[KateMoloney]

https://www.theguardian.com/business/article/2024/may/13/gamestop-shares-roaring-kitty

[KateMoloney]

Welcome Rick

[KateMoloney]

MOC #1 +0.40%

MOC #2 +3.28%

TLT -0.03%

[KateMoloney]

That sounds odd.

Is that on IB website or TWS?

I know on the website you can download a variety of reports that give you the data you are looking for.

[KateMoloney]

Log on to IB website and download a report. 

[KateMoloney]

I created a spreadsheet to reconcile.
Only for when I launch new systems.

After a few months I just reconcile the daily P & L with the backtested daily P & L..

[KateMoloney]

MOC #1 -0.07%

MOC#2 Long Short +5.5%

TLT -0.64%

[KateMoloney]

Thanks Nick – It works now.

My error was having

// Notes: 

Even though Notes was commented out it effected the code.

[KateMoloney]

Thanks – I’m aiming to have a list of ETFs with history of 10 years (apart from BTC).

[KateMoloney]

Hi Nick,

For your ETF universe alternatives, how many ETFs are in that universe? And what do you define as an alternative? Does it include bonds and gold as well?

I’ve been looking at Bitcoin and ETH ETFs and many don’t have a good price history. One of the ETH ETFs trades futures, not the actual instrument.

 

[KateMoloney]

This has been an insightful read, thanks Nick.

I’ve been working on a multi strategy strategy since September, and my biggest struggle is the systems work well individually … yet when combined some of the equity curves fall – particularly after 2019. Although the sum of the parts is greater than the whole, I’ve struggled to pull the trigger on the system.

Reading your posts I’ve learned a few things which might help in my own system development, especially since you’ve been able to acheive equity curves on all strategies that rise over the longer term.

 

[KateMoloney]

its been a long time coming …

BOOM !

[KateMoloney]

MOC #1 +2.66%

MOC #2 Long Short +3.63%

US TLT +9.18%

[KateMoloney]

Like a good old golf green

[KateMoloney]

When picking your ETFs, how do you ensure you are not cherry picking the ETFs that produce the best system results?

Do you pick the top X ETFs per sector by AUM or volume?
And then test the system on other similar ETFs in the same section to reduce risk of over fitting?

[Author]

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