Actually, the backtests are currently coming out with a Sharpe of 8, so I'm inclined to think there's something wrong with them. It's quite challenging to backtest market making though. I've got a naive simulation (similar to what I did for futures/trend following). I'll try to build a more elaborate simulation using this https://github.com/paritytrading/parity , and try and simulate latency.
Fully automated futures trading
- Thread starter globalarbtrader
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Actually, the backtests are currently coming out with a Sharpe of 8, so I'm inclined to think there's something wrong with them. It's quite challenging to backtest market making though. I've got a naive simulation (similar to what I did for futures/trend following). I'll try to build a more elaborate simulation using this https://github.com/paritytrading/parity , and try and simulate latency.
Hello @globalarbtrader.
I've been doing some modifications to pysystemtrade in order to live trade.
Right now, pysystemtrade is raising an error and I think you should know. I was trying to make a combined forecast using your futures 'pre_baked' system.
I created an issue in Github.
https://github.com/robcarver17/pysystemtrade/issues/74
I've been doing some modifications to pysystemtrade in order to live trade.
Right now, pysystemtrade is raising an error and I think you should know. I was trying to make a combined forecast using your futures 'pre_baked' system.
I created an issue in Github.
https://github.com/robcarver17/pysystemtrade/issues/74
@globalarbtrader Is it possible to get pysystemtrade version 0.16.0? I could not find it on github. Thank you.
Because it is what is traded.
"Trading is conducted for delivery during the current calendar month; the next two calendar months; any February, April, August, and October falling within a 23-month period..."
It is where your volume is, and where it will be.
You're gonna be RICH! Can I have an autograph?
Not just palladium, some other futures have also done nicely this week (and the weeks before).
In general, whenever trading delta-one products that have/had a very skewed distribution or a strong drift, you might want to break your trades into initiated buys and sells, with separate statistics.
That, my friend, is an "maximum edge weight clique problem" and it's pretty darn hard to solve. There are alignment-style algorithms that approximate the solution, though.