My system finally closed all V2X and MXP positions and started to make some money, currently up 10%., Biggest winners are AUD and LE. But in the...
I'm only trading oil in my paper system, but even there the position is flat right now. In PROD I switched oil to gas after the discussions here...
So you'll have no "soft-roll" period when you opportunistically sell old and buy new contract, all "hard-roll" in one day. I guess it's simpler...
Something good seems to be happening with long-term bonds.. I can see in my paper system both US and German are making large profits....
I tried to run optimisation with handcrafting, it worked when I simply defined rules, instruments and enabled estimations, but when I also added...
yes, I meant September, sorry
I just checked I already have 17 EOD prices for each of the June ZF and ZT in my database (downloaded automatically daily), maybe there's no...
I wander why this is happening.. I mean when you say "for instruments which could not be pooled. " - the expensive instruments with fewer rules...
Well, the good thing is that this software is open-source :) so I dug into the code a little, and looks like the way it works is slightly...
I went back and rechecked everything, and it doesn't look like I've optimised signal-weights for every instrument individually. My understanding...
Hi Rob, I just cross-checked my positions and directionally it looks the same, except that I'm flat KR3, which lead me to look at the signal...
yep, already lost 6k on that thing and still stubbornly long 4 contracts (I don't know why I'm doing it to myself... :) )
The limit orders - yes, I do it to try to capture bid-ask spread (it's a simple algo, thanks to the Rob's post :) ). Didn't analyze the results...
Oh, looks like something happened in the world while I slept vix is +40% :) I'm strangely up by an insignificant amount.. the system bought back...
yes and yes. So when the system starts it subscribes to real-time price ticks and runs every new tick through the whole logic down to...
yep, lost 2.6k on MXP and 1.3 on V2TX, but made a couple thousand on AUD, LE and corn.. But that system spends most of the time in drawdown,...
Just checked, my table with instrument settings has 4 columns for different EWMAC permutations, so I can set different scalars for different...
does it make your system path-depended then? I.e. do you also consider whether you currently have positions in the more-volatile instrument ? So...
Yep, the rule-of-thumb CL\NG correlation from the Rob's first book is only 0.25, still formally they're both energy.. For the other point, I...
Thanks @HobbyTrading, NG instead of CL does seem like a good idea, I'm running them both in paper and can see that at maximum forecast NG had...
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