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Very briefly in the Corn case, if -once allowing for costs - the expected return is higher on another instrument you'd close the Corn and open something else instead. You're right about backtesting, but this is something I'd probably demonstrate as a proof of concept on a small number of...

"If you make a certain nr. of trades your trading income will be taxed as income," Extremely unlikely and certainly not for a mere 50 trades a year. I do thousands of trades a year, and it's still classified under CGT rules (there are other tests you would have to meet). Here's a back of the...

Great post but I disagree with 2 and 7 GAT

2% And it's the top CGT rate that is relevant GAT

Spread betting is more expensive though. GAT

Progress has been quite swift over the last couple of weeks. I'm continuing to add markets but clearly this is going to take a while. I've put all the markets for both the first and second batches into my configuration file and there is a sobering total of 227 rows; of which 40 or so were my...

There's some links here (you may have to page down) https://pypi.org/project/Backtesting/ https://github.com/wilsonfreitas/awesome-quant https://github.com/EliteQuant/EliteQuant Disclosure; one of the projects mentioned is mine: https://github.com/robcarver17/pysystemtrade GAT

Just start a journal. Then you have the advantage of multiple collaborators HAT

Website still works but it looks like all IT upgrades have been paused for some time. GAT

Negative carry GAT

It's K200M. If you have monthly rolled K200 prices though that would be perfect as well. GAT

It's not critical and there is probably more value to be gained from greater granularity than from having the seasonal match. Action: change mini crude to monthly rolls. This will involve rebuilding the multiple and adjusted price series, and needs to be done before the next roll occurs. No...

Blimey! GAT

I have a buffer, discussed already, but it doesn't work exactly like that (I assume what you mean, which you haven't written, as that I back out the expected risk for a given position and then work out if that is different from the target risk). For starters, the target risk will vary depending...

Your honesty is refreshing, and your assesment in this case is spot on. As @believezz already said, 'quant' is a much broader term than just 'quant traders', i.e. traders who use some kind of quantitative analysis as their primary tool for making trading decisions. There are quants who work on...

True but almost all the defaults are the ones I use: if I don't use them why would I recommend it? GAT

That's a good spot, thanks I'd missed that. Guess I'll be taking Copper out of the list of substitutes. For the record the others are: NYMEX MINY Light Sweet Crude Oil NYMEX MINY Natural Gas Index E-Micro Gold Mini KOSPI200 Index Micro E-Mini Nasdaq-100 Index Micro E-Mini S&P 500 Stock Price...

Sure, which is why I manually check it before I backfilling it, and automatically check it when I sample it. I'd never trust data from any source, no matter how high quality. GAT

No I don't. I've found barchart to be pretty good for futures, but I don't trade equities systematically so not sure what their coverage is like for that. Obviously bloomberg, if you have a $10m+account and can justify it. GAT

It depends what you're doing with it. The robust method I use for fitting my trading strategies, which pools data across many different instruments, means I can start trading a new instrument with just a year of data. But if only had one year of data for every instrument that would be a...