I hope to be on that stage in couple of months.. So we'll see on book

Systematic trading

It's not a minor job with IB (or at least was when I tried) - at that time api required TWS to be running and TWS requires a boot every night at 1 pm night local time - not something I was going to do. With new api gateway things are (that's what ...

Systematic trading

This is not the first time I have mt4 trading live automatically for me. If you have a decent broker, it's just another platform. By the way, I'm live as of now. First trades were placed at the change of gmt+1 date.

Systematic trading

Simply because I just want to reconfirm that I don't have any problems with my conversion. I have written software for living and I know how easy it's for the bugs to slip through to live environment. After going through the code, I'm not sure if ...

Systematic trading

I don't believe in luck Some people wanted to see what genetic programming can do.. so here is 2007- to today eurusd curve (at the moment I only have poor quality eurusd data that far but I believe my own tester much more than mt4 tester..) ...

Systematic trading

That's right. I manually translated 13 strategies mentioned and combined them all to one EA. I might post some tester curves later if anyone is interested (?)

Systematic trading

I'm probably going live tomorrow or monday with a set of 13 genetic strats, very exciting times Curves from mt4 tester (yes I'm going to use mt4 until I have my IB implementation ready) look very similar to the ones I have in my own tester and ...

Systematic trading

That's besides the point, if I want to test it I can do it fast with sql. We all can have our opinions about the market but facts are what matters and I can get facts much faster with sql than with any programming language. Try to run the above ...

Systematic trading

It's not about programming strategies with sql, it's mining. Data mining of large amounts of data is much easier (and faster) with database than it would be with raw data, especially in situations where the data amount is very large. I have data ...

Systematic trading

Basically the curve with most negative correlation to good profit curve is opposite to that (per pearson that is) The real results of course depend on how the calculation is implemented so that's why the smiley at the end of that sentence - it was ...

Systematic trading

What kind of series are you using? I have been thinking if my series are too fine-grained and if hourly or daily series would be better. p/l correlation might be something I might try too, but I'm not sure if I want strategies with negative ...

Systematic trading

About the correlation calculations.. To calculate correlation between two strategies, I currently calculate it with pearson based on series of time (minute), I only use points of time where either one of the algorithms has a trade open - each point ...

Systematic trading

If you want to keep this thread in topic, why not answer billflets questions about taxation, regulations etc - as I'm too interested in how these work in country like india.

Travails of a Money/Fund Manager

I always prefer formulas that react as fast as possible to fundamental changes in result curve and that take clustering of trades into account in some way. I personally don't currently use either of the above formulas in my calculations.

Systematic trading

This might be of value (?), just found it - so no idea if it's actually practical in trading domain. url

Systematic trading

There are some links to open source platforms on the end of the post #1 of this thread.

Systematic trading

Yes, the problem with kelly and trading is that in trading, probabilities are not fixed. Just a small example: If you use kelly to the max with some obscure little-known inefficiency and then suddenly some big hedge fund finds the same edge or ...

Whats is the maximum leverage you use?

There is a lot of discussion about this in "volatility trading" scene. Read about black scholes, implied volatility and later theories etc.

On the topic of BS in trading forums...

There are programmers and programmers. Check what an average salary is for an usual fund tech guy compared to industry standard.

On the topic of BS in trading forums...

And faces a larger risk of ruin. There is a reason why funds have risk measures. Note that in nowhere I say that that kind of return is not possible, I'm just saying that doing it consistently means you are an above average trader (I think about one ...

Realistic ROI and Account Size