Hi Rob, As I understood, one of the big reasons for running your system was to protect your long-term stock/bond portfolio from market crashes like 2008 (one of the good properties of TF), shutting it down would remove that protection.. I actually find it very easy to run 2 systems in paralell on the same computer, one connected to live the other to paper-account(the EOD data-collection process is independend and puts the new data into a shared db that both systems use..), i.e. I'm running 2 IB gateways one logged in to paper another to live and the 2 fully-independend systems each connected to it's own gateway. Works just fine.. Regarding the other thoughts, the 2 great things about your material was that first you gave enough information that a geeky+hard-working individual could always reproduce your system and secondly you were doing yourself what you were preaching (eat your own turtles)., is your intention to keep thinds generally in the same vein in the future? (If you were asking me - I would actually prefer a more difficult/technical next book with more trading rules or a general approach on how to discover them. But of course I don't represent the full audience of interested people.) In any case, thanks a lot for all the materials you've been sharing.
Hi all. I was missing some excitement in my life and I installed pysystemtrade recently. Now I try to understand the software. So I ask what the measurement units for those calls are: system.portfolio.get_notional_position(...) system.portfolio.get_buffers_for_position(...) system.accounts.get_buffered_position(...) Do those calls return lots or dollars or something else?
Another day, another question. I have observed that if I run the call system.portfolio.get_notional_position(my_instrument) repeatedly, then the result is, let's say, volatile. # Run #1: 2019-09-17 -3.895486 2019-09-18 -4.237389 2019-09-19 -4.626678 2019-09-20 -5.781315 2019-09-23 -6.879856 # Rerun: 2019-09-17 -5.182776 # E.g. see here, from -3.9 to -5.2! 2019-09-18 -5.557151 2019-09-19 -5.732063 2019-09-20 -6.822700 2019-09-23 -7.951821 I also would say that the volatility tends to vary across instruments. I appreciate that related simulations involve some degree of randomness, but would be such extent something to worry about?
Is autocorrelation necessary for trend following to work. or might there be markets without any significant autocorrelation in returns where CTA still make money?
My thoughts, others might correct: 1. I think some autocorrelation is necessary for trend following to work; 2. Answer to the second part depends on the strategy that any particular CTA employs. Low (or negative) autocorrelation inhibits trend following strategy.
Did a blog post about my 'writing room' project https://qoppac.blogspot.com/2019/09/building-garden-trading-office.html GAT
GAT, I have your new book on order. I was wondering if you would be interested, as a demonstration of the ideas presented there, in starting a futures account based on its contents of leveraging up over time? Maybe it could start at first with the micro e-minis and then move to e-minis, etc.? It's certainly small potatoes for you but I think it would be highly educational as well as something to center Q&A on from the book. Thanks for your consideration!