Recent Content by wopr

  1. Fully automated futures trading

    Thanks! I thought about doing that, but was not confident that I didn't mess up something with returns calculations on my side. I just divided the...
    Post by: wopr, May 8, 2024 in forum: Journals

  2. Fully automated futures trading

    I'm about a week in into my adaptation of handcrafting for forecast weights, I think I got it working. For those looking to implement, but are not...
    Post by: wopr, May 7, 2024 in forum: Journals

  3. Fully automated futures trading

    Is that on your local branch somewhere? Looking at the code, both master and develop branches, I see that when estimating weights, ultimately...
    Post by: wopr, May 3, 2024 in forum: Journals

  4. Fully automated futures trading

    Rob, I've been working through pysystemtrade code for calculating net returns for optimization, stumbled upon gross returns adjustment for SR...
    Post by: wopr, May 3, 2024 in forum: Journals

  5. Fully automated futures trading

    Hm, in that case I don't really see where the (small) differences in forecast weights for instruments in the same asset class come from. Eg. SP500...
    Post by: wopr, Apr 26, 2024 in forum: Journals

  6. Fully automated futures trading

    I've just started the effort of being a bit smarter about my forecast weights, so went back and re-read the handcrafting series and a few other...
    Post by: wopr, Apr 26, 2024 in forum: Journals

  7. Fully automated futures trading

    I've been doing some research into relative momentum as implemented in Rob's latest book. I used my second of 3 copies for this research. Rather...
    Post by: wopr, Apr 23, 2024 in forum: Journals

  8. Fully automated futures trading

    For me, SR is about 10% better for the modified version. That's all after costs, for exact same set of instruments and forecasts. I use Rob's...
    Post by: wopr, Apr 10, 2024 in forum: Journals

  9. Fully automated futures trading

    Hi Luis, thanks for posting! I saw that and actually spent a good week trying to make that work, but I just couldn't figure it out. You defined...
    Post by: wopr, Apr 8, 2024 in forum: Journals

  10. Fully automated futures trading

    I've been playing with DO implementation, and stumbled upon what could be a slight improvement so wanted to share. I've been trading Rob's...
    Post by: wopr, Apr 8, 2024 in forum: Journals

  11. Fully automated futures trading

    I'm debugging something with my DO implementation (gist of the issue is, in my backtesting, performance of the DO drops significanly with lowering...
    Post by: wopr, Apr 7, 2024 in forum: Journals

  12. Fully automated futures trading

    I'm not there yet with confidence level. Since I'm typing, small update from me. I've just completed a big effort to add more markets, sort of...
    Post by: wopr, Mar 26, 2024 in forum: Journals

  13. Fully automated futures trading

    I was checking out your strategy report Rob (https://github.com/robcarver17/reports/blob/master/Strategy_report) and I noticed that you don't...
    Post by: wopr, Mar 26, 2024 in forum: Journals

  14. Fully automated futures trading

    Thinking about this some more, why is a bimodal distribution an issue? If we had a bimodal distribution, with peaks at, say, -5 and 5, would that...
    Post by: wopr, Mar 12, 2024 in forum: Journals

  15. Fully automated futures trading

    Hey Rob, I was doing some digging into various rules and stumbled upon a weird thing. The raw and smoothed forecasts for breakout have interesting...
    Post by: wopr, Mar 12, 2024 in forum: Journals