To be honest, I am kind of happy that I still paper trade futures. The system has had a good run till April (+15%) and lost all of that again. I plan on going live after the summer break and will have to make a decision then. As trend following has some weak mean reverting behaviour, going live in a drawdown sounds reasonable. But actually pulling the trigger will be harder...
Similar here, although not "stomach churning". I am still running the system in its original version, close to how it was described in Rob's first book. There is no dynamic optimization and fancy stuff like that. Also this "basic system" had a nice run up and is now coming down. I'm pretty sure that after this it will go up again.
Yeah, hit a 'local HWM' around Jul 11, then lost about 8% over a couple of weeks, still up for the year. The system was quite correlated with the stock market lately..
Makes sense since equities had been one of the strongest trends out there. Of course it depends on how you allocate among the various sectors.
Looks like some trend followers / managed futures are getting hit hard the last two days. On the plus side, 40in20out was up 1.88% yesterday and another 1.01% so far today. So if you're shorter term, you might be doing well. On the other hand, DBMF (managed futures) fell 1.80% yesterday and is down another 3.13% today. And TFPN, Jerry Parker's "Trend following plus nothing" that also includes single stocks, is down 2.86% today but is normally quite low vol so it's giving up nearly all its gains for the year. As for me, I continue to give back some of my yearly gains, but am holding up relatively well.
Similar for me, not as bad as DBMF\TFPN and not as good as yours, I lost a tiny bit more in the last couple of days, but it seems to be stabilizing.. Fun fact, my system just closed the last MES position.. Also interestingly, my Paper system, which runs on a much larger capital (paper money is much easier to obtain ) has been hit worse than my Prod., just randomness.. Btw, do I understand correctly that if you invest in a trend-following ETF, you're not earning interest on the "remaining cash" or is it included in the overall performance? E.g. I can see than DBMF has expense ratio of 0.85%, and Yahoo says it's up by 6.68% YTD, but it's YTD total return is 8.18%, does it mean it pays interest earned on the cash that's not participating in margin as distributions or something like that ?
Has anyone else had a problem with IB Gateway in the last two days? I checked my log and at 04:19 (UTC time) when IB does daily server restart, it stops working and it crashes/closes! I'm using version Build 10.19.2a, Jun 13, 2023.
Yes, I also have had Gateway crash a couple of times since the beginning of this month (August). It always happens at exactly the same time of the day. On most days it manages to restore connection to the servers, but sometimes it doesn't, and then it closes itself. In fact, this sequence of events happens twice every 24 hours.