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By full-time trading do you mean trading as your sole profession? As in, you will pay all of your bills/expenses out of the profits earned from trading? In that case it may be useful to figure out the consistent profits you'd need to generate from that initial $3,000 investment in order to live...

The way I view it is this: position sizing IS trading. The only question to ask in trading is "what should my position be given everything I know about this market?". To me, there is no such thing as an entry or an exit as they are traditionally defined. There is only an ideal position to have...

I totally agree. I was just saying that the example in the paper is about as simple, robust, legitimate, etc. of a trading system as one could come up with. If one was to come up with the hypothesis that "when markets go up, they tend to continue to go up", they would take the last 4 decades of...

It seems like this article is suggesting that backtesting itself is an exercise in futility. It looks at an example where a system developer has discovered a market dynamic that has persisted for decades and appears to be robust. Isn't this the entire purpose of backtesting a strategy? According...

I considered going that route, but ultimately hacked together my own solution.. Thanks though

I'm getting my data from quandl currently, using their (free) continuous contracts. Also, the expiration rules for each contract can be found on the ICE's website. For example, the last trading day for Coffee C contracts is 8 business days prior to the last business day of each contract month...

That's what I was afraid of, sounds tedious.. Thanks though

I should have been more clear, I was referring to futures contracts not options contracts. My specific situation is that my data stream is a continuous futures contract, which is every front month contract stitched together. Every contract is represented in full, from the last day of trading...

To be clear, I DO believe that deep learning/AI/convoluted nets, etc. are the future. But they're only as good as the data they're fed

I don't understand how you can continue to argue that the input data doesn't matter while using AlphaGo or image recognition as your examples.. in those cases the input data PERFECTLY PREDICT the outcomes. If you are given all or most of the pixels of an image, you have been given all the...

Does anyone know of a data source for the dates on which contracts expired in the past? Alternatively, does anyone know the rules for when each contract expires (3rd thursday of the month, etc.) I'm specifically interested in the info for the softs markets, but the more the better.

The underlying premise of (supervised) machine learning is that there is predictive value present in the predictor values fed into a model, but a non-linear relationship between them and the target, making them difficult to relate through human logic. Yes, most models will fit any data you put...