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Well, "what risk target?" part of the question is easy: if you believe in Kelly formula then your risk target should be equal to your Sharpe ratio. That's really why we do backtesting in the first place - to know our Sharpe ratio. Of course the problem is that we never really know our "True...

Oh, yes, you're right it's still not an analytical solution but numeric, it's just we have gradient of the function in this case, so we can use smarter optimisation methods to converge on the minimum, but we still need to search it numerically.. Sorry, don't know if there's an approximate...

Wasn't it like a solved analytical problem with Lagrangian and quadratic programming? I mean isn't it that "Markovitz bullet" or "Efficient frontier" for which he received his Nobel? Or you're talking about something else ? If it's that, then I remember listening a Courserra course about it...

I think the problem with trading these things on IB specifically (or actually it's because of the exchange they're traded on) is market data, I tried searching for all 3 here "https://misc.interactivebrokers.com/cstools/contract_info/v3.10/index.php", was able to find them and add to watch list...

Did anyone look into trading coffee, sugar and cotton futures? the margins seem to be low (2-3k$), so should be good for small-capital systems, and these commodities should probably add good diversification compared to adding another stock index..?

Interesting.. "Prediction Company" had a sharp ratio of 3 over 15-20 year period: (the video is from 2014)., But looks like it was shut down in 2018. If, as it's written in some articles, it mostly did stat-arb, maybe that explains why my stocks pairs trading is not working at all :)

The full backtest with all 37 instruments that I trade in paper account with all historical data that I have (1990 or later, depending on the instrument) takes hours, like many hours but less than a day :) don't remember exactly, maybe 3-4h?. It's not optimised for it, as in reality, a lot of...

Hi @globalarbtrader , been listening to the Global Macro podcast series (https://www.toptradersunplugged.com/category/global-macro/) which you're co-hosting.. I liked it, it's a good listen. Although, it's very much different from the whole systematic approach we're mostly discussing here.. But...

You can get several years back of older contracts from IB itself (you can actually add them to the watch-list in TWS and see details), but that doesn't go very far back. In my system I pre-generated roll dates (historical and future ~ 100 years total) simply using the rules described in the...

so actually you can have multiple "keys" for one log-record not just one, like tags essentially ? (e.g. the actual message "something went wrong" will have several tags like environment, severity, etc)

So I do it this way: while the system is running and trading I'm recording everything into basically 3 SQL tables: Prices(timestsmp, bid,ask..), Orders, and "Calculations"(the actual name is different but it's stupid and I'd rename it if it wasn't so ingrained in all the other code already and...

The rules are not a secret, it's all in the Rob's books and blog :) actually, I only use a sub-set of it.. (+ the small stock-pairs trading part which just keeps loosing my money on commissions without really making any :) ) I wasn't planning to open-source it.. not sure if there's much value in...

yeah, ideally if everything works well, I should receive exactly 3 emails 2 times a day when the system starts after morning and evening restart for maintenance, and these are mostly informative log messages like "the system started, our current positions are:.." for which I specifically...

yeah, why good times can never last with trend following ? :) Now when-ever I see a jump to new highs, I just want to sell everything and stop trading forever, because I know that most of it almost certainly will be given back in the next few days :) The way I do logging is I have only one...

For what it's worth, the way I'm doing it is that basically I have 2 layers in that area: the strategy-layer that decides the required target position and invokes the broker-interaction-layer, which accepts the target position and decides which orders to place to achieve it. The...

That does sound interesting and maybe I should do it., But isn't there some kind of problem with these contracts? like low volume, hence large bid-ask spread, so they are more expensive to trade than the regular ones ? Or maybe it's harder to roll from one to the next because of low volume? I...

an idea about automation: if it's really possible to put the whole system on a small computer like wopr did, it should surely be possible to put it on an average-performance modern android phone\tablet, and then just carry this thing around with you everywhere, let it connect to cell-network...

I'm close to HWM right now, but not quite there, I started 4.5 months ago, up 9%, but it's changing quite a bit, several days ago it was like 4%. 3KTB and Corn made some money in the last couple of days, I'm currently long 3KTB and short Corn.. (hopefully it's not a price glitch, I'm getting...

What I'm doing is after calculating new forecast, I run the position-sizing logic backwards to calculate what forecast my current position corresponds to(that takes current volatilises and everything current, not from the time these positions were established), then I compare that theoretical...

How about quantpedia as a source of trading ideas ? Not exactly a Slack channel, and there's still almost 500 filtered strategies to go through, lots of which could be not feasible for one reason or another, so you probably still need to have a sense what to look for in advance..? (this thread...