@isotope1 that's quite a punchy position, what does the rest of your portfolio look like? I'm running my system with manual execution and am hesitating to get back into vstoxx after the roll due to the recent volatility - i need to make it fully automatic to avoid this mental pain!
I don't think that you would want an individual forecast rule reach such an extreme value as -43.51 (your EWMAC64). I think that it would be beneficial to clip that. For what it is worth: in my implementation I clip the individual rules (e.g. EWMAC64, CARRY), then clip the combined forecast (e.g. combined EWMAC forecast) and then clip the overall forecast (all rules together).
@isotope1 Interesting overview of your current positions. What I noticed is the absence of a position in ES and GE. Are you not tracking these, or do you currently hold no position?
@HobbyTrading ES: It was so tightly correlated with NASDAQ that I figured it was reducing diversification to have both. I tried to get as 'distant' equity indices as possible, so went with NASDAQ, SMI, HSI and Eurostoxx. Thoughts welcome though. GE: Position was closed by the system on Friday, but it's been there all along.
Yes I 'clip' (I prefer winsorise as it sounds fancier) individual forecasts, combine them, and then clip them again. In this particular case you'd get exactly the same result. The reason to clip individual forecasts is to avoid too much concentration to a single source of risk (in this case a given trading rule within a particular instrument). I don't give a toss whether it improves the backtest, and the improvement is unlikely to be statistically significant. GAT
I agree that NQ and ES have a strong correlation. However, the value volatility of the ES contract is lower than the NQ contract. So for a given amount of risk capital could you have more contracts ES than NQ. For a small account is therefore ES better than NQ, in my opinion. This criteria might not be applicable to you.
Hey Isotope, does the current pysystem run with IB or did you write your own integration? Are your positions live or demo?
It doesn't use pysystemtrade, I wrote everything again from scratch (thinking about open sourcing it!). It is integrated with IB. Positions are all live.