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PNL for trend following strategies tends to show mean reversion, but over long time periods (more than a year). On a monthly basis it basically picks up the patterns of the assets it holds, so you'd expect it to trend. Day by day, pretty much random. GAT

... and so yesterday I lose about 3.2%. I used to be really superstitous about posting when I got a HWM, since it seemed to be inevitably that the post would be followed by a steep drawdown. Then I realised this is silly; the market doesn't know I'm posting, it doesn't really know what positions...

Not sure why image isn't working (at least for me) try this: GAT

Well you will earn interest on it but that will happen regardless of base currency. GAT

The upwards run continues! At pixel time this morning: 2020-01-20 08:25:13.935482 1400.96 0.000000 701234.75 1.440355 That means I'm at a high watermark (the 0.00000), using constant risk I would have made 144% on my capital, and the significant figure is 701234.75, my accumulated £...

@nooby_mcnoob I noticed your keeness for ib_insync on another thread. Are you using it in production? Right not I plan to reinvent that particular wheel and wrap the python API myself as I've done in my current system, but I am not 100% decided (nearly at that decision point though). GAT

It's a great list, but it's a list of useful libraries. What the OP needs is something they can learn from. That probably means a project needs to be relatively small and tractable, and it must have readable, well written code. Whether the project is useful or not isn't that relevant. GAT

Although clearly useful and quite easy to follow, Andreas' python code certainly isn't exemplary. We are friends (I wrote a chapter for that book), and he wouldn't mind me saying this :) Actually, I wouldn't even hold my own code up as exemplary https://github.com/robcarver17/pysystemtrade if...

Finally hit the HWM yesterday after flirting with it for a few days. Total profits to date also hit a round number today, 140%. For the tax year that puts me at about 31%; and as I've said before my equity hedge lost money so futures made even more. I won't dignify this thread with a meaningless...

Yes it's horses for courses. I don't day trade, and I'm not bothered about FX risk. So there is no reason not to do the FX translation, and avoid paying the interest charges. I'd argue that for most people FX risk is just noise, it might add or subtract 2% a year from my account value, which is...

No, it doesn't matter. Consider the following possibilities: (assuming you don't have a multi-currency current account, and fund the account in the base currency) 1) You have a USD account, fund with USD, and buy a USD instrument. No interest payable (assuming you aren't using leverage or...

Ok that makes sense. I only have a GBP account. GAT

Opening a EUR account, and on day one translating all your deposit into USD will be exactly the same as opening a USD account and funding it with dollars. AFAIK you can't transfer money in or out of the account in a non base currency, so you should use the currency you live the rest of your life...

TFW you're 0.7% away from a new HWM... Meanwhile, I've just finished my series of posts on skew (with a bit of kurtosis thrown in for good luck): https://qoppac.blogspot.com/2019/10/skew-and-expected-returns.html https://qoppac.blogspot.com/2019/11/kurtosis-and-expected-returns.html...

Yes, to clarify: Panama is included in Systematic Trading, but not in so much detail. Leveraged Trading includes a row by row table illustrating how it works. Or you can read the blog. GAT

It's in appendix C of Leveraged trading, or https://qoppac.blogspot.com/2015/05/systems-building-futures-rolling.html, or https://github.com/robcarver17/pysystemtrade/blob/master/sysdata/futures/roll_calendars.py. GAT

It always seems easier to write from scratch than refactor. Several years into pysystemtrade later.... GAT

FWIW, just by eye my biggest winners seem to be BTP 8%, Palladium 6%, Eurodollar 4% (mentally adding up per contract figures in my IB report so not super accurate). GAT

Didn't for me, FWIW. GAT