Thanks Micro silver doesn't seem to be in psystemtrade. Rob
"you use the actual price of the contract to calculate position size and the back-adjusted price to calculate volatility." actually I do this with...
What is a 'good amount of time'? GAT
Yes I'm hearing good things about Norgate. I think Andreas (Clenow) uses them as well. The fact the data is held in a 'walled garden' on your...
I have a data query for the hive mind. For my next book I'm going to be running some simple backtests of stocks. Something like: - every year...
Linear interpolation would be acceptable assuming the current price is available (if not you shouldn't be trading). But obviously don't use that...
Thomas Peterffy comes round to your house with a baseball bat
Roughly although some of the details are different Rob
Yes but I have a comfortable margin. My bad p&l day would need to be down like 25% or something. Rob
Let's start from the beginning. Apologise if this is retreading ground you are familiar with, but I think it's required as you're clearly in a bit...
Thanks for this post, it prompted me to check on my cash balances and I was overdue some FX trading! Not sure - I don't own T-bills. I have a...
Yes Rob
Equities generally have smaller contract sizes, and more volatility so lower minimum capital. This obviously overcomes the diversification penalty...
"think you can squeeze a lot more out of mean reversion trades by anchoring on to some fundamental that is relevant to the price in that...
We're perfectly capable of asking chat-gpt this question ourselves if we wanted to. And for something that will change post training set (both...
No you don't do any of this. You don't multiply any prices by anything when backadjusting. I have no idea why you would do this? I have never said...
I avoid the contracts that change multiplier; but if I didn't then I'd just put the current multiplier in as a fixed number and then change it...
... and surely there must be another blogpost due: https://qoppac.blogspot.com/2025/03/very-slow-mean-reversion-and-some.html Rob
As requested, Updated: https://github.com/robcarver17/reports/blob/master/Static_selection_of_instruments Perforrmance:...
First, that's the variance of the estimate not the std. deviation. You need to square root it. The footnote says that. Second, N and SR need to...
Separate names with a comma.