In the current regime, all these daily changes will mean nothing at the end of tomorrow. Everything might be reversed. Most weeks the daily moves...
Before I went to sleep was up about 3% from long energies & coffee & short cotton, India & currencies. Woke up to zero though as everything...
Thanks glad to see others starting with a portfolio instead of just individual trades as well. Yeah I've heard about the dispersion a bit, they...
Thanks! I have an old habit of always right click->new tab on everything, it seems that prevents any popups too. Learned something new today...
When starting the system, did you start by taking only new signals from the start date onwards? Or did you open a full portfolio based on existing...
I must be getting old, but I can't see the option to PM you anywhere on the profile page (on computer/web). Twitter doesn't work either [ATTACH]...
It's only our own funds, nobody else's funds under management but I backtested for $1.1m from memory (have changed since). Started live trading...
I can plug it for you, just yesterday I referenced the tactics section. I've been trying to adjust how I handle STIRs and that section is useful....
Lol :) Not discretionary, though maybe my system design had some discretion in it. I size based on ATR, it's not pysystemtrade but a more classic...
I have another system that trades this, using measures of the VRP and Contango % as inputs. It has great $ returns in % of what's allocated, but...
I agree with the risks, and while it's nice to treat every market the same for simplicity, I do set a reduced risk allocation to VIX. There's a...
Thanks guys, I just added both indexes and put them through the backtest. It seems trend DOES work for both (though only the VIX has long enough...
1 more question - which instrument is COAL in your list on IB? I was looking at ICE - Rotterdam Coal (ATW code in IB), but watched several times...
We are so back? After getting screwed by Santa, January started off slow but stuff happened quickly over following week. Nobody expected rates to...
Hi Rob, Have the V2X and VIX positions been for Trend? Or for a different strategy? Not sure if you've ever broken down stats per market, but are...
Looks like IB reduced it, now it's 43,234 initial, 37595 maintenance for long. Shorts now have the same margin as long, I wonder if the variance...
Daily closing price. It might be possible to calculate the worst case scenario by looking at all positions going max against me at once, but there...
That means you're suited to a much shorter term system, or a negative skew system that makes profits every day but makes the losses in big lumps....
Based on the way the sizing works, before running out of margin the system would hit a situation where the backtest is showing over 60% drawdown...
Year end, almost 2 months running the system. Christmas had a bit of drawdown with Cocoa and some trends pulling back, then a somewhat happy new...
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