Recent Content by wopr

  1. 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 at 7:23 AM in forum: Journals

  2. 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 at 1:16 PM in forum: Journals

  3. 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

  4. 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

  5. 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

  6. 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

  7. 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

  8. 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

  9. 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

  10. 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

  11. Fully automated futures trading

    Have you lagged your equilibrium calculation? I've found that to be the big difference in results, I posted the details here...
    Post by: wopr, Feb 27, 2024 in forum: Journals

  12. Fully automated futures trading

    (Edit time has passed for the above post, so making a new reply). I ran the entire optimization, and I get optimal positions as (0, 1, 3) for 5...
    Post by: wopr, Dec 24, 2023 in forum: Journals

  13. Fully automated futures trading

    Also, regarding DO, I think there might be a minor bug in the book, in the example that walks through an iteration of the greedy algorithm. Page...
    Post by: wopr, Dec 24, 2023 in forum: Journals

  14. Fully automated futures trading

    Thanks for the summary Rob! I see fast MR system mentioned, so wanted to see if anybody has success replicating that. I took a go a few months...
    Post by: wopr, Dec 24, 2023 in forum: Journals

  15. Fully automated futures trading

    I’d be interested in this as well @cholo if you get a chance. Regarding positions, I use Rob’s DO, and similar capital and risk target, and...
    Post by: wopr, Nov 24, 2023 in forum: Journals