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yeah, but hopefully that extra work pays :) carry should be quite diversifying..

if I use front for carry ("-1") - yes. But for some contracts it's not possible because of liquidity-patterns in that case I can trade front contract and use next for carry (though it's less preferable from the quality of carry signal perspective).. Not sure about the rest.. definitely more work...

My understanding is if you're using nearer contract for carry, then you have to be out of March/May (carry/price) before March expires because you need carry signal from the previous to your "price" contract (i.e. by Mar 14th)., but you can start "soft-rolling" into the next pair earlier when...

Also, here's Sept of the last year, it barely reached 100 contracts per day throughout the whole period, so it should probably be excluded from hold months.. https://www.barchart.com/futures/quotes/ZOU21/price-history/historical

Yes, the numbers seem exactly as they are right now (I assume these volumes are for 02/01/2022)., but still, if you're currently in Jul and it only trades 41 contracts per day that's low and it's actually the final volume for that day, they didn't grow (as per BarChart data)...

Also, looks like almost no one trades September Oats, there's very little volume in that month in general, instead all the volume is in Dec. so I'm thinking to exclude Sept from the roll cycle completely and make it HKNZ. https://www.barchart.com/futures/quotes/ZOU21/interactive-chart...

Been onboarding some new futures and Oat futures don't seem to have enough liquidity to use nearer contract for carry. E.g. right now I should be in May contract, and I should've rolled into it before Dec 14 (because Dec contract is carry for March contract and it expired on Dec 14)., but the...

Not related to trading but to long-term investing., what are the general theoretical\scientific views on these new(or not so new?) covered call-selling ETFs, do they have a place in a long-term investment portfolio or they're expected underperform the market because of fees and general upward...

I saw an overall loss in the morning, didn't check which products though..

So I implemented that new DO report, which should add a bit more clarity into why the system buys things, not sure if it's greatly useful, so if people have better ideas would be interesting to hear. The report looks like this (this is my actual PROD positions this morning): it shows my current...

I personally (the system that is) trade continuously 24h\day Mon to Fr with 2 breaks several hours each in the morning and evening to do backups and other housekeeping. I do get these things sometimes too like the same contract was bought and then sold, but well, the market situation changed and...

Why increase? larger buffer parameter (e.g. 0.025 instead of 0.0125) should make the system trade less, well, sort of, it will wait longer for higher tracking error before attempting to run optimization (and adjust any positions), but then it will return positions to the edge of the original...

I'm also thinking that maybe a good ongoing report for DO would be to first find all instruments which currently have high "before optimization\natural" position but "small" actual position (which is unusual in the first approximation), and then for each of them print 3 currently most...

I back-tested it and the number of trades and everything else is pretty-much the same., Basically what is happening is that most of the time when the system wants to change position in an instrument, the required adjustment with my small capital is only 1 contract, which results in no change if...

I'm on 981.3e and looks like they made it mandatory in the gateway too (used to be only in TWS I think), the bloody things are so bloated that they probably can't run continuously anymore.. so looks like you either have to exit or logoff but can't just run it forever.. (although, I'm not sure...

I realized that when the difference between optimized-integer and current portfolios is only 1 contract (in some or all instruments) and AdjustmentFactor is less than 0.5 the system will not adjust any positions (multiplying 1 by '<0.5' is zero)., So there are long-running situations when the...

I've been running Dynamic Optimization in Paper for a couple of weeks now and it seems to working fine, not trading too much, not crashing. CPU usage is high but that's expected (I'm doing it every 10 seconds or so). Backtest also showed improved perfotmance. One thing, is a bit concerning...

Recovered a bit on Saturday evening but now it's even more down than Friday

Maybe it's the dynamic optimization at work? My losses are also larger, in both prod and paper(where I have 2x more instruments), in prod maybe 5%?, and I haven't put dynamic optimization even in paper yet.. At least with DO you have much lower concentration in each particular instrument, and I...

ohh, another one of these ouchy days :(