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Mike started the discussion Market order placed at 1am doesn't execute until 2 trading sessions later

In this backtest, where I submit a market order at 1am on a trading day (12 Dec 2022), the order...

1 years ago

Mike started the discussion Duplicate trade bars due to company merger

After filtering down to a set of securities for my universe, I notice that in OnData I'm getting...

1 years ago

Mike started the discussion ETF constituent universe with coarse selector

Is there a way to combine an ETF constituent universe with a coarse selector? I see a signature for...

1 years ago

Mike started the discussion Same Code, Different Results

In January 30, 2023, I ran a backtest covering 2018-2022. Yesterday, April 30, 2023, I reran the...

1 years ago

Mike started the discussion Weekly Consolidation Triggered on Tuesdays

When using TradeBarConsolidator(Calendar.Weekly), the consolidation handler for the Mon-Fri...

1 years ago

Mike started the discussion Market order placed at 1am doesn't execute until 2 trading sessions later

In this backtest, where I submit a market order at 1am on a trading day (12 Dec 2022), the order...

1 years ago

Mike started the discussion Duplicate trade bars due to company merger

After filtering down to a set of securities for my universe, I notice that in OnData I'm getting...

1 years ago

Mike started the discussion ETF constituent universe with coarse selector

Is there a way to combine an ETF constituent universe with a coarse selector? I see a signature for...

1 years ago

Mike started the discussion Same Code, Different Results

In January 30, 2023, I ran a backtest covering 2018-2022. Yesterday, April 30, 2023, I reran the...

1 years ago

Mike started the discussion Weekly Consolidation Triggered on Tuesdays

When using TradeBarConsolidator(Calendar.Weekly), the consolidation handler for the Mon-Fri...

1 years ago

Mike left a comment in the discussion Fade The Trend Strategy - Mean Reversion Algorithm by Perry J Kaufman

In his book, Trading Systems and Methods, Kaufman write about using kurtosis as a trading signal....

1 years ago

Mike left a comment in the discussion Same Code, Different Results

Thanks both. I actually did use the EMA indicator in my algo. I'll look at that and the adjusted...

1 years ago

Mike left a comment in the discussion Market order placed at 1am doesn't execute until 2 trading sessions later

Thanks for explaining the difference between backtest and live trading results. I've since run a...

1 years ago

Mike left a comment in the discussion Duplicate trade bars due to company merger

That's great. Thank you!

1 years ago

Mike left a comment in the discussion Market order placed at 1am doesn't execute until 2 trading sessions later

Thanks for looking at this. If you change the resolution to daily and rerun the backtest, then SPY...

1 years ago

Mike left a comment in the discussion ETF constituent universe with coarse selector

Thank you 😊

1 years ago

Mike started the discussion Your kernel does not support swap limit capabilities

I'm getting this error when I press the Live Trade Project button (lightning bolt). I have run...

2 years ago

Mike started the discussion Local Development Setup Issue: .NET Version Mismatch

I'm following the instructions to set up local development on Windows. When I open...

3 years ago