Search results

Last windows I used was Windows 7. GAT

Back to the drawing board https://qoppac.blogspot.com/2021/06/optimising-portfolios-for-small.html "This was a cool idea! And I enjoyed writing the code, and learning a few things about doing more efficient grid searches in Python. But it doesn't seem to add any value compared to the much...

THIS PROBLEM IS NOW FIXED (HOPEFULLY!). I changed my configuration file as noted above, and then at some point this morning IB updated their contract configuration so that the ib.positions() call also returned the correct code. It looks like they didn't initially propogate the change properly...

I've changed my configuration file, so at least I can collect prices. But my code now won't recognise the existing position as Bitcoin, which means I can't trade it. I'll have to manually trade the position until it's closed - I assume then any new position will have the right symbol. GAT

No, I've been collecting prices for June, July, August and September BRR multiplier 0.1. So they definitely existed for at least a few weeks. And, as I keep repeating, the ib.positions() api call still gives me back a July BRR 0.1 multiplier position. GAT

Yes I'm sure about it. Obviously it has changed - I can assure you that the micro bitcoin used to also have the same ticker BRR but a different multiplier (as we have for other markets like the DAX). And the fact ib.portfolio() is returning the old ticker confirms I'm not going crazy... GAT

Off topic, but I'll answer. I look at risk adjusted trading costs. Those are lower than you might think, because the market is insanely volatile. Those come in at 0.0095 SR units per trade, using a conservative spread of $62. That's actually sightly lower than Eurodollar futures (3 years out)...

I run a fully automated futures system through IB with python (ibinsync) IB have done something every weird... they appear to have changed the ticker for the micro bitcoin from BRR to MBT (without telling me, which is nice!), but for my existing position the API is still returning a ticker of...

There are *many* generic backtesters in python. I really ought to keep a list as this question gets asked so often. But there a list at the bottom of this page. GAT Disclosure: I am the author of psystemtrade

Preferred Language? GAT

Yeah that works well; I experimented with num_processes and anywhere between 4 and 16 does pretty similar; I used 8 since that is the number of cores I've got GAT

Thanks will try this. Out of practice with this stuff! Been nearly 8 years since I was playing with AHLs massive research cluster.... GAT

Quick update on this; I found that process pool actually slowed this code down! (by about an order of magnitude) So basically I'm doing: loop over dates generate possible grid points for a given date And then this code: grid_possibles = list(itertools.product(*grid_points))...

Wake up at 6:45 am. Get breakfast ready for family. Waste time on social media. Take a desultory look at the headline news. Coffee, food, desultory 10 minute exercise (stretching and pressups) (Twice a week I'll go for a bike run or a run at this point) Shower More coffee Take the 1 minute...

Ha! This is definitely the funniest post on this thread! GAT

I'd run it at half the level you initially suggest (20% max drawdown) for 6 months and check the risk profile is as expected. I'm guessing your losers and bigger than your winners, i.e it's negative skew. So it's a potentially very dangerous strategy. GAT

Yeah my p&l didn't update yesterday not sure why. But from 7pm on Wednesday to 1am this morning I was down 4.6%. Probably one of my biggest losing days. GAT

You're the very rare case then :-) "The assumption that ALL my positions in different names could go +/- 100% any second is a bit absurd." Flash crash? Although if you're long/short (which I'm inferring you are) then everything going to -100% is no biggie. Not sure I agree with the argument...

Oh OK. I was wondering how easy it would be to open a SIPP via IB. I have a SIPP which is long only equities, but IB don't offer a SIPP. But in theory if you got a SIPP trustee to open an IB incorporated account then you'd be able to do it that way. However I imagine the cost would be...