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I guess you're right.. Also, if I look further back, this volatility isn't unusual, it was almost as low just 2 years ago: Futures price is not the same as spot, but it's still related right?, so in order for it to go UP (and my long position make money), the 2y US interest rate (or the future...

I mean, here's the 2Y interest-rate plot from cme - the thing is practically at zero and almost a straight line, so what exactly am I(my system) trying to achieve here by holding a long position? Like am I betting on negative interest-rates...

I'm getting a bit concerned with my US 2y bond (ZT) position.. The system is currently long 6 contracts, and it's mostly because volatility got extremely low. I'm using volatility flooring, but it's still very low. The carry signals are close to zero, but trend and breakout permutations are...

It totally is! but I just want an excuse to play with some cool hardware :) also the price is hard to beat..

This subject made me go to ebay and waste 3 hours browsing for used hardware :) And looks like I discovered another option: to buy a whole server i.e. an actual server, something like this one (these people seem to be selling whole crates of them :) ): The only problem with these is the...

Yep, for Xeons you'd need a proper motherboard, I personally have "Asus z10pe-d16 ws", but it seems like it's being discontinued (quite unfortunately, because I wanted to buy another one as a backup), so now I'd probably have to look at Supermicro, or maybe another Asus model, depending when...

So here's my charts (they're generated automatically every week, so it's no trouble to copy them here). As I mentioned, I'm running 2 systems in parallel: PROD with 13 instruments on 100k base capital and PAPER with 36 instruments and currently 500k USD of virtual money. Same rules and...

I saw some errors in the morning that my system emailed to me - it couldn't retrieve last closing prices for KWR, EUR and CHF currencies, but I just ignored them :) (it shouldn't be a big deal if it used stale EOD exchange-rates anyway), is there a bigger outage today ? I can see that the PROD...

Hi Rob, great stuff, very excited about the new strategies For the books, "quantitative futures trading" sounds pretty-cool for my taste :) Regarding the new computers - 1600 for 2 PCs with no extra effort of assembling them is I guess a good deal, but I'd still advocate for buying used...

Thanks GAT, yep, that's pretty-much what I'm doing normally, my long-term portfolio is constructed hierarchically based on your "Smart portfolios" book (75%EQ, 20%Bonds, 5% alternatives and down into the sub-groups from there). It's just in this case I decided that I want to place a bet like...

Hi, not sure how systematic (or dumb :) ) this question is, but at least maybe it'll humor someone. So in March-April after everything went crashing down, many people went bargain-hunting but it wasn't very clear what was "a good deal to buy".. So I thought to myself: 1. for my long-term...

Well, past that's actually happened is essentially just one Monte Carlo run of a random process :) ... I personally wouldn't know, but people who researched it (one of whom we all know rather well :) ) say there's no statistical evidence that some instruments "trend more" or "have a more...

Whole portfolio (14 instruments, 3 of which copper, NQ, platinum never had positions because they're too large for me to trade), the +16% wasn't real, but yes, the portfolio's HWM was +12.5% on March 18 and since then it was slowly drifting down (the compound return plot shows even lower...

Yeah.. made the fix in my P&L calcs and a nice profit of 16% for the year turned into a loss of 17% :( Before the fix the system "thought" I was long the full notional currency amount of all foreign-currency denominated contracts I held, and because I was long 4 3KTB contracts and won was...

So the foreign margin cash landed to me is eligible for the debit interest, but it's not clear whether I'm also getting FX-rate exposure on that cash ? I see.. but for sure I'm not exposed to the exchange rate on the whole contract's notional, which means my P&L calculations are wrong, so back...

I see, so for example let's say the price of 3ktb contract didn't change at all between when I bought and sold it, but the exchange rate changed, then my P&L is zero, so I wasn't affected by krw.usd rate. (unless I was holding some krw cash for margin, or probably even if I wasn't, the broker...

Hi everybody, sorry for a very basic futures trading mechanics question, but I just need to confirm it for myself: Is buying a non-FX futures contract denominated in a foreign currency also a bet on that currency or not (not considering margin money)? e.g. how should I calculate my P&L if my...

Interesting.. What I also meant by "competing organisms in the jungle" is not necessarily predator-pray relationship, but more like a waterbed type of situation, i.e. for example at some point carry premium might become more attractive, so people will start trading it more, which will drive...

Not fully related to this, just a thought: there's probably 2 possible ways of looking at trading strategies and why is it even possible to profit: first is "inefficiencies", and the second is like "competing organisms in the jungle". (there's also the compensation for risk one but let's forget...

It's been quiet here lately, I guess Rob is on one of his vacations :) I'm being hammered, lost about 7%, seems to be across the board..