Recent Content by BobbieJ

  1. Fully automated futures trading

    Thanks, that is reasonable, I suspected you would recommend that. Maybe grouping instruments into synthetic vs non-synthetic and imposing...
    Post by: BobbieJ, Sep 22, 2016 in forum: Journals

  2. Fully automated futures trading

    GAT, in your system how would you allocate instrument weights if your position in one instrument was dependant on your position on another? For...
    Post by: BobbieJ, Sep 22, 2016 in forum: Journals

  3. Fully automated futures trading

    Why do you think Winton has very low skewness compared to other CTAs? Too much carry?
    Post by: BobbieJ, Sep 10, 2016 in forum: Journals

  4. Fully automated futures trading

    Hey there.. I was looking at your code and I have a question about what's in this yaml file. At the very bottom, you define what looks like some...
    Post by: BobbieJ, Aug 24, 2016 in forum: Journals

  5. Fully automated futures trading

    Thanks, I like your approach, makes a lot of sense. You let the correlation benefit decide the asset class sharpe. One final question: would you...
    Post by: BobbieJ, Jul 7, 2016 in forum: Journals

  6. Fully automated futures trading

    Thanks, the last method makes sense. It would require a two step optimization process, first to calculate instrument weights within an asset...
    Post by: BobbieJ, Jul 7, 2016 in forum: Journals

  7. Fully automated futures trading

    GAT, just looking at your code, I am trying to understand how one could go about applying risk limits to various asset classes. your code applies...
    Post by: BobbieJ, Jul 6, 2016 in forum: Journals

  8. Fully automated futures trading

    This is interesting. Do you think there are more trend following opportunities in the faster / intraday space, or would you consider employing a...
    Post by: BobbieJ, May 28, 2016 in forum: Journals

  9. Fully automated futures trading

    Thanks for the prompt reply. I think I get what you mean. Choosing which trading rules to include is your decision, optimizer decides the...
    Post by: BobbieJ, May 26, 2016 in forum: Journals

  10. Fully automated futures trading

    Hi GAT, i was looking at one of the earlier posts on this thread and it looks like you allocate more to the breakout system than the traditional...
    Post by: BobbieJ, May 25, 2016 in forum: Journals