Probably IB rolling things. Prices should have been corrected about an hour ago, when the ag markets opened for the US overnight session. KH
Hello Robert, I have read two of your books Systematic Trading and Leveraged Trading they have changed my perspective on trading like not another trading book. Thank You I am curious about your new announced book. I am preparing myself for trading your system with 5 instruments in different asset classes. Unfortunately, my English is not so good and sometimes I have some problems to understand everything. I want to ask you if my calculation of position size is correct, thank you for help My capital: 50000 5 Positions a 10000 IDM=1,70 Risk target account Level = 19 % Recommended risk target instrument level= 32,3% New minimum Capital 10000*(12%/32,3%) = 3715 Position Sizing of the five assets Instrument risk (annual standard deviation of five different assets) = 16%, 20%, 23%, 26%, 30% (19%* 3715) / 16%= 4411 (19%* 3715) / 20%= 3529 (19%* 3715) / 23%= 3069 (19%* 3715) / 26%= 2715 (19%* 3715) / 30%= 2353 Using three trading rules with 5 instruments My capital: 50000 5 Positions a 10000 Number of Trades=8 Volatility Fraction =0,4 IDM=1,70 Risk target account Level = 22 % Recommended risk target Instrument level 1,70*22%= 37,4% New minimum Capital 10000*(12% / 37,4%) = 3209 Position Sizing of the five assets Instrument risk (annual standard deviation of five different assets) = 16%, 20%, 23%, 26%, 30% (22% * 3209) / 16%= 4412 (22% * 3209) / 20%= 3530 (22% * 3209) / 23%= 3069 (22% * 3209) / 26%= 2715 (22% * 3209) / 30%= 2353
Interesting. The new contract will not be added beside the current contract, but is to replace the current contract. The current instrument is going to be phased out. This is what CME has to say about the new instrument and the phasing out of the existing instrument: https://www.cmegroup.com/articles/faqs/lumber-futures-faq.html#one
Hi guys I have an IBKR pro account and a position in gold 202208. Got a notification from IBKR today saying that I had to close position within the 27th or it would be closed by IBKR - reason was that it is a physical delivery - and subject to "Expiration/Near-Expiration Risk Policy" I contacted them via chat - they said there was nothing to do about this - that you had to close 30 days prior to expiry for physical delivery. I have not seen or heard anything about this when setting up the pysystemtrade system, so I am surprised. Is this true?
Yeah, IB has cut-off rules here: https://www.interactivebrokers.com/en/index.php?f=deliveryExerciseActions&p=physical (and maybe in other places). Also, there's things like "First position" and "First Notice" in the contract specs, I basically always roll out of the contract before these dates (I think you can start getting physical delivery on some of these dates, so you have to be out before). https://www.cmegroup.com/markets/metals/precious/gold.calendar.html
The mentioned "30 days" might be a rule of thumb suitable for GC. But this rule of thumb could create problems for other contracts which are physically delivered. So you have to make an overview for yourself about those products which are physically delivered (which IB does not support) and what the time difference is between the expiry date and the so-called First Notice date. In most cases you will want to have your position rolled over into the next contract just before that First Notice date. Why is this not visible in pysysemtrade? The most obvious reason is that Rob prefers to not use the front contract, but a contract which expires further into the future. With this approach you'll never get close to the First Notice date and thus don't end up in the situation you have found yourself now in.
Thank you for the answer HobbyTrading Just a quick comment; Rob had the same futures contract at the same time as me according to his reports repo.