actually, this was on my list for some time - to check if I started trading more after implementing DO in reality, because I run my backtest on...
I do get some position flips, even in the same day because I'm running on ticks: [ATTACH] But it doesn't happen every day and in general the...
I'm able to do that with my system, i.e. I can simply pump individual historical EOD prices through it as if it were RT-prices and it behaves...
"mean reversion strategy with a momentum overlay and volatility attenuation" - that's a cool name for a strategy, my inner geek is already drooling :)
I haven't tried Snap to Market, from the description they look very similar, the reason I'm trying snap to mid is that I hope it will give me...
So I finally started implementing trading ICE markets without a data subscription. Sugar #11 is the first one. I was able to setup EOD price...
I haven't experienced this particular problem, but I'm fully shutting down Gateway every day for about an hour while automatic backups and other...
I also currently have 2 bond shorts (-1 contract each), although the natural positions are quite small, so DO did the rest: GBM:-0.01; ZB:-0.18
ok, my bad, misread the number from my own graph :), the actual numbers are VIX: -0.09; V2TX: +0.13; v2tx turned positive at around 3:15AM today....
hmm, you're right, checking the code\logs..
Just noticed that I'm long V2TX, one contract, this hasn't happened before in live trading. The unrounded position of V2TX is -0.5; VIX: -0.09,...
possibility of the war negotiations ?
yes, looks like everything reverted, oil and gold are down, stocks are up, something shifted in the world I guess..
Also, just noticed nickel is shooting up, but looks like it's only OTC traded? and that NI contract unavailable for a lot of countries.. Too bad,...
just looked at my positions, I'm short SP500, jpy, Nikkei, eurodollar, FBON, long oil, gold, pork, soybeans, corn, French OAT bond. So it's...
I'm getting close to HWM in paper, but not in prod (about 10% more to go)
great stuff :) I'm looking at my prod and paper systems, both use DO, but I added ~15 new instruments including gasoline and heating oil only to...
Naah, it started to go down and changing positions frantically..
I was expecting some sort of Armageddon when the system was turning on today after all the news over the weekend, but the P&L barely moved from...
after a nice rally P&L is now going down, looks like MXP, CAC, NIKKEI, Cattle, EuroStoxx, BTP, well a lot of things seem to go wrong..
Separate names with a comma.