And he makes a killing doing it! Follow Charles on Twitter CharlesSizemore.

Don't get overwhelmed by the daily ups and downs of the stock market. Our experts do the work to make investing safe and profitable for you. Remember Me. It comes down to emotional control. Through it all, he was as cool as The Fonz from Happy Days. Sometimes, I ask Adam what he thinks the market will do.

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He usually just shrugs. He builds trading systems. My earlier joke aside, this is not to say Adam is an automaton. I consider this the most important aspect. Not every trade is a winner. Most are, of course. Trade Like a Girl Adam trades like a girl. Conquering the Market Starts Here Recommended For You. On the other hand, from your journal I get the impression that your system runs continuously as time stamps are all around the clock.

I was thinking myself to calculate account parameters once per day, preferably on a moment when all instruments are not trading account value relatively stable. And recalculate instrument parameters once per hour only when they are trading. Should I sample instrument parameters more often?

It depends on your holding period. Currently I probably update too much hourly , given a holding period of a couple of weeks or more. I could easily update everything daily, and indeed in the next iteration of my code that is what I plan to do. As my trading rules will be slow do I expect similar holding periods. A daily update rate will probably be fast enough. However, with several exchanges in multiple time zones involved does that lead to the question: "what is end of day? I think you should delete the third element in the "And" function.

Thanks a lot Interesting how Excel casts into logical type. Glad to help, thanks for all your advice in response to all my posts. I have been paper-trading your "Chapter 15" system for a few days now. Could you please confirm the following with regard to your carry strategy: On November 4th, the closing price of Dec Eurodollar was Therefore the trading signal would be long.

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So, I should be long the Jan contract, correct? What if the spread was significantly higher on the Jan contract. Would it be okay to go long the Dec contract? Would there be any reason to look at the Jan vs Feb contract, or should we always be looking at the closest two contracts in determining the forecast? How to measure carry I discuss more in the appendices of my book.

Hi Rob, in your book you mention that is preferable to measure carry on equity futures by using the spot price. Yet, in your python system, for EUROSTX, you use the further contract which is not held versus the nearer contract which, of necessity, must be held. A second question, if I may: you mention in your book that you target Do you know why?

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But the fundseeder figures is lower because I have set a higher notional account value. Hi Rob, I've just started live trading your chapter 15 system using you terriffic pysystemtrade code. So far, so good.

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In the meantime, I was interested in a recent article that described a very profitable yet simple system: If sp price is above sma, invest it at 3x leverage; otherwise, invest in Tbills. That got me thinking about adding a stoploss feature. This was backtested on the emini back to its start in Any idea where a novice like me is going wrong? A few things: a it's not unknown to find relatively simple things that deliver a high SR on a single market.

You don't know if the original authors found that by luck this was the first thing they tested or by testing lots of variations first. In eithier case it's dangerous to assume this SR is reproducible b your backtest now contains futher 'implicit' fitting trying different stoploss variations which probably means your sharpe ratio is overstated due to overfitting c as a long only system your returns are overstated because past equity returns and t-bill returns are likely to much lower in future mainly due to lower inflation d because the realisable SR is probably a lot less than you think, running it with high leverage is extremely dangerous e these kinds of systems stocks or T-bills are toxic with leverage because they have low average risk, but high peak risk.

You need intraday data and you need to test the effect of delaying your fills for an hour You also need to make sure your trading costs are spot on. A pure test of this would be to run it on lots of markets, testing different SMA variations, testing different stoplosses, and allocating amongst these variations out of sample using price history that has realistic, and being conservative with fill times. You'd get a much lower SR. The basic idea of your system probably isn't crazy, but running it at 10x leverage IS crazy. Have another read of my book because there are many mistakes you're potentially making which I talk about at length in the book.

Thanks for your comprehensive reply, Rob. I guess my main mistake was in assuming that my stoplosses would get filled fairly quickly with an acceptable amount of slippage. I didn't realize that they could be delayed several hours or days.

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Let's go back to the less outrageous system which is 4x leveraged. Let's assume another October Robert, thank you for the invaluable information you collected and spent the time to share. While looking at your method to retrieve account and positions info from IB, one of your two "Getting positions and accounting information" links showed as broken. Thanks, Lionel. Can you tell me which page the link is on, and the address it is trying to link to.

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To answer your question though, yes the current state is stored in databases. Robert, In trading I see that intraday price volatility is more than expected by standard deviation of daily returns. I think it's because only day close prices are used. What if I get daily volatility in different way, based on returns, which are maximum price move from previous close? Then EMA smoothing as usual. It enables to avoid big capital moves intraday, but, I cannot understand, it decreases profits or doesn't decrease, because capital used to get positions becomes smaller What do you think?

Sincerely, Julia. You shouldn't expect this to increase or decrease your profits but it is true to say that adding more information eg intra-day price movements should give you a better forecast of volatility; so if you measure expected versus realised vol it will probably come out slightly better Having said that you aren't comparing apples with apples; your measure will indeed be biased compared to a daily standard deviation of returns, so you should adjust your risk target to compensate for this. Hi Rob, Working through the books as multiple members in my circle recommended.

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Would love to hear your ideas if you have any. Depends what you mean by 'incorporate'. I can think of two places where I use Sharpe Ratios in calibrating trading systems. For ii the Sharpe ratio is only a weak input since we're normally running with much less leverage than the Sharpe would suggest under full Kelly criteria.

For i in principal you could use other performance measures. I don't personally like MAR because maximum drawdown isn't a very robust statistic drawn off just one observation and also it's interpretation isn't very intuitive it depends on the amount of time the strategy has been trading.