So just to be clear, you reached the same conclusion yourself (that adding breakout offered no statistically significant advantage), although...
I have a couple of questions about bootstrapping weights: The faster variations of EWMAC (2:8, 4:16) seem to get positive weights, despite these...
is this the definition of market making? I'm guessing you need to keep cancelling orders as the price moves?
I'll take a look at adding another strategy. By selling vol, I'm guessing you mean options (implied vol vs historical vol?)? (Sorry if that's a...
Reasonable states would be, big drop, small drop, small gain, big gain (normalised as appropriate). This means you can answer the question - "how...
It should do, trend following (ARIMA) is a subset of HMM. What exactly did you do?
Current situation: Trading 45 different instruments- £430k. Running EWMACs (4-64) + carry only. Backtested Sharpe of 0.85. My models include...
every time you trade. I use the data from Quandl, which at worst is lagged a day. Which particular future were you trying to trade?
I wrote everything from scratch. PySystemTrade is great, but do you really want to trade something you don't fully understand? The process of...
Does that mean you've got 25% of your cash at IB and run it at volatility 100%, and just top it up if it gets low? I had thought about buying...
Yes. I think I'm going to add more of the softs; these seem to be much less correlated with each other vs purely financial instruments. Agreed....
I also added a bunch of equity indices (Hang Seng, DAX, Nasdaq, SP500, Russell 2000, FTSE100, AEX, CAC, Eurostoxx, smi). Despite not coming out...
Unfortunately I doubled my account size this morning; couldn't have been worse timing!
@globalarbtrader Did you have a terrible day today? I'm down 10% in one day, which is a bit scary. I'm going to reduce my annual vol from .3 to...
You can carry forward your losses and offset them against future years' capital gains.
That's what I've been trying to do, understand each step. It matters a lot to me that I know how it works. I've pulled every single book on trend...
What do you define as a trade? Is that a round trip (zero-position to X-position - to zero-position)? On a completely separate note, for the...
That's reassuring. It's a 25% annual target, and the daily volatility seems to be being realised bang on. I know from looking at the backtested...
Similar position here, although I'm up 25% in a month thanks to less diversification + more luck (NQ, LE, CAC40). To be honest, I'm slightly...
I'll add I'm also trading US2/US30/bobl which are all correlated around 0.45.
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