Recent content by Bellum-romanum

Mr. Carver, I know this is a forum thread about your systematic trading, but I was hoping I could ask you a question related to smart portfolios and your own investment approach. I tried leaving a comment on you blog on the page “my books” but I had issues signing in with google. (signing in I...

Thank you for the response Todd!! Your answer; 60% very interesting as it is unexpectedly high. My immediate questions are; what are you running as your vol. target? do you mean risk weighted allocation or cash allocation? (a lot of other follow up questions also come to mind, like; what is...

I find myself curious about the asset allocation of the people on this thread. Is everyone well versed in "Smart Portfolios" and adhering to the recommended 25% maximum risk weighted allocation to managed futures? Or is there other strategies - like the outlook for stocks and bonds look awful...

Might I run an idea by you guys; It seems that flash crashes has become a part of today's algo-run markets. The fat fingered flash crash in the nordics a while a go, being the latest example. (it took the Swedish equity index OMX down 8%, and the move rippled out to all stock markets with an...

hey lore. There was a discussion that was ongoing for some days about running pysys in different time zones. What came out of it was the GMT_offset parameter. (I remember this feautre addition having a bug fix at one time, so make sure you are running the most recent of pysys.). I myself am...

Curious about how to handle JPY. BoJ has drawn a line in the sand at 145 USD/JPY - and has defended that line once. So, there seems to exist ceiling for this instrument. The rate is now at 146,49 and BoJ could intervene and push the rate down a percentage or two. My system is short JPY and...

A bit surprised to read that september had been a great month for some. I am running DO and for me the month ended around 1,5% up (had a bad last day of the month - lost 1 percent). My base currency is NOK, so I presume that is part of the reason (differing account size being the other reason)...

FYI I'm running the same system as rob (different currency, and a higher notional value) I have gold_micro. Have been in and out of silver the last couple of weeks.

Just saw august performance of Dunn’s WMA - 13%, 55.9% ytd. God damn. I’m down 3% since launch end of july

Thank you for the answer HobbyTrading Just a quick comment; Rob had the same futures contract at the same time as me according to his reports repo.

Hi guys I have an IBKR pro account and a position in gold 202208. Got a notification from IBKR today saying that I had to close position within the 27th or it would be closed by IBKR - reason was that it is a physical delivery - and subject to "Expiration/Near-Expiration Risk Policy" I...

Apologies; did a poor quote job. 41.666 is the implied value from you following comment, is it not?; If 250 USD is 0,6%, then a 100% is 41.666 USD ((250/0,6)*100).

So, just because I am slow; I was sure I heard / read you saying that you would need to trade a notional value of miniumum around 600.000 USD to get the diversification gradual easing in and out of positions that your your system requires. But from your reports repo it looks like you are trading...

Ok, that was interesting to hear! Thank you.

Congrats on the performance! Huge fan! Any guesses concerning AHL’s result? A thought crossed my mind; that they got caught on the wrong side of the LME nickel surge. But I guess there has been a large number og price spikes that could have spoiled their year. A whole host of reasons so to speak