Relax, as long as: - they aren't a massive part of your portfolio OR - you have loads of them and they are relatively uncorrelated (central limit...
That isn't how I think of the IDM cap, for me it's a limit on peak leverage. (You could argue this is better dealt with by the dynamic leverage...
Pure slavery: hah, it is tedious yes, but on the upside you only have to do it once. No you can't trade INR FX which means you can't trade the...
I don't allow negative correlations when computing IDM. My IDM in production is 3.0 which is capped, but in practice it's probably 3.5 without the...
OK I just got this (no email interestingly, but alert when i logged in). So it's universal and probably IB driven. Rob
I am on TTU this week, please send questions today to info@toptradersunplugged.com Please send loads - otherwise I have no idea what I can...
Are you EU, UK or US based? There is a MFID regulation around automated trading, it's been around for a few years but I guess they are enforcing...
Backfilled with barchart, so a one off cost to get the historic data. Rob
The diminishing returns here arrive very quickly. Unless you are trading very slow systems, or have a very limited number of years of data, you...
260 to be precise, IB data only Rob
Correlation is a linear measure. So I don't mind holding things that are 99% correlated if there is a good reason one of them will do something...
Aussie rates. Nightmare- either manually update the multipliers or don't trade. Rob
I don't trade etfs in this account Rob
Discussed before on this thread. There is a tiny amount of tax efficiency in seperating my income from dividends and interest, but mostly it's a...
Yeah it's probably because I have these 'cash' like ETF's instead of having all my money in actual cash; my futures margin usage is only 32% which...
I think about it differently. Prior to 2014* I had to create backadjusted prices with some assumption about how I would have rolled had I been...
Not sure you're being obnoxious but you clearly haven't understood what I was trying to say. "December 2024 has a volume of 7800 and December...
The code should only briefly go into the roll adjusted state, so that it can actually process the roll (moving the current priced contract forward...
Use default parameters? [no to change]y AUTO ROLL RULES: Irrespective of the following, we will automatically roll if a contract has expired and...
No you are right, I do have costs as negative returns by convention elsewhere, but the SR costs are positive. I don't use SR costs any more hence...
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