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I'm not convinced that non linear p&l is more likely with strategies trading the same asset, than with multiple assets. (b) is true of any asset, since nothing trades at exactly the same time. If I'm being honest, I'm not really understanding the perceived problem here. GAT

Oh I think it comes down to how you handle stuff. If I have two things that are uncorrelated, such that their average forecast is quite weak, then I leverage my system up to hit the same risk target. The disadvantage of this approach is that correlation is an average, linear, measure of...

My concern here is that if my strategies are highly correlated, they will lead me to over leverage myself. Think you mean uncorrelated? I'd allocate a fixed proportion of my risk and leverage up my portfolio according to how diversified the strategies are (but you knew that, right?). A key...

I agree there is no special moving average. It's pretty silly to think what 197 day is different from 200 day; but 200 day and 100 day don't produce especially different p&l. I disagree however with most of this. I think moving averages done properly still seem to be working at stock index...

https://www.interactivebrokers.co.uk/en/index.php?f=14193 ICE futures data costs $120 a month. Now, if I had a multiple of my current capital I'd probably swallow that. But I'm already at my limit for markets, so if I included ICE I'd have to take something else out. GAT

Yes, I still remember nearly 10 years ago when I first had the concept explained to me, and it certainly took a few attempts at working through it to "get" it. GAT

code fx vol pointvalue expected_annual_risk_per_contract 11 SHATZ 1.14905 0.0270 1000 343 6 KR3 0.00087 0.0575 1000000 550 16 V2X 1.14905 0.6170 100...

In theory rate would go up and then down (or the other way round; I don't know what the quoting convention is). But that's probably silly. Fly spreads mostly aren't driven by bank expectations (hard core spread traders will know this is a slight simplification bit I don't want to introduce any...

The one thing that strikes me about this thread is that the process being followed sounds incredibly (over-) complicated. However it might just be the language that the OP uses; they seem to have a knack of describing things in high falutin' terms that might actually be very simple. GAT

Monthly review (last one was April 5th) P&L period: -10.0% P&L to date: 88.1% Drawdown: 13.5% A bit of a bump in the road. Three weeks of bleeding slowly to death, followed by a flat period as I've almost completely derisked. A 13.5% d/d is by no means lethal. It's only slightly higher...

To be clear: this code returns a position; sometimes given only a forecast, but possibly also with other information. Essentially it does all the calculations in chapter 7-10 of the book "in one go" from forecast to position, making assumptions where it needs to. It "works" because we evaluate...

Can you point to the piece of code that isn't clear? GAT

A 10bp spread could be interpreted as a 10/25 = 40% chance of a rise, 60% chance of no rise. A cut would be a negative spread. Eg if the price goes from 99 to 99.5 that implies a 50bp cut. GAT

Then why not automate it? By running it manually it's possible to let bias creep in. If it's totally objective and that isn't possible, it can and should be automated. To manually test enough trades to get a significant result is going to require 1000's of hours of work. I can understand the...

Okay...Isn't the danger that you'd know what was going to happen in advance, so you'd be able to cheat? So if I was doing this the most important thing would be to mask the information on the market by removing any identifying information; eg the name of the instrument, the dates (or shift to...

Dumb question no doubt, but what on earth is manual backtesting? Sounds like an oxymoron. You know like "successful day trader"* GAT * This is a joke. Please don't start on OT flame war.

http://qoppac.blogspot.co.uk/2015/11/david-versus-goliath.html

No, the standardisation by the range of the price is good enough. GAT

Eurodollars are forward rates so in theory the difference in price can be interpreted as the average expected total hike over a given period. If the 1 month rate was 12.5bp higher then that probably means there is a 50% chance of a 25bp hike given that rates have usually changed by 25bp (though...

Blimey that's a lot of trades. I'm curious as to what strategy you're trading. Do you think the demo account is giving you realistic fills? GAT