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I've been going thru Rob's new book, got to strategy 22 and I've now started to implement stuff from the beginning. Has anybody implemented basic stats Rob calculated in strategy 1? I've tried, both using my data, and using the data Rob provides with the book in the AFTS repo and I'm getting...

Congrats on the book Rob! I just received my copy. We also got a shoutout in the acknowledgements section, thanks! So I see you left it on us to figure out how to integrate fast mean reversion with a daily system using DO. :D I'll just use my usual strategy, wait to see how you implement it in...

Thanks Rob! In that case, I'm lost :) I thought it would be passed in as `maximum_positions` argument to `objectiveFunctionForGreedy`, but I don't see that happening in the file you linked. Then I thought it would be a part of the `constraintsForDynamicOpt` but I don't see that happening either...

Right. I did find one thing a bit confusing though, you mentioned that those instruments that are too safe will still factor into the DO, and eg. if US2 is too safe, it will factor in a position in US10 year for example (as they are correlated). How does that work, since this limit is...

Hey folks, long time no type. Down 4% here over the last 3 days. In other news, here I was wondering how come Rob doesn't have more shorts in bonds on, when I completely forgot about his Exo-suit (that's the name I use for his suite of exogenous risk measures. Rob, I hereby grant you permission...

Hey folks, I've been running with fairly primitive execution algo since early August, and decided to take a look at how that's going, so sharing here some insights. What I currently do for execution is just set a limit order on my side of the spread and hope for the best :) If it's not filled...

An update on this one. If this sounded too good to be true, it's because it is. TL;DR - seems like you can't get the snapshot data through the API without a corresponding market data subscription. If you're now saying "well that makes the snapshot feature completely useless", you are right...

Yeah, same, was also looking forward to that one. I think at some point on TTU podcast Rob mentioned the idea of trade netting and that that's how it could be incorporated into the trend system, but perhaps I got it wrong. I realize that would require intraday data and some additional infra, but...

Almost exactly like Rob. HWM on 27th, now 7% DD. I run Rob's DO and similar capital, so that's somewhat expected, though much less markets.

Was just reading Kernfusions post from early August and thinking about trading without market data. I'm not sure how this wasn't brought up more (though I did see a mention in early 2020), but we can use snapshot request to get the real-time quote, which as far as I understand is all that's...

Small update from me, August just closed as my best month so far, 8.3%. Mostly because of that "bug" I'm still looking for but can't find and a mistake that I did find. I'm now at 29 open positions. I have now re-read and improved entire forecasting and positioning code 3 times, and have...

Well, I've potentially found "a" problem, not sure it's "the" problem. Kernfusion, thanks for posting that screenshot. It got me looking into correlations and it's interesting. I use Rob's `correlation_over_time_for_returns` and it seems like correlations are capped at 0.55. I've ran correlation...

6 positions, am I reading this right? Dang, I probably have a giant bug somewhere. :D

I am running IB Gateway in the cloud, and would agree it's not that complex, but this guide doesn't simplify things a lot (if that was the goal). None of these services (x11vnc, xvfb, IB Controller) will be started up on their own in case of a reboot or if they error out, and reboots on cloud...

Makes sense. I was looking at your strategy reports while I was debugging this, and found some interesting things so will mention here. Your forecasts for gold and silver are both decently negative (actually, subsystem position for gold is -52!) but all DO did with that is short just 2 micro...

My system has been running a bit hot lately (well at least when compared to Rob's) and I'm trying to see why that is. I have pretty much the same account as Rob, same risk target (well, I'm 24%) and IDM 2.5. Now things that are different, I have only 55 markets and 3 rule families (ewmac...

Thanks for both replies Kernfusion. I'll put some of my thoughts here as well. At the moment, I've subscribed to almost all markets (still not trading anything from ICE, reason being I don't want to pay even more), and with sales tax, it comes out to over $900 per month. As Rob would say in his...

Hey Kernfusion, how is this effort going? Did you move to production and have you tried snap to market? I'm asking because I moved back to Europe, and the country I'm living now requires me to register an LLC for full time trading. I did that, but then IB classifies me as professional wrt...

The bug up there was interesting - I was fetching the prices used as fill prices in the wrong order. If you ever wondered what the backtest looks like if you could be filled on yesterdays open price (as opposed to tomorrows), that's that :) I do have another question - I've been running DO for...

Quick update from me - not much happening, so I'm doing some refactoring of my backtest plumbing. I want to be able to run a fully realistic backtest of the system, which as of few months uses Rob's DO magic. By realistic, I mean exactly as it's running in production, including running all the...