you trade more slowly, and have a low win rate, then thinking about...

Profitable is dead easy. Have you made money after commissions and all other costs? This is an absolute measure. However it can make sense to look at your relative performance against benchmarks. If you are never short stocks, and only invest in the S&P, then looking at your performance against...

You still haven't answered my question: "What proportion of your capital would you lose on single trade if you hit your stop?" If you don't know the answer then you really do need to stop trading. You're just gambling. If you do know the answer: Is the answer less than 2%? If not, then...

Whatproportion of your capital would you lose on single trade if you hit your stop?

What proportion of your capital would you los on single trade if you hit your stop? What proportion of daily vol is the stop gap? What is the ratio of stop profit to stop loss? Do not consider using options yet with your current system you will just steadily lose money buying vol. GAT

So you're paying 0.25% a year in management fees on your cash balance, when interest rates are still zero? GAT

It's been nearly 4 months since I updated this thread on performance. I've been really busy trying to finish the initial draft of my second book, which is why there have also been no blog posts or commits to pysystemtrade. There are some other house keeping things I need to do like getting a new...

I don't understand how you can use the lowest leverage possible and still be exposed to frequent near 100% total losses. Unless your account size is absolutely tiny and you're trading futures with a large contract size? In which case you need to stop doing that. GAT

Use less leverage (I'd say you are using at least 10 times as much). Or switch to a strategy with a lower success rate but which will probably have less tail risk. There is no magic formula. GAT PS Don't remove your stops

The logic is to design trading rules that "ought" to work, and then through capital allocation make sure we don't give capital to rules which are really terrible (and statistically significantly terrible) or 99% correlated with something we already have. Essentially we get away from explicit...