I very much like your approach to blogging and to markets. I have only just come across this post of yours and am just putting it into Python. My approach will be to use a solver and a Hell on Fire fitness function but the end results should be similar. I like your approach to simulating these leveraged instruments for missing past history.
On a broader note I have come to realise that I actually know very little about anything, markets included. I am taking the approach in our GBA Workbench product that it is better therefore to take other people’s ideas and to present them without comment rather than to attempt to force my own approaches which have proved just as fallible in the past as those of others.
Nice work as ever Ilya.