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Cool! :)

Hi Rob, As I understood, one of the big reasons for running your system was to protect your long-term stock/bond portfolio from market crashes like 2008 (one of the good properties of TF), shutting it down would remove that protection.. I actually find it very easy to run 2 systems in paralell...

Great to see you back GAT, can't wait to read your new book! I'm still in paper (still can't save up the required 200k to start live), but the paper-system made some good profits in the last several weeks, mostly from the two US and one Italian bond, is it what other people are seeing too...

Was thinking recently... So why trading works? ("official explanation" that is) - it's risk premium., i.e. if you're willing to take the risk, you can expect to get a positive return for it. Then you just need to make sure you don't take on too much concentrated risk from one source so that any...

interesting, I should check these new instruments out.. Yes, actually the lowest curve on the graph is both V2TX and EUROSTOX (they very slightly diverge at the tip if you use a magnifying glass:) ), I ran the fresh backrest before producing this graph and the weights are always slightly...

DJ600 and ESTX50 do look much smaller at lest in terms of margin requirements., but they aren't in the Rob's instrument list in Pysystemtrade, I wander why? are they less liquid or after a certain account size you actually start preferring to trade larger contracts to save on commissions...

I used Pysystemtrade for weights and everything else, for 1 instrument in each class it gave me these weights: kinda makes sense I guess, nothing too weird.. Still paper-trading it btw, need to save some more money before I can blow it :)) Planning to start in the beginning of the new year...

yes, that's that old link. https://fundseeder.com/trading_account/1246

Great stuff GAT, way to go! It's encouraging to see that you're not loosing interest to this.. I started paper-trading of my trend-carry futures system, for now catching\fixing bugs.. hopefully will join the ranks soon:)

In case if someone is interested, enabling optimisation with costs as opposed to applying costs in the end (the default option), gives carry a more realistic allocation of around 0.4, so something strange seems to be happening in the code when costs are applied in the end.. working...

Hi HobbyTrading, thanks for the reply, this example system is not 100% corn, it's the default chapter15 demo system with 6 instruments, so the initial positions do look unrealistic, but this is probably because in the beginning there's no data for some instruments, so the others are getting all...

probably I'm just way off here, but in which units this position size is (get_actual_position method)? I thought it's the number of contracts I should be long or short at each moment, so values around 60 seem quite large. just checked MXP and it shows maximum around 30. Maybe for 250k this is...

Thanks! will try that.

Hi, I'm at the point right now where my own system that's doing real-time execution and IB integration is ready for paper-trading (C#+SQL, event-driven), only need to fit the parameters, but something doesn't seem to be working in pysystemtrade.. So just to confirm, should the current version...

a really good last couple of days or just a data-glitch ?

the bold guy (completely that is) in the middle was kinda fun :)

This guy claims that his sharpe is around 3.2, well it all goes back to the question "what kinds of returns are actually possible" in systematic (or any kind?) of trading, which was one of the first questions GAT discussed in his books\blog\forum.. I personally have very little experience with...

Thanks Rob!

Hi, I'm a long-time follower, but only now finally got around building the thend system based on the Rob's great material. Actualy I'll be extending my existing system (stocks stat arb, not greatly profitable but at least not a total looser :) ), which is event-driven (I.e. I process every tick...