globalarbtrader replied to the thread Fully automated futures trading.
I'm very skeptical about those SR varying by that much as you slow down, and I'd be surprised if you had enough data to support those...
Jun 13, 2025 at 11:38 AMglobalarbtrader's Recent Activity
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globalarbtrader replied to the thread Fully automated futures trading.
I'm confused, what's the median pre-cost and after costs SR PER INSTRUMENT, not in total Rob
Jun 13, 2025 at 9:34 AM -
globalarbtrader replied to the thread Why are there NO proven profitable traders on ET?.
Mmm Hold my beer GAT
Jun 11, 2025 at 2:46 PM -
globalarbtrader attached a file to the thread What's the safe order size limit to avoid market impact.
PLEASE don't listen to people who are saying 5,10,20 or even 50%. They have no idea what they are talking about. I once inherited a...
Jun 11, 2025 at 2:31 AM
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globalarbtrader replied to the thread Fully automated futures trading.
Not to be that guy selling books but this sort of detail is covered more in Systematic Trading or you can wade through the blog. Rob
Jun 10, 2025 at 4:04 AM -
globalarbtrader replied to the thread Fully automated futures trading.
Yes and multiply the FDM Rob
Jun 10, 2025 at 4:00 AM -
globalarbtrader replied to the thread Fully automated futures trading.
IDM is based on the correlation matrix of substrategy returns and instrument weights so not sure why you are talking about forecast...
Jun 10, 2025 at 3:51 AM -
globalarbtrader replied to the thread What's the safe order size limit to avoid market impact.
If you don't want to affect the market, then the correct order size is *zero*. If you don't want to SIGNIFICANTLY affect the market,...
Jun 10, 2025 at 3:47 AM -
globalarbtrader replied to the thread Fully automated futures trading.
Yes my preference would be to to hold only December, but last time I checked mini CORN Dec wasn't liquid enough far enough forward to...
Jun 10, 2025 at 2:18 AM
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