Recent content by cholo

I was very lucky until April, but after that I'm giving back a big part of it. Also, I increased the risk twice (at the worst times)

Hi Rob, just wanted to thank you for taking my question to TTU. I think you are right, I think I got a little obsessed with a few futures where this effect seemed more relevant. I don't have access to my system now but I will try to send some examples at some point. Thanks!

Hi Rob, I have a question/comment/suggestion I'm not sure if it is interesting for TTU. It is regarding to how to use carry in your strategies when you roll from a contract to the next one. Imagine you are trading a contract where you hold a contract that is not the nearest and there is...

Hi Rob, I have a question regarding Instrument Diversification Multiplier. A few weeks ago I increased the number of futures I trade to 120. I realized that with so many markets the IDM was always capped at 2.5 in my backtest, so I looked into it. If I allow negative correlations in the...

Something that I do is to divide the computed Sharpe ratios by 2. These reduces the relative differences; similar to saying that you don't fully believe your backtested Sharpe. I also found the weights a little extreme without this modification.

Hi wopr, I implemented the DO using Mixed Integer Programming and always have positions in much more instruments. I posted about it months ago. Today I have positions in 50 instruments for ~600k capital. Probably it is more relevant if you trade lots of micro contracts like I do. I uploaded my...

Hi Rob, how are you? Finally I had more time to implement some of the new strategies in AFTS. Very interesting as always, thank you so much for sharing! I started to work on `Safer fast mean reversion`. My plan is to dedicate some instruments to Mean Reversion strategies and configure the...

Oddly enough, the issue seems to be unrelated with the tracking portfolio optimization. I have computed the sum of absolute standard deviation per instrument of the unrounded positions and it's very similar to the one obtained for the tracking portfolio. I thought it could be related to the...

I have computed my ratio and seems too low at a first glance (0.25). I'm targeting 30% risk instead of 25%, but it doesn't explain this big leverage. I will look into it. Thanks for the pointer Rob! Thanks, Luis

Maybe, makes sense. I'm not sure about using VXM, I was actually thinking to switching to the large one! Sometimes I have more than 40 contracts to roll. If you want to use the second contract to reduce skew this is relatively big volume for VMX. For instance, in 10 days I will roll to December...

Also, I think it is really interesting that I usually have positions in more instruments than you do, for similar capital, I think (about 500k USD). Now I have positions in 40 instruments: Financial Instrument Position ZW Dec13'24 @CBOT -2 ZT Dec29'23 @CBOT -6 ZN Dec19'23 @CBOT -2...

Hi Rob, I meant this github page I created just for documenting a MIP implementation for this forum: https://github.com/golforado/tracking-portfolio I actually made several changes to the implementation to include a buffering technique after you introduced it and I didn't update the github. I...

I'm being lucky as well. My system is similar to Rob, but with just around 60 markets and less rules. My forecast and instrument weights are different and I use my own DO implementation (it is not using the greedy algorithm, it is using a Mixed Integer Programming approach, I uploaded it to...

Hi all, Any of you know if it's possible to set some kind of limits in IB in order to make sure automatic executions don't do much damage if something fails and you are away? I was thinking that it would be great to be able to set several limits like maximum number of daily orders, max daily...

I think it's related to the vol attenuation and the carry. Rates volatility has increased a lot lately so vol atenuattion can be practically cancelling trend following forecasts. For some rates futures the carry is signaling to buy the bonds also.