Monday was OK for me, basically flat (+0.1%), but Tuesday is worse, so far 1.5% down. A couple orders going out to scale back positions. Oil is unrelenting. I start to wonder if something bigger is going on, than just the new variant/accelerated taper talk.
cotton has been very kind to me this year. last few days not so much. I am still long cocoa, not good today...
Yes, kind of anonymous forum therapy for traders. Hey! I never believed in the Gaussian return distribution. This volatility targeting is taken with a grain of salt. Most days it's a fine approximation but I expect abnormalities in the markets to happen occasionally.
Rob, have you ever encountered any overnight symbol name changes since doing automated trading with so many instruments? It becomes even more complicated if you get quote data from one provider and trade somewhere else (one symbol name for quotes, actual trading with IB's symbol name). Any tips on handling such scenarios?
Yes! It happened recently https://www.elitetrader.com/et/threads/micro-bitcoin-futures.359690/ Tips: make sure you check everything. In this instance, basically a lot of my automated checks would fail. In particular, my position reconciliation with IB would say "Looks like no position matching in IB for this [old] ticker" and "Hey I don't recognise this ticker that IB sent me!". When I tried to get prices it wouldnt' happen, so I'd see in my daily status report that a particular ticker hadn't updated. If not a holiday, suggests something is broken. GAT
For some reason I have not been getting automatic updates on new posts, so I completely missed the recent TA get-togethers. FWIW belatedly my numbers in recent days are: 2021-11-26 -5.5% 2021-11-29 0.4% 2021-11-30 -1.2% Further losses yesterday, and I am currently in my worst drawdown of -16.3% since I went live in mid-2019. Its good to be able to share. Now back to deep breathing exercises....
Here you go: https://qoppac.blogspot.com/2021/12/my-trading-system.html There are links to the .yaml and code in the post. GAT
Thank you for this extensive overview of how your futures trading system has evolved over the years. It is quite an evolution, and in my eyes the current version looks very different from the basic approach which was presented in your book "Systematic Trading".
GAT, My current system is currently in Excel and Visual Basic. One thing I don't like about it is how much work it takes to add a new instrument or model/strategy/system. In your system in Python, how much time/effort does it take to add a new instrument? How much time does it take to add a new system to your already existing suite of systems? Thanks.