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Everyone is being very rude. As far as I can tell the OP is looking for advice on which platform to use, not which strategy. GAT

No GAT

Sure you can use shares instead of futures, but the costs will probably be higher (might also be harder to leverage / short); though SPY is pretty cheap (very narrow bid/ask). Not a problem but you may need to trade a little slower to compensate. There's more on this subject in chapter 12 of my...

No (except that I always trade December Crude and fixed points for other commodities where prices show seasonal patterns to avoid confusing signals). I've never been convinced by seasonal effects. There normally isn't enough data to test whether an annual signal works or not. Turn of month is...

Read the section on the userguide for caching specifically this bit. Basically you'd: - run the entire system - when you get a new price for a particular instrument, remove the relevant contents of the cache - get the buffered position GAT

(graph is slightly out of date up to friday close; live numbers are up to this morning) P&L period: -3.2% P&L to date: 84.9% Drawdown: 16.7% Losses continue - May was the third losing month in a row' although right now I'm slightly up on the worst drawdown which was running at just over 20%...

Just in case you were wondering my last reply was both a little joke, and almost perfectly true. Drawdown distributions are a function of sharpe ratio, volatility target and the autocorrelation and skew of the return distribution. So if for example you do something like equity curve trading...

This might help https://www.quantstart.com/articles/using-python-ibpy-and-the-interactive-brokers-api-to-automate-trades Or you can also use swigibpy (a similar product) for which I've written extensive examples http://qoppac.blogspot.co.uk/2014/03/using-swigibpy-so-that-python-will-play.html GAT

Have a higher Sharpe Ratio :-) GAT

Yes I'm thinking of doing that. Also I'm considering including some faster trading systems. Reducing my slow system to daily checking will reduce congestion during the day. GAT

I'll discuss most of them at some point. One or two are copies of stuff I developed whilst at my former employer. If I put those in the public domain I'll get sued. I'm happy to include things that are around 90% correlated or less. There is almost no penalty in having additional rules as a...

Here it is with 37 instruments Correlation is 0.91 actually slightly higher than with 5 instruments. Again using equal weights after screening for things that have costs which are too high. It looks like your correlation is closer to 1.0, which suggests something very strange is going on...

On my ET journal or comment somewhere on my blog (don't worry if you haven't got the "right" page), eithier is fine. GAT

I wouldn't recommend this normally as I don't want to come across as a pushy salesperson, but there it sounds like the "semi automated trader" part of my own book might be exactly what you're looking for. systematictrading.org If you go to the publishers page (linked from "buy it now"), I...

More by the optimiser. I run some other trading rules in my system that are more similar to ewmac, whereas breakout is a bit different. GAT

Yes, mostly. The blog article is pretty detailed, there's nothing I can add to it here that will be of any further help. GAT

I don't use "price action" myself, I just mentioned it in passing and said I don't believe that the price action of different contracts is meaningfully different. By the way when I talked about "price action" I wasn't talking about trying to roll at a time when the spread was favourable (this...

OK I got 0.89 for the correlation which is higher than I expected (though perhaps not as high as you got). I used equal weights for the optimisation for speed, but I wouldn't expect much difference with more complex techniques. Partly this might be because using the classic set of 5...

Depends on the instrument: http://qoppac.blogspot.co.uk/2015/05/systems-building-futures-rolling.html

Yes it's messy. You need a table of contract offsets (carry vs price). First I pulled in all the relevant contracts individual prices. I generated a .csv file of roll dates, assuming the roll was done a constant distance before expiry (which varies depending on the contract). I then have other...