Hi GAT, On average about how many contracts in total per day do you trade? Currently, I am trading about 6 contracts per day on a 240K account at...
Thanks for all the feedback. For now, I am going to take VX out of my instrument universe, until I understand it better.
Quiet1, what is the proper way to trade VIX, in your opinion? Are you saying that it doesn't belong in a slow-moving trend-following/carry system...
Interesting, truetype. So, if I have 130K in an SP500 ETF and 130K in my managed futures system, and I am willing to top off my managed futures...
Great point H2O, I hadn't given that much thought. If those three years suddenly repeat themselves, I will have to move about 35k each year from...
I'll have to take a look at how to derive max historical drawdown. I am willing to accept the risk of that 77% drawdown that you noted, given the...
I hope I'm not hijacking this thread. If so, please let me know. To summarize, I am using a lot of GAT's excellent open source code to run my...
Thanks for that explanation, Quiet1. Based on what you say, I fear that I may have some error in my implementation of the system inspired by GAT's...
Hi Quiet1, can you please describe the serious risk I have taken? The only risk I can see that I've taken is potentially being overexposed to VX....
I see, so you combine this fixed forecast of -10, with the variable forecasts you get from EWMAC, carry, and any other rules you have set up, to...
Good points, GAT. However, I believe that your system does not allow a positive forecast on the volatility indices. Is this correct? If so, could...
I've heard that some systems delay prices by a day, which is what made me float the idea. Can you elaborate on what you mean by "this"?
I wonder if it would make sense for us to delay ingestion of prices by a few days on the volatility indices since they have these large spikes...
If I recall correctly, the forecast went from -20 to -12, dropping my position from -5 to -2. I think the position was so large since there hadn't...
I surfed the web a bit and it appears that the biggest daily spike in VX history is 64%. That would be a 37% hit to my account, assuming a max...
I was short 5 VX contracts the other day with a max forecast of -20, when I had my worst daily loss, when VX spiked. I am less diversified than...
By the way, GAT, when I run print(system.accounts.portfolio().annual) from your code, I get the attached. Do each of these values assume the same...
Good question, GAT. Here is my distribution of backtested daily returns over the past 7 years. That one recent brutal VIX day was actually the...
What about putting a stop loss on the VX as part of the system? Is that heresy?
With a 30% volatility target, I think that means my daily standard deviation should be 1.875%, or 30% divided by 16. Given that I lost 10% in one...
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