Kelly applied to the SPY ETF
Trading Order Out of Chaos
Over the last four articles people have been writing in, asking, “How do you deduce leverage from your backtests?” “How do you actually implement leverage in your trading?” “How do you calculate position size?” “How often do you rebalance?” So, to keep this series as hands on and close to reality as possible, this article focuses on the practical aspects of implementing leverage on your account (and no, the margin your Broker indicates, such as 1:400 doesn’t coun… Read more
Intro
Backtesting is every systematic trader’s basic tool. And Python is becoming the lingua franca of programming. So putting Python into Backtesting to get fast results should be possible!
Yes and no!
In this article, we’ll cover how to really improve your Python backtesting and boost your speeds by several orders of magnitude!
PBOC fixings have become a fixture (at least for the last couple of days). With the big sell-off in the CSI China is trying to inject liquidity into the market and doing so in different ways. For the FX market it’s been a weakening of the reference rate. Here are the rates over the last couple of days (versus the USD): Of course the market cottoned on to the PBOC’s desperation, and the rout continued. The effect on the Asian time-zone currencies was worth noting. We already covere… Read more
EURUSD tick data for the period 27th March 2016 to 1st April 2016. Zip file contains CSV files for each day. The format of the CSV files are: Local Time, Server Time, Server Time Milliseconds, Bid, Ask. The time resolution is in seconds. This means that there can be multiple quotes per second.
This script will allow you to download into a csv file the relevant news events going back to 2007 from ForexFactor. This includes actuals, forecasts, and revisions, as well as time-stamps. It’s a great way to obtain free data that otherwise would cost you an arm and a leg! You might have to install some of the modules required, but this should be straightforward in most Python installs. Happy pattern hunting!!
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