Recent content by Napoleon@Dynamite

Thanks for the update, Rob. So, just to be clear, you no longer have faith in the wonderful sharpe ratio of your chapter 27 Safe Mean Reversion system, as published in AFTS?

Great, thanks for the link, Kernfusion. I have to be more vigilant of this. I was just assuming that 20 days out from the official expiration date, I should not have had a problem.

Hi All, The other day, I was trying to roll over my position in the US3 futures contract (3 year T bills, march contract, expiring 3/28). Even though the expiration date was more than 20 days out, I was surprised to see 0 volume. I placed a reasonable limit order, and there was absolutely no...

I'm not following you. I don't think you can improve on the original design of GAT's MR system. You set the limit order (buy or sell) based on the price that would produce a position 1 contract above or below the current optimal position.

Currently, I'm just papertrading on a look-forward basis. It will be a lot of work to figure out how to backtest, but I guess I will need to do the legwork.

Hi Rob, I am running your "safer fast mean reversion" strategy 27 in a paper trading account. If all goes well I am planning to run it live on 250K of capital using 7 instruments (MXP, GAS_US_mini, US10, SP500_micro, VIX, CORN, GOLD_micro). Will 7 instruments be enough to dial back the negative...

Hi Rob, Really enjoyed your latest book, particularly your mean reversion strategy. At one point I remember you stating that the sharpe ratio of your system was not changed by running your system only every other day as opposed to every single day. Do you still stand by that? Is there any...

Okay, will do, thanks all. By the way I just noticed this on the IB page where they brag about paying interest on your excess cash: "Please note that interest is earned on positive settled cash balances held in the securities segment of an account but not on cash held in the commodities...

Good thought, but my account would be a retirement account, so I don't think they let you have loans in an IRA.

Let's say there are all essentially the same contract size. Would it be a good idea, then?

Thanks for your input Rob, and others. So if I want to be as lazy as possible, and I don't care much about which currency is paying a higher interest rate would the laziest approach be: Allocate all your cash to each currency based on how many instruments in that currency make up your total...

Hi HobbyTrading, I would be trading futures, using a system similar to Rob's. I was hoping for a "set-and-forget" process, which maybe I could update monthly. That's why I am leaning towards the process I described in my earlier post.

Hi Rob, What is the best way to maintain foreign currency balances. You have mentioned previously that one ought to make a spot fx trade rather than have Interactive Brokers lend you the currency of the instrument you would like to trade. But how much of the foreign currency should you buy...

I think that's definitely true with some, including crude. I think it is insignificant with currencies and equity indices. With regard to crude, I am making the assumption that the exposure benefit is worth the lower liquidity. They all roll at the same time as their bigger brothers, as far as I...

@Kernfusion I switched recently to the MNQ and MES (as well as to mini aud and eur and crude), so that I could have at least some exposure without requiring a huge forecast in my smaller account.