Yep, not great on gold, not great at all , the trend is up, but my system is stubbornly shorting it or staying flat., I can see that carry was negative, as well a skew, but also some of the new momentum signal permutations I added recently (NormTrend, Acceleration ) PnL, positions, signals (carry is the black lines):
I actually have Trading class populated on a lot of things, at some point I started to always populate it when adding new contracts, most of the time it might be unnecessary but I think more than just VIX need it...
You are correct! Adding TradingClass to instruments that don't need it is now on my to-do list to hopefully prevent problems like this in the future. Yesterday, I was just trying to fix the immediate problem. FYI, I have nearly 200 different futures in my system and only VIX and now NG need TradingClass to work.
I am curious. Is this a DO correlation thing, or are any others running Rob's original system also short gold? I have been mostly long during the run up, but not gloating as the profits in gold have not come close to compensating for the massive whipsaws elsewhere.
I am about 50% trend with other stuff like carry, seasonality, skew, etc. I also use a DO type algo. I am long Gold, Silver, Copper, and Platinum.
I trade Rob's canonical static system (almost), with momentum, breakout and carry rules. Plus the 'volatility regime' from Chapter 13 of AFTS. The only difference is that I trade a little faster than Rob, as I mostly use simple moving averages rather than exponentials. In gold, my system has been short several times this year. To summarize in simple terms, there was a tug of war between the trend (up) and carry (down), in which there was no winner for long time enough to make money.
Has anyone traded Palm Oil futures yet through IB? I have it in my system, but trading is disabled since you can't trade it with Adaptive Algo, so I'd have to add another method. I'm wondering whether it's worth the effort.
Yes, I have. One of the few instruments with positive PL for me recently! I use snap market orders to avoid paying for the real time market data and I didn't have any issues (someone said that it was around 60 cents/month but it was like 20 usd for me).
Do snap market orders ensure a fill or do you have to cancel after a certain time if not filled and then enter a new order?