I back-tested it and the number of trades and everything else is pretty-much the same., Basically what is happening is that most of the time when...
I'm on 981.3e and looks like they made it mandatory in the gateway too (used to be only in TWS I think), the bloody things are so bloated that...
I realized that when the difference between optimized-integer and current portfolios is only 1 contract (in some or all instruments) and...
I've been running Dynamic Optimization in Paper for a couple of weeks now and it seems to working fine, not trading too much, not crashing. CPU...
Recovered a bit on Saturday evening but now it's even more down than Friday
Maybe it's the dynamic optimization at work? My losses are also larger, in both prod and paper(where I have 2x more instruments), in prod maybe...
ohh, another one of these ouchy days :(
Awesome! :) So in the end you just used Shadow cost 250 and Buffer size 0.0125 based on common sense, checked that the results weren't crazy...
I finally implemented cost penalty and reran the backtest: with shadow-cost parameter adjusted to the same number of trades as the original...
I was finally able to run a backtest of my system with dynamic optimization, I haven't implemented any cost correction yet, and yeah, I can see a...
yeah, checked pandas does and it does seem that way: "return a.cov(b, **kwargs) / (a.std(**kwargs) * b.std(**kwargs))". This seems like a lot of...
This makes sense, but I still didn't get whether we should apply exp weighting to returns or correlations or both. And when calculating each new...
I see, but after you've applied the exponential weighting to the 5 years of weekly returns, do you calculate Pearson correlation on all the...
Just to confirm: in your correlation configuration you have these settings: using_exponent: True date_method: "expanding" rollyears: 20...
A C# solver is something I would be very interested in :) ., but your C# solution does depend on CPLEX right? I checked it out, seems like a...
I see., yeah, this dynamic optimization really seems like a great thing. Need to start implementing it in my system.. and onboarding new...
Listened to the last TTU, interesting stuff as usual, but regarding limiting any single position to 100% of the system's base-capital by the...
Oh, right, now I see that the variable is actually called "covariance_matrix_as_np" not "correlation_matrix_as_np" as I for some reason thought -...
So in this code: [ATTACH] The variables "weights" and "weights_optimal_as_np" also contain instrument standard deviations not just portfolio...
Actually I just realized, normally to calculate portfolio volatility we also need volatilities of each instrument, but in your optimization you're...
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