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My budget is small. I don't mind making a one time purchase of a few hundred dollars. I've looked at those but haven't seen the boiled down information that I'm looking for. I'm finding where I can buy tons of information that I don't necessarily want. Thanks for the reply!

Has anyone found a good source for quarterly fundamentals for US stocks that goes back at least to the late 90's? Ideally it would be in csv format. I know you can go and get the individual reports and such from some websites. Or you can purchase a ton of fundamentals in a daily format. But can...

Thanks for the reply. Sounds like I would be locking in some losses. I most likely will hold my positions to avoid locking losses in. And rebalance when I'm back above initial margin requirements.

When I backtest and am in a drawdown, yes, I get close to that leverage.

Can you rebalance a portfolio that is on margin if you are below the 50% margin but above the maintenance requirement? Would rebalancing require you to meet the Reg T initial margin requirement? I have a risk parity portfolio that I am going on margin with and backtesting over the financial...

I see what you are saying, but I haven't seen a huge difference with the ETFs that I am watching. Surely there has to be a portfolio of leveraged ETF's that can work without significant time decay. You are right that they are awesome for swing trading though. If you don't like the leveraged...

volpunter: I am not at a high level of proficiency in programming, but I am managing to do some basic things. All I am trying to do is analyze some data and crunch some numbers. The run time takes forever so parallel processing would speed things up. Thanks for the warning though.

What balanced portfolio of leveraged ETFs (2x, 3x) do you like for a buy and hold strategy? How would you deal with the added volatility of these ETFs? How would you mitigate some of the additional risk involved (ex. use covered calls)? Please provide percentages of the allocations as well...

I currently am having trouble trying to get my "embarrassingly parallel" backtesting code converted to a code that will do parallel processing. # Code Start input 1 = [AAPL, GOOG, IBM, XOM] alloc = [] for i in range(0,10): for j in range(0,10): for k in range(0,10): for m in range(0,10): if...

underfined, How is your system doing? Any updates that you would like to share?

It is very important. I have not done any dynamic programming to account for this. My thinking is that if I have small orders in a very liquid instrument, then I will just use market orders. To give you an example, my average daily volume is around 10,000 shares per instrument. The instruments...

I have tick data that I then compile into 133 tick bars. From the OHLC of those bars, I backtest and optimize the algo. Is this not recommended?

undefined, I hope everything is going well with your system. Do you have any updates that you would like to share? I think my strategy is similar in style to yours. What is your average position holding time? How many trades per day? I am still trying to prove that my strategy is...

undefined, Can you share what slippage you are experiencing? What order sizes are your typical orders? How does this compare with your backtests? Do you use a slippage model in your backtesting? Thanks!

Congratulations are launching your system! I hope everything works like a dream for you. I am working towards this same thing and am currently in the paper trading phase. My strategy relies on 133 tick bars. I am not sure if I can use IB data because I heard so many bad things about their tick...

I believe this is raw data. Its not a snapshot. The time stamps are only in seconds, but I have multiple orders for the same timestamps. I found a free data source for the tick data I am using. I have compared to other data sources, and it coorelates with the historic market tick data of other...

1. Slippage by number of ticks after order is sent. Impliment by specifying a quantity of ticks for your order entry to "slip" before getting filled. 2. Slippage by basis points per share. (15 bps min) Impliment by specifying a number of basis points (bps) per share for your order entry to...

I started this thread under programming, but I think this forum is a better place for it. What slippage model will be most realist to live trading? I am conducting my own backtesting and simulation for a trading algorithm. I intend to make "small" order sizes. The approximate number of...

What slippage model will be most realist to live trading? I am conducting my own backtesting and simulation for a trading algorithm. I intend to make "small" order sizes. The approximate number of roundtrip orders would be 50 - 100 per day. The ordersize will be 100 shares, and the average...

I am working towards this now for comparison. I will only be able to compare the last 20 days of trading for the bid ask prices. I have only been saving the market trades. I have not been intentionally trying to capture any of the bid ask spread. I was only assuming that I could buy and sell...