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Well, first -- "0" and below would suck (mid-2013 to mid-2014), but the rest is well above that. As for what 'wasn't working' so well? Impossible to say without knowing 1) the type of trading -- bullish, bearish, direction-blind/trend-exploiting, iron condors?? and 2) knowing the periodicity of...

Uh-ohhhhh! Now you're gonna come upon Sorbino, and get into a Sharpe v Sotino debate, and you're brain will ex-plode. And horror and ugliness will follow. I am so sorry. But here... :D https://en.wikipedia.org/wiki/Sortino_ratio

The well-founded, long-examined basis for market participants is that no individual actor has size sufficient to affect the (∞-many) other actors. But for us as traders {including 'micro-hedges'}, no matter how liquid a trading market, it does not come close to "∞-many" right? So, what size? Is...

The author doesn't disagree with you in the least, but points out that the ability to scale those returns *really* impinges on an 8-to-10 figure fund to make use of it, whereas family offices (or individuals) running into $millions can have a good time with it. (That wasn't the only thought, for...

I getcha. {head nodding...} But the immediate broker would always have the advantage of having already undertaken 99%-100% of the necessary paperwork "transaction costs"... And in the end, those costs would be paid twice, essentially -- eating into user benefits and into provider costs...

Yeah, that "252" has to be matched throughout -- it's assuming the "asset" (your algo) is exposed to market return and market risk every trading day. FWIW, if you set a running average right after your pnls.cumsum, the result would be a running PnL mean that would diminish with each 0-day. (If...

In economic terms, "transaction costs." All that paperwork (if digitized in 2018) that we sign in getting set-up with our brokers (whether introducing or DMA) includes an ability to make a stock-lending operation work, with little more than a check-box. Thus, we all hang out under the initial...

When disparate, formerly-stable trade set-ups, having run thousands of trades in different markets and from different locales, simultaneously develop execution issues which impinge (or outright deny) operability, then a little Boolean logic ....... yeah. Nah. Nevermind.... :rolleyes:o_O:confused::(

But if your risk is capped with a stop_loss, Time_in_trade increases your exposure probability, but not your stated $$-risk. (It's very annoying, isn't it? To have something like 5 different everyday uses for the single word "risk"? Cracks me up....)

That's a good summary. :thumbsup: The answer goes back to the first post: I'll roll my own, which is *probably* where I'd end up anyway, so as to know each and every number/calculation/conclusion in intimate detail. Shortcuts would be fine, maybe even worthy of systemic adoption [!!]...... but...

OMG. After I responded to you, something struck me -- that I'd seen "Box&Whisker" plotting in various places, and that took four data points (at least) to form, and what if you just strung those together -- wouldn't that be a Japanese Candlestick? Long story short: with a little bit of...

I have not tried MotiveWave, but one thing {mentioned above} that appealed to me about TV was the ability to share things with non-IB clients/users, AND to have access on weekends (something that had been completely unavailable on IB long ago, but may be different in these last few years....)...

"Ewwww!" I have never owned a MicroBloat spreadsheet. But how is the software relevant? Regardless, OpenOffice and LibreOffice both, offer a smaller and more-robust platform, smaller finished spreadsheet sizes, ferocious backwards and cross-platform flexibility, and a similar set of features.

Is there even one ES FOP that is American? I don't recall one. Hmmmmm. :rolleyes: (Ahem. You might wanna check.) ((Ah-HA! sle knew {see below}: The Quarterlys! So, 4 times a year. The weeklys, sub-weeklys, and EndOfMonths, are European. So, roughly 168 expiries out of 172, there be no...

This would not be the first time you have not comprehended that a deep IB problem can/will manifest in different ways, as threads from the same web branch outward. You have good things to say, generally, d08 -- but following systems is not one of them.

https://groups.io/g/twsapi/message/41061 There seems to be an underlying TWS problem -- of a character/degree not seen before -- that is screwing with trade set-ups. Implications for API development are obvious: how can you develop a robust API when the signals and feedback from IB servers is...

That would be gnarly! :confused: But happily, it's not that hard. At the gate of every storage device is logic that prevents outflow to a higher charge. ("Yayyy!") The *command* logic (the discretionary call) comes with outflow to a lesser charge -- is it a system call, or is it a downed line...

Wow. That was ignorant. Definite "misses" from the Scat-man. Bad fills are kind of like bad grounds in electronics. "Back in the day," a bad ground might give you some static out of a speaker. (The sort of robustness that was maxed (and typified) by the USSR using valve electronics in their...

No offense but that's a completely unprofessional comment -- equating account size with lost dollars? If you gave it 30 seconds more thought, you'd realize that regardless of account size, what matters is the *impact* on dollars, not the starting point. IB's TWS has plenty of annoyances little...

"Overfitting" is an abused term. It means to so specify a model that the model has no use outside of that data used to establish it. In practical terms, in real life, that's really hard to do. What is more, the solution (to market/data regime change) is a production/performance feedback loop...