I actually have Trading class populated on a lot of things, at some point I started to always populate it when adding new contracts, most of the...
Yep, not great on gold, not great at all :), the trend is up, but my system is stubbornly shorting it or staying flat., I can see that carry was...
my system is "online" all the time, it's reevaluating positions continuously as the new ticks arrive, and it can issue orders at any time, but...
I don't use CSI, but I refresh my daily prices twice a day, in the morning and in the evening..
- Of course NOT. You're targeting risk, not "buying as many things as possible with all available capital"..
actually yes, last couple of days my Gateway crashed in the middle of the night. I'm using version 10.19.2m, maybe I'll try to update it..
Similar for me, not as bad as DBMF\TFPN and not as good as yours:), I lost a tiny bit more in the last couple of days, but it seems to be...
Yeah, hit a 'local HWM' around Jul 11, then lost about 8% over a couple of weeks, still up for the year. The system was quite correlated with the...
I see.. When I run this rule alone on daily prices in my full main system (with instrument weights, DO, capital correction, etc.) It does come out...
Yes, that's actually the main\only thing that made it profitable at all. At least when I tried it on tick data, without the buffering, when the...
Did you add the buffering (i.e. only trade if the forecast changed substantially, e.g. by 10+, to require a substantial deviation from the...
It's exactly the strategy 27 'Safer fast mean reversion' from the Rob's last book (I implemented it from the excel file, just make sure to correct...
I tried another thing with this: I ran this rule on DAILY prices on a larger portfolio (40+ instruments) and a longer history (the oldest...
yeah, I agree, I wouldn't fully trust that it has a positive expectation based on only 4 years of data and 9 instruments (not even mentioning my...
So I finally tried backtesting of the short term mean reversion strategy (strategy 27) in my system using my own 1-minute bid-ask data I collected...
I checked my PROD OJ settings, IsCarryCtrNearer is true, so I guess I set it up based on the recent volume patterns..
I personally wouldn't pay any extra money for additional data-sources (even extra 10$ per month will become a lot of money over the lifetime), the...
I trade during the trading hours as specified in the "Instrument Details" window (or whatever the name is, "Description" maybe?) for each...
This probably was a messy explanation, but it is indeed a messy logic :) so here's an example of my prepopulated periods or cycles for one...
I do something similar in spirit to what Rob described (and his very early posts on rolls)., I have 3 roll states NoRoll, SoftRoll, HardRoll,...
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