Interesting thread and impressive results so far. What is your average holding period?
I use time stops...
As promised, I found this (though it seems out-dated )...
Not an expert but it seems doable as hk is one of the most business friendly place. I will post a link late if you cannot find relevant information.
I am looking for pre-1990 vix daily data. Please pm if you are interested in swapping data.
I read both the market wizard books and "more money than god". Liked both. "more money than god" is more much broader and is geared towards a...
Viktor Niederhoffer liked to sell options, while his brother seems to be a trend-follower.
The return for 2014 is 9.98% according to IB's PortoflioAnalyst. Actually lost slightly since this journal began. One main reason for the loss in...
The system has generated only one signal ( a small gain in qqq) in the past month and so there is not much to post. Overall the system generated...
A update: Not much going on except that the remaining spy position was closed on Aug 8, 2014, and the efa position was closed on Aug 11, 2014,...
I hear what you said. But I am worried that these two strategies are more correlated than the correlation of their daily P&L implies in situations...
Obviously I wanted to never be heard again:)
That is what I am doing now, i.e. risking a total 4% on the two trades, but I am having second thoughts about this after a recent loss.
We all know the rule of thumb of risking no more than two percent of the capital on one trade. But now suppose you have two strategies which in...
No optimization is used in the strategy construction nor in the portfolio allocation. All the strategies have been subject to at least three years...
A update: Closed a major part of the positions last Friday 20140801 15:59:41 sell 420 EFA at 66.14 20140801 15:59:42 sell 450 XLE at...
shorted 45 spy at 194.22 covered at 193.11 <table border="0" cellpadding="0" cellspacing="0" width="64"><colgroup><col...
9:30:00 long 450 XLE at 99.82 9:30:00 long 400 SPY at 197.66 9:30:00 long 420 EFA at 67.82 15:59:43 long 396 EFA at 67.72 15:59:43 long...
Yesterday the market data request with IB API has some problems. I couldn't get the open prices for several ETF at all. Don't know if it is...
Yes. If one strategy is applied to four different instruments, it is still counted as one strategy.
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