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Yeah here's my 'screen setup' I'm fully automated, so apart from the occasional VNC in if the IB gateway / IBC goes down and needs manually restarting I never use the 'screen's on these machines. There are only 3 'computers' in the cupboard; from top shelf downwards: (out of shot) wireless...

No that's my NAS. Don't have a UPS. GAT

It does, but you can't see them very well. Ideally I'd have a massive data centre rack but apparently that wouldn't look right in the house GAT

New identical trading server and backup/development machines now in situ (the mintbox on the top shelf is my old machine, now used for monitoring purposes)

There are some contracts where using spreads is a massive advantage. An example would be Eurodollar, where the spread market is actually more liquid than the outright. And there are others where it makes no difference or is impossible. If you're going to get filled passively (eg buying at the...

It can work pretty well; I priced up some of the more liquid US ETFs and they were competitive cost with some futures. When I used to work for AHL we used them mostly for EM equity indices for which there were no futures. A nice side effect of that was that the corporate entertainment was much...

Let's hear no more of this fiddling around with forecast weights, or I'll have you thrown out. GAT

then why bother? may be a good question!) It's exacly the question I would ask, that's for sure... GAT

No trials is not backtests. It's how many times you fitted the data. Basically the more fits you do, the greater the chance of finding a spurious result, the more data you need. So unlike data points, you want fewer trials. And this particular plot would be different, depending on the underlying...

It depends a lot on trading speed and the style of trading. So for example an HFT firm will use around 3-12 months of tick data for fitting, because the profitability of strategies is so high their alpha decay means the strategies can only be exploited for a few months. I'm doing medium speed...

Risk capital at a 25% annualised standard deviation target. So 12.5 to 25 million dollars of annualised risk. GAT

For the kind of trading I do (diversified futures, medium speed mostly trend following) I'd say that to: 'always' (Say 99.9% of the time) be able to execute at the inside of the order book without going deeper be no more than 0.1% of the daily volume to avoid market impact Be able to allocate...

It's something I am considering. It's more complicated than it sounds, but may still be worth doing. GAT

Well I live in the UK. Houses are very expensive here clearly compared to where ever you are from. As a result, almost everyone buys a house with a mortgage at some point in their lives, even people with high incomes. They just buy bigger houses. Someone earning £300K after tax in the UK -...

Ha! Same thing happened to my thread. Started daily, then weekly.... now I only post performance when I feel like it and maybe once a year. Performance threads for automated trading aren't that interesting, but it is nice if you can get a discussion going about what you do and why... that's...

Val's journal is here https://www.elitetrader.com/et/threads/fully-automated-stocks-trading.346201/ GAT

Please don't blindly follow anybody, even me! To be clear: I don't exactly do this; I don't actually dynamically change the definition of whether something does or does not require thresholding, they have remained fixed for several years. As a result my thresholding would probably require an...

Someone after my own heart... good a reason as any to do anything. GAT

Wasn't joking. Perfectly true story. Earning 300K a year and driving a 100K or 150k car is IMHO nuts. Let's say you change the car every 3 years and depreciation is 50% over that time. That's 16.7 grand a year on depreciation alone. To that you can easily add another 5 grand in running costs...