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Brief monthly update: up around 4% That will be all as I am on holiday. I will do a full update for 2 months in September. GAT

Makes sense. Glad you worked it out. GAT

Can you make sure you are using the latest version and post the enterity of exactly what code you ran; including any config changes. GAT

Thanks Portfolio construction; long only portfolios; geared towards cross asset ETFs GAT

No not yet. Refactoring takes second place to finishing my book for an end of year deadline. Are these algos for equities? My impression is that it's harder to get decent execution in equities (market rules, more HFT predators, more fragmented markets). GAT

"momentum" is an exponentially weighted moving average crossover "breakout" is as defined on my blog GAT

1) the graph is not vol adjusted, but shows the contribution of each trading rule to total profits. Breakout has a higher weight, so contributes more. Having said that breakout does seem to be more profitable than ewmac [remember something can be correlated, but still have a higher average...

It will probably become more obvious when there is a complete system rather than just a backtesting framework, but the idea is that syscore will contain a lot of shared "core" stuff. I might end up moving stuff around of course - there's some stuff in syscore that doesn't really belong there and...

There are two possibilities: - you are using a well known trading system, and a decent pattern match would work out which one - you are doing something unusual, and nobody will be able to replicate it. In eithier case it won't make any difference if you post your trades or not. Every single...

It would have been worse had you deviated from your system and made money. Then you might think, based on this one tiny piece of evidence, that you were a genius. Then you start deviating some more. Before you know it you're not an algo trader anymore. It's a valuable lesson. Stick to the...

A quick simulation with normally distributed returns gives the following results: SR R2 1.4 0.97 1.1 0.82 1.0 0.70, 0.87, 0.80 0.92 0.40 0.54 "I would clearly prefer the second series, because I care about downside variation not upside variation. Hence some use an...

There are many measures of risk. The risk measure used to calculate Sharpe Ratio is just standard deviation of returns. This doesn't "know" about risk of ruin; unless you use geometric means, which most people don't. It also scales with leverage. R squared gives you an indication of how...

Sorry I didn't mean to confuse you. My point was that R^2 is a measure of risk adjusted returns. Sharpe Ratio is also a measure of risk adjusted returns. Neithier measure risk itself. Let's suppose I have a strategy that returns 5% a year, 10% standard deviation of returns, R squared 0.9 (I...

You shouldn't use R2 without being aware of its assumptions, eg linearity of (log) returns. If your system has a lot of skew then R2 won't be great; although in fairness the same applies to Sharpe Ratio and any other measure of risk that assumes symettry [same comments apply to higher moments]. GAT

R^2 will account for risk - it is invariant to leverage (double the leverage and R^2 is constant) GAT

Should be log equity GAT

I will point out, without comment, that the leading strategies on C2 (all of which have multiple year track records and over 100 trades) charge around $100 - $200 a month. GAT

I don't normally respond to these kinds of threads, but I see you've paid for a vendor badge. I don't know if there are terms and conditions to being a vendor, in particular making outlandish and unsupported claims about performance and promoting trade sizes that are far in excess of what is...

I'm not familiar with TUT or the ETF's since I trade the futures independently (I can't find a definition of eithier). But I'm familiar with the strategy as it was part of the portfolio in my last job (we also did it in swaps and other countries). There are two issues; the size in 10 year units...

1. No as far as I know execid applies to each fill rather than API call. The API gets called when a fill happens, but also when you request the fills that have happened today. 2. Yes 3. When you submit an order to IB. 4. I think the execid would remain the same for a given order on both...