I can plug it for you, just yesterday I referenced the tactics section. I've been trying to adjust how I handle STIRs and that section is useful....
Lol :) Not discretionary, though maybe my system design had some discretion in it. I size based on ATR, it's not pysystemtrade but a more classic...
I have another system that trades this, using measures of the VRP and Contango % as inputs. It has great $ returns in % of what's allocated, but...
I agree with the risks, and while it's nice to treat every market the same for simplicity, I do set a reduced risk allocation to VIX. There's a...
Thanks guys, I just added both indexes and put them through the backtest. It seems trend DOES work for both (though only the VIX has long enough...
1 more question - which instrument is COAL in your list on IB? I was looking at ICE - Rotterdam Coal (ATW code in IB), but watched several times...
We are so back? After getting screwed by Santa, January started off slow but stuff happened quickly over following week. Nobody expected rates to...
Hi Rob, Have the V2X and VIX positions been for Trend? Or for a different strategy? Not sure if you've ever broken down stats per market, but are...
Looks like IB reduced it, now it's 43,234 initial, 37595 maintenance for long. Shorts now have the same margin as long, I wonder if the variance...
Daily closing price. It might be possible to calculate the worst case scenario by looking at all positions going max against me at once, but there...
That means you're suited to a much shorter term system, or a negative skew system that makes profits every day but makes the losses in big lumps....
Based on the way the sizing works, before running out of margin the system would hit a situation where the backtest is showing over 60% drawdown...
Year end, almost 2 months running the system. Christmas had a bit of drawdown with Cocoa and some trends pulling back, then a somewhat happy new...
Why? This is 50x-100x the risk level most successful traders use (1% - 0.5% per trade). Sure there's alot of new traders and short term traders...
The chaos continued another day, as the stock market recovered slightly the trend following portfolio had its worst correlation day to date - 95%...
Yesterdays chaos - stopped out of: -M2K medium term (Russell), still in long term -SXF medium term (Canada TSX), still in long term -MES short...
Without getting all ra ra kumbaya about it, I do have a few thoughts on the topic and not everyone agrees but it's my opinion FWIW. Firstly it's...
Some pain porn, stopped out of Malaysian Palm Oil (long) first position today. Been weeks since stopped out of anything. Quite the double top on...
A few things make the out of sample / live trading more likely to work: a) Longer timeframes: daily bars (or even weekly bars), long lookback...
While I'm happy that Coffee is trying to make a comeback, I'm shocked and amazed that Cocoa just can't take a break from up only. I'd never have...
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