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I've only ever used BB in a professional context. I would never justify using one on a retail account. Part of the attraction, honestly, is that you're not anybody in finance if you aren't on BB. So it's a signalling mechanism ("I am so important that the bank is going to spend 2 grand a month...

Python can do this in one line: (okay 3 if you count the import and the function header) import datetime def dateFormat(date_string): return datetime.datetime.strptime(date_string,"%d %b %Y").strftime("%Y-%m-%d") This is helpful https://strftime.org Epoch time, to be fair, is a bit...

Your evaluation period is way too short for statistical significance. High frequency traders (avg holding period: a few seconds) expect to use at least a month or two of testing to find a promising strategy. Traders with holding periods of around a month need decades of data. You are probably...

It won't be possible to do the futures/ETF arb in one direction. The ETF will probably trade at a premium. I recommend these articles https://ftalphaville.ft.com/2020/04/21/1587478056000/Can-the-USO-fund-collapse--/...

Hot off the press, creations by AP's in USO have been suspended. GAT

This is quite useful https://ftalphaville.ft.com/2020/04/21/1587427987000/The-United-States-Oil-Fund-mystery--revived/ GAT

I hope not :-) Even if you were short, that was a dangerous game to play. I've banged on enough times about avoiding the front contract in futures when you can, especially for something that is physically delivered. You don't want a perfectly decent position being murdered by weird technical...

That isn't a million miles away from what I do. I trade a bit quicker, but over the same range of futures markets (I'm assuming you trade futures). I don't use explicit stops, and I do continous trading rather than discrete (so I'm always adjusting positions according to changes in vol and...

These are my actual total returns across all my investments. On this thread I only talk about my futures trading account. That is why when you asked me for figures I quoted just the figures for my futures account. GAT

The figures on my blog ignore compounding. So you could just look at this table from the last blog post: Year: 14/15 15/16 16/17 17/18 18/19 19/20 Total: 57.2% 39.6% 0.3% 0.4% 6.1% 35.7% GAT

Hi I use a couple of different sources of return statistics; my own (which assume a constant capital base of £400K) and fundseeder (which uses the current value of my account at the time, usually larger). With the way my system is currently (badly!) setup, it's often quicker to jump on to...

About 15% GAT

Diversification is the only free lunch in finance. A cliche, but one that happens to be true. GAT

Fixed, thanks GAT

I wrote a very large number of words at my blog discussing performance over the last 12 months: https://qoppac.blogspot.com/2020/04/trading-and-investing-performance-year.html GAT

This is the kind of question stack exchange is better for than me https://stackoverflow.com/questions/2356851/database-vs-flat-files GAT

Hourly, but this is currently unnecessary as my current system uses daily data. GAT

Will depend on the system, but the table 11 values are fairly conservative and not a bad guide. GAT

A mean of 5% is too high, as that gives a Sharpe Ratio of 0.42. Assumptions are SR 0.24, standard deviation 12%, then your expected return will be 0.24*12% = 2.88% per year Using a simple excel calculator I make that a 2.8% chance of a 20% loss. However the actual results in the book are...

Flash figure for 2019/20 tax year finishing yesterday: +35.7% Attribution: Futures trading +39.7% Stocks plus hedge: -4.0% I'll do the more exhaustive analysis on my blog in the near future, which will include the total shitshow that is my long only investment portfolio. But this is the best...