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有錢唔係罪
咁計法真係未見過，印象中好似冇乜教科書係咁計Sharpe ratio？
我自己寫通常波動率係用standard deviation of daily return，然後年化乘開方250
（傳統市場計250日 crypto全年無憂就用365日）
咁計sharpe就同max draw down冇關係
有另一個ratio叫Calama ratio比較類似你呢種計法 參考：
https://www.investopedia.com/terms/c/calmarratio.asp
佢呢一個就係同stddev完全冇關係，淨係計mdd
不過其實ratio呢家嘢好隨意，你可以自創
但最緊要係比較benchmark vs strategy
同一條公式計出嚟個ratio分別係幾多
咁就有價值
波動率 就 0.0715 × √12／22.5 = 5.23%
咁計法真係未見過，印象中好似冇乜教科書係咁計Sharpe ratio？
我自己寫通常波動率係用standard deviation of daily return，然後年化乘開方250
（傳統市場計250日 crypto全年無憂就用365日）
咁計sharpe就同max draw down冇關係
有另一個ratio叫Calama ratio比較類似你呢種計法 參考：
https://www.investopedia.com/terms/c/calmarratio.asp
佢呢一個就係同stddev完全冇關係，淨係計mdd
不過其實ratio呢家嘢好隨意，你可以自創
但最緊要係比較benchmark vs strategy
同一條公式計出嚟個ratio分別係幾多
咁就有價值
窮遊人生
師兄,唔好意思請教吓,
我之前都見過呢個path , 用tradingview webhook 射過去ib gateway (cloud or local) 落 order. 想問下你成個flow 由 TV trading notification, webhook, 到ib落 order 有冇delay ? 如果有delay 大既幾耐. 感謝!
我而家python backtest,
Python, + local run ib API, tradestation.
想問下個setup. 你tradingview會出 signal notification,
但係monitor position, balance 呢？ 睇唔到 execution status ? 定係你個trading view 要 login ib ? ?
如果tradingview login 住個ib戶口, ib gateway 系 AWS 可以 login ?
感謝
我之前都見過呢個path , 用tradingview webhook 射過去ib gateway (cloud or local) 落 order. 想問下你成個flow 由 TV trading notification, webhook, 到ib落 order 有冇delay ? 如果有delay 大既幾耐. 感謝!
我而家python backtest,
Python, + local run ib API, tradestation.
想問下個setup. 你tradingview會出 signal notification,
但係monitor position, balance 呢？ 睇唔到 execution status ? 定係你個trading view 要 login ib ? ?
如果tradingview login 住個ib戶口, ib gateway 系 AWS 可以 login ?
感謝
Ads
熱就開冷氣
先講delay，整個流程有長有短，通常一秒內，半秒咁上下，點解咁飄，係因為tradingview自己alert都有delay，有試過ib order notification仲出快過 tradingview
我試過 traderspost ，係最快
ib係可以create additional account user，但係我唔記得邊度搞，類似喺你本身account add多一個'agent' user ，咁就可以同時兩個login
或者，你個python可以寫埋 web介面，我嗰個可以show埋接咗咩alert，order status, account status, etc. 不過係gpt寫，詳情我都唔識
我試過 traderspost ，係最快
ib係可以create additional account user，但係我唔記得邊度搞，類似喺你本身account add多一個'agent' user ，咁就可以同時兩個login
或者，你個python可以寫埋 web介面，我嗰個可以show埋接咗咩alert，order status, account status, etc. 不過係gpt寫，詳情我都唔識
:^(
連環新接龍
max drawdown唔係volatility喎
volatility你要每日/每個月嘅return計variance嗰個先係
你而家度緊嗰個係returns to max drawdown黎，唔係sharpe ratio
volatility你要每日/每個月嘅return計variance嗰個先係
你而家度緊嗰個係returns to max drawdown黎，唔係sharpe ratio
JovianJulia
你波動個0.0715係 monthly volatility定 max drawdown ，同埋Sharpe ratio應該係用Arithmetic Return, 你用咗geometric return
窮遊人生
感謝回覆, 我都有additional account, 嗰時想分strategy by portfolios. 但係佢唔可以share market data subscription. 我就唔想2個account 都 俾$ subscribed .
所以你 trading view 都要開住？ log in 住 IB account ?
定係你係trading view subscribe market data ?
所以你 trading view 都要開住？ log in 住 IB account ?
定係你係trading view subscribe market data ?
熱就開冷氣
唔係喎，我個 additional account 係類似開多一個 account 俾我嘅代理人/投資顧問使用，佢睇到嘅嘢同主 account 睇到嘅係一致，market data 係唔使再加，咁我睇 account 係用電話 app，而同時間喺 aws 個 gateway 係用 'agent' account 長期 login
你試吓 send 個 message 俾 customer service ，問吓佢哋點開，我唔記得咗，印象中喺 settings裡面申請
tradingview 有 sub market data，反而 IB 無特別再 sub
你試吓 send 個 message 俾 customer service ，問吓佢哋點開，我唔記得咗，印象中喺 settings裡面申請
tradingview 有 sub market data，反而 IB 無特別再 sub
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マキマキ
8 Feb 2025
#CMCSA change stoploss to $33.56
#CVS change stoploss to $55.81
#DELL change stoploss to $103.22
#FDX change stoploss to $250.97
#LLY change stoploss to $855.39
#NVDA change stoploss to $123.52
Total Number of open positions: 8
long - CMCSA P&L: -0.10%
short - CVS P&L: 4.51%
long - DELL P&L: 1.38%
long - FDX P&L: 1.39%
short - KEY P&L: -1.31%
long - LLY P&L: 16.69%
long - NVDA P&L: 4.45%
short - PLD P&L: 1.78%
Daily Portfolio P&L% = 0.28%
#CMCSA change stoploss to $33.56
#CVS change stoploss to $55.81
#DELL change stoploss to $103.22
#FDX change stoploss to $250.97
#LLY change stoploss to $855.39
#NVDA change stoploss to $123.52
Total Number of open positions: 8
long - CMCSA P&L: -0.10%
short - CVS P&L: 4.51%
long - DELL P&L: 1.38%
long - FDX P&L: 1.39%
short - KEY P&L: -1.31%
long - LLY P&L: 16.69%
long - NVDA P&L: 4.45%
short - PLD P&L: 1.78%
Daily Portfolio P&L% = 0.28%
:^(
假若之後有多餘錢，都會買返個完全版嘅