Recent content by globalarbtrader

Just to be clear it's my understanding that once you have 2FA you can't / don't need to use ibcalpha since you can set up the gateway to reset daily automatically but you will still need to do the weekly relogin. Rob

Good to meet @Sharky today and sign a copy of my third book! Best of luck and let me know how it goes. GAT (AKA Rob Carver)

Hi, slow to this because I don't monitor this board regularly, as others have said I'm mostly on elitetrader. I'm Rob Carver, the nefarious blogger of which you speak. I'd like to correct a few misconceptions if I may: I do in fact trade with real money I make no money from blogging or...

On left is intense PC running linux mint. On right is NAS server. Fully automated systematic system -> No 'desktop' as such...

I've written a rather lengthy post on futures rolling (which contract to hold, when to roll, how roll, how to automate) on my blog http://qoppac.blogspot.co.uk/2015/05/systems-building-futures-rolling.html Enjoy.

I trade futures. Should be 42 in this list, if I've counted correctly. CORN LEANHOG LIVECOW SOYBEAN WHEAT AUS10 AUS3 KR10 KR3 BOBL BTP BUND OAT US10 US2 US20 US5 V2X VIX ASX KOSPI AEX CAC SMI NASDAQ SP500 AUD EUR GBP JPY MXP NZD COPPER GOLD PALLAD PLAT CRUDE_W GAS_US AUSSTIR EDOLLAR EUROSTX...

Futures, fully systematic, mostly trend following with holding periods averaging a few weeks. Been trading for myself for about a year. Before that institutionally for 10 years. I'd expect to make about 15% a year (http://qoppac.blogspot.co.uk/2015/03/simulating-my-futures-system.html). Last...

Sure combining a large number of uncorrelated non-normal distributions will produce a normal one. Is this flattery? I'm not sure. If you end up with a normal portfolio then using the Sharpe Ratio (SR) is an appropriate thing to do. I suppose if you combined a lot of massive negative skew...

Er... I'm probably missing some subtle point here, but to spell out the calculation: Every day in the backtest we calculate the mark to market p&l of each asset we're trading. Add them up to get the portfolio return for that day. Put together the series of daily portfolio returns. Sharpe is...

I built a model like this for a large quant fund, so I know of what I speak. First macro data. You're unlikely to get a decent Sharpe Ratio from this. Macro data is lagged. You can predict macro numbers from market numbers; vice versa doesn't work so well. There is an announcement effect from...

See here http://qoppac.blogspot.co.uk/2015/03/simulating-my-futures-system.html I get a SR of about 0.90. This is based on an out of sample backtest (real performance has been much better, but the last 12 months have been exceptionally good for my kind of trading). Anyone using an in sample...

It's the old 'wisdom of crowds' versus 'herding behaviour' problem. You only get the wisdom of crowds under certain conditions. If you get groupthink, as with analysts estimates of earnings, then its no good. Incentives need to be right, and it helps if people don't see others guesses. Quite...

Do you know what language the program is in? Can you send a link to the supplier of the program? :mad:

I think you might be being a little harsh since it looks like this guy just checked the wrong box when he created his profile - it's not like he's made any posts trying to sell anything.

To come back to the original premise of the thread, which I guess is becoming a full time trader without first being lucky enough to have earned a lot of money first. I personally think a realistic ROR to aim for is 25% a year. Any more than that and you are eithier being overconfident, taking...