What period of time do trends last for? - as long as they last When should we enter trends? - we gradually enter positions based on the forecast...
Does anybody here happen to have the daily USD-GBP exchange rate going back to 1960, or know where I could get it at reasonable cost? (Quandl...
I have a question about portfolio bootstrapping. To be clear, I'm using past data to find the weights for instruments in a portfolio that...
@globalarbtrader No Vix/Vstoxx? Anybody here been crazy enough to add the BTC futures?
Yeah, but directional rather than long-short.
Has anybody here tried using one future price series to forecast another? So taking pairs, such as cattle/feeder, or bund/eurooat, and using that...
@globalarbtrader I just wanted to know, what were the consequences of open sourcing pysystemtrade? I'm thinking about open sourcing my system,...
It's an interesting thought, and perhaps true, but it's not clear to me why this should be the case. In my backtests, it's clear that TF did...
It doesn't use pysystemtrade, I wrote everything again from scratch (thinking about open sourcing it!). It is integrated with IB. Positions are...
That's the answer I was looking for! Thank you! :)
@HobbyTrading ES: It was so tightly correlated with NASDAQ that I figured it was reducing diversification to have both. I tried to get as...
@algo_fool Yeah, I think it makes up something like 30% of my short risk. Positions today are: [IMG]
@globalarbtrader : Do you clip forecasts before weighting them? Currently, my vstoxx forecasts are: 'ewmac8': -0.50 'ewmac16': -9.45 'ewmac32':...
Whether you are buying or selling it depends on the moving average crossover of the recent price data. Target volatility tells you how much to...
I know this is off topic, but I just wanted to see if anyone here has any experience of writing automated market making strategies?
I'm curious to know what you've been experimenting with. What have you tried? I've experimented with random forests, but got mostly overfitting....
Is that just a CGT based decision? I would have thought it'd be better to dump the ETF and stay holding the VIX?
It's more in the strategy design and prototyping. For execution we can build something separate.
Cryptocurrencies & their derivatives.
I've built an elaborate trading system in Python that trades once per day, and that works well for me. I'd like to start developing market-making...
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