There have been other charts, though I think the last one was in April 2017. I'll try and post one at the weekend GAT
He posted the most recent one not here at EliteTrader, but on his own blog: https://qoppac.blogspot.my/2017/04/investment-and-trading-performance-year.html
Extremely horrific negative skew. And in general, I like to use the second contract if it's liquid, so I can use the correct formula f(second - first) to calculate carry. GAT
GAT, A big Thank You to you for providing everyone at ET forum with your progress and your process. Thanks for taking time to post your overall performance and portfolio. Very insightful information for someone like me entering the automated arena.
Ask and ye shall receive... Last update was April 11th P&L to date: 106.8% P&L since last report: +11.0% Drawdown (HWM set at start of June): -3.6% It's been quite a choppy few months. The period started well before a horrendous few days in May (discussed earlier in this thread). However performance then rallied and the system set a new HWM at the start of June. Although I focus on my accounting period performance (UK tax year, starts April 7th) the YTD figure is also interesting. In this case they're both the same - I'm up about 11% since January 1st. Positions & Risk Code: code multisignal expected_annual_risk expected_annual_risk_per_contract position expected_annual_risk_rounded_pos 0 CORN -2.6 2021 3649 -1 3649 10 OAT -3.7 2819 6854 -1 6854 16 V2X -15.5 11859 782 -14 10948 17 VIX -20.0 15337 3607 -4 14430 13 US2 0.8 611 1137 1 1137 6 KR3 1.0 773 584 2 1168 36 EDOLLAR 5.6 4302 1237 3 3712 26 GBP 3.0 2264 5117 1 5117 2 LIVECOW 11.5 8786 7332 1 7332 21 SMI 8.5 6489 7668 1 7668 25 EUR 8.5 6509 8200 1 8200 18 KOSPI 14.4 11027 8412 1 8412 19 AEX 20.5 15695 10597 1 10597 29 NZD 16.6 12712 4013 3 12038 23 SP500 18.8 14446 6153 2 12306 28 MXP 17.6 13529 2139 6 12836 22 NASDAQ 12.5 9598 13305 1 13305 32 PALLAD 18.8 14448 13335 1 13335 1 LEANHOG 20.4 15669 2893 5 14466 24 AUD 22.9 17570 5376 3 16128 3 SOYBEAN 25.6 19670 9446 2 18891 Risk is running at 14% above average, based on current capital. I'll be going on holiday in a week or so. As in previous years I intend to leave my system running. GAT
@globalarbtrader I notice that the multisignal for AEX, LEANHOG, AUD and SOYBEAN is larger than 20. You don't cap that value at 20.0? VIX seems to be capped at -20.0?