Good point. I've started to extract my backtesting plumbing away from my system and my long term goal is to have it completely separate (and have...
Impressive work and a great writeup, thanks Rob! I'm really looking forward to the next post in the series, on how exactly you trade all that. I'm...
Thanks for the detailed explanations Kernfusion and Rob! Yep. To be honest, that (price going away) only happened twice so far. Current behavior...
Yep, sure looks like that. I was really hoping that I wouldn't have to run a service all the time to monitor this, as I don't need the information...
Thanks for the explanation! To make sure I understood, when your system places an order, whatever process placed the order stays up and running...
Hey folks, an update from me. Nothing exciting really, sitting in a 10% drawdown. [ATTACH] I've been trying to get accurate trade confirmations...
Rob, do you know if there is a video of your presentation from Wednesday on Risk targeting?
Okay folks, I see nobody wants to tell him so I'll do it. You have to get into Bitcoin, Rob. :D On a more serious note, anybody trading Bitcoin,...
Same here! About 2% for the day so far, that copper move is impressive. Also, over the last month or so, I've learned the definition of torture -...
Actually, now that I think of it - Rob, I assume your previous employer had some sort of a direct connection to the exchange (I know very little...
I'm doing something similar right now, I currently collect data for 53 markets and trade only 20. I actually extended this project and came up...
You pretty much nailed it there. I added MES, Nikkei 225 mini, OAT, (already had platinum), copper, EUR and AUD. Also, I finally gave in and paid...
Hey all, here are my stats for the year (actually, starting January 27th, since that was my first trade for the system). [ATTACH] It was not...
I can't tell you whether it was dumb or genius (I still don't know) but I did the same thing, with exact same thinking :) I bought a basket of 10...
Interesting. I also have an execution component, and that's the one I'm having biggest issues with. Ultimate root cause of the problem for me is...
Hey folks, here's another update from me. First was...
Actually, ignore this one. I went back to read again and realized that it’s accounted for in the suggested increase of the account level risk...
Question for Rob (or anybody else using his method of forecasting), how often should one revisit forecast scalars? I've been using MAC, breakout...
Pretty much same here, current drawdown is about 13%, for me it's also across the board. Anything but using risk to adjust position size, that...
Thanks! I see now my question wasn't clear, I meant what risk target in the bootstraping code Rob made, shown here...
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