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If you actually read the series of blog posts they each reference several gists on git hub. A summary is here: https://qoppac.blogspot.co.uk/p/code.html This section: gists: python-IB-API GAT

The short answer is 'no', I've never done much arbitrage. I originally used this username when I was a member of the discussion board community UK branch of fool.com (now sadly demised, but mostly in other hands now at lemonfool.co.uk). At the time I was trying to disguise my identity so I...

Again if you could use google: https://en.wikipedia.org/wiki/Comparison_of_free_and_open-source_software_licenses I'm no expert on this but I use GNU v3 for my own stuff (https://github.com/robcarver17/pysystemtrade/blob/master/LICENSE). The summary at the top of the github page is really...

When calculated correctly skew is a standardised measure so doesn't need annualising. γ = E([{rt – m}/ s]^3) where y is skew, E is the expectations operator, rt is the return, m is the mean, s is the standard deviation (sorry it looks better in greek) GAT

Not everyone rolls. So the spread movement depends on the balance of supply/demand between rollers and non rollers. GAT

Which interestingly is exactly in line with Taleb's philosophy; the median high salaried employee will have much higher wealth and lower wealth dispersion than the median of someone who undertakes risky activities, even if the top end of the latter group will end up with far more money than the...

You're exactly right - you shouldn't use % changes, but use delta prices. GAT

Thinking about this more deeply: yes the expectation of the gap for a longer term trader will be close to zero, but not exactly zero. If for example I take S&P 500 then I might have an average expectation of a 20% annual move (roughly 1 SR) which is 0.08% per day. Half the bid/ask is 0.125 price...

Advantages- Yes bugs are found more quickly Pressure to do things properly - documentation, tests, regular updates to cope with pandas or IB api changes etc Some people have come along and contributed, but you shouldn't assume this will happen in any great numbers - open sourcing isn't an easy...

If I do 3 then I have to pay 2x(trading cost in future) If I do 2 then I have to pay 1x(trading cost in future) + 1x(trading cost in spot) In my experience the trading cost in spot is usually higher than the future, hence 3 is cheaper. Of course this wouldn't apply to a cash settled market -...

1 is preferable, but not all markets have liquid spreads. 3 is the second best option (all other things being equal will cost you twice the spread option) 2 will usually result in more trading costs, and also gap risk (the price may move between the settlement on one day and when you get to open...

Not in an easy way right now GAT

I wrote about this on my blog here. Short answer is I think it does make sense to use CAGR / geometric returns if the target is your median expected wealth at the end of the investing period. So you have to be thinking in terms of probability expectations and also think that using the median is...

Well the discussion is about how you deal with handcrafting weights, rather than doing an optimisation. And specifically how you deal with the fact that when grouping things together, groups may vary in how they are diversified (size and correlation), and a sensible adjustment to make for that...

It depends on the turnover of the rule but a good rule of thumb for ewmac is to use n of twice the faster mav GAT

When I last did this exercise ES was a little more value volatile than NQ. But now because volatility in ES has been crushed the order has been reversed. So I'd agree that ES is better for a small account. GAT

You do a scatter plot of the ex-post risk adjusted return vs the ex-ante forecast (both in risk adjusted return units). You will normally see a linear relationship; stronger forecast, stronger risk adjusted return and vice versa. If you saw a binary relationship (positive forecast, positive risk...

From my second book: "Consider the simple three asset portfolio I used when I introduced the handcrafting method: UK equities, US bonds, and US equities. The grouped weights of this portfolio that maximise Sharpe Ratio are 50% in US bonds, 25% in UK equities, and 25% in US equities. These are...

Of course. A cleaner measure of performance might be something like my entire portfolio vs AHL risk parity + X% momentum. GAT

Both - I have multiple variations of carry, with different smooths; and carry gets a lower weight than it would otherwise because I have only two carry trading rules (both with ~10 variations) and about 30 odd variations of different kinds of momentum. GAT