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That's a fantastic post @wopr I'm very touched :-) And I won't forget the offer of pints! GAT

This is the killer line: account = accountCurve(price, forecast = my_system.portfolio.get_actual_position("US10")) You're passing a position into an accounting function as a forecast. They're not the same thing at all. What you probably want to is something like this...

It doesn't work for trend following systems, see my blog post on the subject. GAT

Actually I'm giving you guys slightly more credit than you're due: ... so I'd still be running the system now as the tax year has about 10 days left to run. But I still think you're great :-) GAT

An update on this issue. It does indeed look like this is the problem, and it's caused by forecast thresholding (forecast mapping function). I tried to fix it, but the optimisation code is such a mess, I think it would be quicker to rewrite it. This isn't a priority right now, as I'm trying to...

Thanks FCT, that's very kind. Actually it's been very useful to be able to 'talk out loud', and quite cathartic. In the last crisis (2008) I was lucky enough to be working in a shop full of very smart people who I could bounce ideas off, and I feel lucky to have found a small group of people who...

To be fair there is a bit of natural confusion between the terminology in book, and in pysystemtrade. Let's talk about futures contracts specifically, as they are a bit harder than FX or equities (but not as bad as interest rate swaps and CDS that have variable block values!). If I check out...

About 2bp of Sharpe GAT

As of yesterday, I'm starting to average in back into risk assets. Still staying away from individual equities, which means I'm buying ETFs as 'placeholders' to get Beta exposure until I have clearer data of individual fundamentals. Bought some yesterday, some more this morning, and I'll...

I don't have any thoughts in that direction, and what I buy will be determined purely by systematic value metrics. GAT

Hi FCT In my defense, my portfolio allocation to UK stocks is modest. Before the s*** hit the fan it was running at 27% of my equity allocation (it's now 12%, which mostly reflects the fact that my UK equities had stops on them so were sold very quickly). That's more than is justified by global...

Just to note also, I will probably modify this given how many dividends have been cancelled to remove the yield and dividend cover requirements for now. GAT

I keep this portfolio pretty simple. 30% stop loss. My UK universe is FTSE 350. The filter is as desribed in Smart Portfolios. Forward PE < 12 EPS growth > 0 Forecast yield > 4% PTBV < 1.5 Forecast div. Cover > 1.2 Gearing < 50% I don't do MVO, just buy equal cash weight. GAT PS Looks like...

To be clear I wasn't thinking about the arb which is definitely institutional only, more like a market making strategy. Spreads on some ETFs have been very wide. This is driven by NAV uncertainty, but it isn't technically the discount you are buying since you don't arb against the underlying...

Crazy day today (so far). I hit another HWM at 152% of profits at 3am this morning, about £733K in cash terms, putting me at 43% for the tax year. Then gave back a little at the European open, before getting smashed this afternoon losing about 7% so far since the HWM (or 5% on the day, and back...

There are a few types of trading strategies that are supposed to do well in a crisis. I was just wondering if that had actually borne out. The HF return numbers for March will also be instructive. GAT

Normally this is not something you can easily do, but many ETFs are trading below NAV pretty consistently, with gaps increasing at times of serious stress. GAT

In this thread I'd like to hear from people who have (a) made money in the last month, (b) did it with something more interesting than a massive short on SPY which they put on based on a whim, and (c) are willing to share what their strategy is. Is it options RV? Aggresively buying the dip on...

Do you mean machine learning? Most good ML quant traders still operate using the idea of having a hypothesis to test before looking at the data. There are some domains where that doesn't make sense, but for most it does. GAT

Something wrong with the DNS server network. I typed elitetrader.com into my browser, and appear to have got stackexchange. GAT