Recent content by andrewcraig

I'd been having IBC / Gateway crashing issues that were very frustrating as well. When I was running out of a Docker image it was frequent, but switched to hardware and moved around some of my settings - seems more infrequent now. I try to make sure gateway is always running in case of a...

GAT has pointed out pysystemtrade simulates drawdowns based on the fixed capital basis (e.g. 100K in this case), but in live trading risk is adjusted based on real capital base. This graph is supposed to approximately visualize what the realized drawdown would be as capital declined and risk...

Apologies, I had completely misread your previous post that you had 11% in a long VIX (etf) trade.

Do you use VXX? That looks the cheapest. It's an interesting trade. It looks like the money in the short and inverse VIX ETFs dwarfs that in VIX while volatility is so low.

To clarify my previous post, here is what I was seeing. Rob original uses the 40 instrument selection mentioned early in this thread. I did a 10-year lookback as that matches the sort of out-of-sample data that would be interesting (back to the beginning of this thread) and it looks like you...

GAT (or if someone else can answer!), for your rob_system/config.yaml on the Github repo - are the weights based on your handcraft optimiser function in pysystemtrade or rather an external top-down handcrafting as outlined in your books? I apologise as this has probably been answered before...