Search results

Always! That's why I dropped the idea of doing fancy fitting. I'd say the vol attenuation and mean reverting vol estimation don't add much complexity, and I think they're simple and intuitive by themselves. Extra trading rules, well they're individually simpler and linearly combined, so as...

Actually it depends on the profitability of the system; basically it's a function of the square root of the number of data points (trades) and the average return/risk of those trades. The more profitable the system, the less data we need to be confident. So it's only true that more trades...

Yes, by a factor of about 40... GAT

Well let's take the dynamic optimisation. I did a lot of faffing around with different ideas, but once I knew how to do it, it probably took me about 2 days in all to write production quality code that I was happy to implement (the research code I wrote to test the idea, maybe took me a couple...

Instruments - let's say an hour? Including getting the data. 'Adding a new system' -> have you got a piece of string I can measure? Could be anything from 1 minute for a parameter change to several years. GAT

Here you go: https://qoppac.blogspot.com/2021/12/my-trading-system.html There are links to the .yaml and code in the post. GAT

yes pairs trading is a type of RV trading GAT

Finding things that are cointegrated Getting position sizing / leverage right GAT

Relative Value GAT

Yes! It happened recently https://www.elitetrader.com/et/threads/micro-bitcoin-futures.359690/ Tips: make sure you check everything. In this instance, basically a lot of my automated checks would fail. In particular, my position reconciliation with IB would say "Looks like no position matching...

That definition neatly covers *all* trading except perhaps RV and market making... GAT

AHL MTD figures COB yesterday were around -5 to -6% Roughly what I'd expect given their vol target. GAT

You can say that again... today's p&l is now -3.5%... GAT

This thread now reminds me of something else: "Hi my names Steve" [Everyone] "Hi Steve" "Well I've been sober, I mean succesfully targeting risk, for 5 years straight now, but ...." [Moderator] "Go on Steve. We're all in the same boat here." "OK <chokes> Well: I lost 10% on Friday <breaks down...

As far as I'm concerned, calling it Black Friday was ironically spot on. GAT

Totally batshit crazy today. My daily p&l off my 7pm GMT mark last night has swung between +2.1% and -2.5% over the last hour or so- it's at the worse number now. I'm not doing any overrides, but I am rerunning my price collection, backtesting and order generation so it reflects the most current...

Todays trades give some insight into the DO process. I reran my backtest this morning, principally to account for the reduction in available capital, hence some of the slightly peverse buy/sell orders. Order ID Instrument Contract Strategy Fill Time Fill Amount Fill Price...

Which adjustments specifically? I've done this a few different ways. The most recent accounts for the length of data history. "Rolling back instrument fitting" not sure what you mean here, but yes I've reverted to using simple handcrafted weights for forecast weights. My logic here was that I'd...

Not significant performance, no. I'll include some stats on rules in my blog post (if I'm still trading next week!!!) GAT

Well I spoke too soon. I guess the market sold off after my closing mark 7pm GMT, , or my mark was delayed for some reason, but I dropped another 8% when my NAV updated at 00:30 this morning :-( So I'm in line with the 10% loss seen by others. Certainly my worst day since I started trading... GAT