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 AMNot 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 AMYes and multiply the FDM Rob
Jun 10, 2025 at 4:00 AMIDM 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 AMIf 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 AMYes 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 AMUp to you, and I don't trade Corn like this, but personally I'd do "Use the value of the last correct carry forecast (on 4th June) from...
Jun 9, 2025 at 6:37 AM