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Yes, definitely GAT

It would be a fair bit of work for me to work that out, but I will see if I get some time to do it, as it would be interesting. GAT

I think I see the core of pysystemtrade still being used to generate (on a daily basis) some long run return expectations based on daily data. However there will have to considerable additional layers on top of that, and I'd probably replace the p&l engine for example to use intraday data. GAT

Carry 35% Short vol bias 5% Mean reversion within asset classes 10% GAT

Futures trading which is 50% TF GAT

I've thought about this in depth before https://qoppac.blogspot.com/2014/12/why-you-need-two-systems-for-running.html In practice for this new system there will be 'off line' components that are the same for both research and execution; however the faster mean reversion element will be...

I used to have a second account in my account, which I used for some long only stuff, and I can't remember if that caused any issues with my code. So yes, this might be an option. In fact there are some issues with turning off things entirely, in particular I'd lose my intra-day price...

Just an update for you guys. Trading wise the last few months have continued to be profitable, and I've made another 20% or so since I last posted so I'm currently at 30% for the calendar year; in fact I'm currently at a 6.6% drawdown so the gains were even more impressive until quite recently...

I don't believe I have an edge, per se. All I have is systematic exposure to a diversified set of risk factors which are very well known (carry, momentum, short vol and other bits and pieces). The hard part is sticking to the exposure. A good analogy here is that Warren Buffet has no edge in the...

Something like median of the MC distribution of maximum drawdowns? That would be much better although I haven't formally investigated the statistical properties of MC max drawdown. GAT

Max DD is a poor choice to optimise because for a given backtest its pretty random what the DD is (to be technical it has high sample uncertainty) GAT AKA Rob

Oh yes I completely agree. I considered but did not go ahead with shifting to event driven. As yet another alternative I quite like the idea of FRP but when I last looked at this the python implementations were not very mature. GAT

No, but I have considered changing my setup to a message based system (currently objects interact via databases), and when I evaluated the various options out there zero mq came out top. GAT

+1 for 0mq GAT

... and exactly 7 posts for a generic IT query to turn into a language war. GAT

I've used Linux mint for a fully automated IB gateway setup for over 5 years now, with no issues. GAT

No. My volatility target is set as follows: 25% * NOTIONAL CAPITAL NOTIONAL CAPITAL = MIN(£400K, £400K + current drawdown) [I translate everything into $ since most of my futures are $ based, but that's not really a big issue] Notice that this means my account won't compound up, since I...

25% It's my trading account, so that's effectively futures trading plus some fully delta hedged stock exposure (but not a perfect hedge). It's a pain to check where the p&l is coming from, but based on my experience most of it (at least 2/3) is probably from the pure futures trading. GAT

Crikey this thread is quiet :-) Sorry guys, have been finishing off my third book (the prototype web site is here: https://www.systematicmoney.org/leveraged-trading which will give you some clues) and also been doing some consultancy work (and being distracted by watching way too much s*** on...

AFAIK he hasn't broken the rules. The rules are wrong. GAT