Thank you. Initially I did not make the connection to your list of instruments. I thought that it was some sort of stock ticker. Edit: I see in the instrument list exchange name "GLOBEX" at multiple instruments. I assume that that needs to be updated to "CME", after IB's recent exchange renaming exercise.
Thanks for your reply. I just checked and there are prices on 11/27 and 11/28, although last one before that was 11/15 for me. That being said, I've run backtests with and without VNKI and the results are nearly identical. I have read your 2 relevant books and am certainly less ignorant than if I had not. I think they are probably due a re-read, although I do refer to specific chapters when I'm trying to understand something about your system. What is challenging is that the system has grown quite a bit since the "Ch 15 system" and most of it has taken place in your blog posts. They are a bit harder for me to get through, as they're quite a bit more information dense. I've been chipping away at it though, and reviewing old posts on the forums here and github have been helpful.
Thanks, looking forward to reading the blog post! I have another question in the same vein. Instead of applying a binary decision to remove the expensive rule variations, have you considered/tested using a weighting method like inverse cost proportionate (with reasonable boundaries)? Expensive rules would be penalized and receive a lower allocation than cheap rules. Not sure how much impact it would have on the overall system, but it seems more consistent with the continuous framework you're using than using a binary decision.
Actually my comment was about my new forthcoming book Didn't mean to imply you were not a true believer.... Rob
Yes I've done a lot of work around optimising in the presence of costs (see my blog and 1st book), but the difference is very marginal compared to a simpler approach where you just throw out expensive rules and equally weight. Rob
Just doing a sanity check in my system, and for the last year+ all permutations of carry forecast for LE (Cows, live cattle) were -20, do other people see similar values for LE? Maybe it's normal for this instrument..
Just checked IB app and this weekend is Wave 4. They changed exchange names for COMEX metals from NYMEX to COMEX, and remaining products from ECBOT to CBOT. I haven't received any notice about change this weekend, in October they said - Wave 4 "to be announced".
yeah, it kinda seems that way, though PA (Palladium) is still NYMEX but GC and SI are now COMEX.. https://misc.interactivebrokers.com...373&lang=en&ib_entity=&wlId=IB&showEntities=Y