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boromir eh? :) I remember at the university where I studied CS they did the same thing, but just LOTR wouldn't be enough for the number of machines they had, so they had to tap into Silmarillion - that has enough cool names of people and places to name a sworm of nano-robots :) You don't use...

Btw, I just checked, my system started rolling into the next Korean bond (Sept 2020) on Wednesday (fill @112.11) and sold last 2 June contracts on Thursday (June 11) @112.15. Looking at the settings for the corresponding predefined roll cycle, "SoftRoll" started on June 9, and "HardRoll" on...

The best way to test is to test in production! :) Well, in my case, more significant changes I deploy and run first in paper-system for a while and then promote to prod - an advantage of running 2 systems in parallel - allows to test without writing any tests or doing extra work. But frankly...

Oh, that's some unplanned work.. Yeah, every external dependency is a cost, even if the library is free :) , but sometimes there's just no other way.. Good luck, let us know how it goes..

I see, so to simplify, the "smaller" the system the higher overlay thresholds should be (when IDM is capped).. If we use low threshold numbers on a small system it will be hitting the overlay too often. Currently I'm running 31 instruments@350k in paper and 14 instruments@100k in live, for both...

Yeah, something like that, I actually wasn't even thinking about it this way, I just have a price-series with closing prices and dates (I don't even know on which week-days each point is taken). I then take 2 of these serieses (for the 2 instruments I need to calculate correlation for), then I...

No problem, my pleasure, thanks! :) I don't have many unit-tests myself (my stack is C#+sql+matlab with all the real-time trading written in C#, which is at least compilable and strongly\statically-typed, which gives some error-checking, matlab is mostly for reports and graphs)., In fact I...

Hi Rob, You finally published the risk-overlay post that you described briefly several years ago on this forum, thanks! Meanwhile I implemented it myself in my system based on your earlier descriptions., but now comparing it with your code here (https...

Going back to the question of bargain-hunting, is it normal that when I Going back to the question of bargain-hunting, is it normal that when I'm setting all the scanner parameters as described almost all companies I'm getting are financial (banks and insurances), only 4 out of 32 are in some...

yes, I did back-testing, that's how I selected the pairs to trade :) so of course they were all crazy-profitable in the backtest (that's why I selected them), and out of sample - not so much :) I mean I know it's overfitting, and I didn't expect them to continue to be as profitable as the best...

Thanks @HobbyTrading I see. I'm actually also running another stock\ETF strategy on the same account, in fact I started with it. It's a pairs-trading mean reversion thing, which enters when spread between 2 related things widens on a moving average with standard deviation bands around it and...

Yeah, maybe there is something to that "manual\discretionary trading" thing after all :) I started to watch some day-traders on youtube (quite a contagious thing) and it seems they make money.. What they do makes little sense sometimes, like one guy seems to be trading a very quick...

there's also this screener, which has most of the parameters for free, can filter by country, though, I couldn't find "PTBV" and "Forecast div. Cover" https://finviz.com/screener.ashx?v=121&f=fa_div_o4,fa_epsyoy_pos,fa_fpe_low,fa_ltdebteq_u0.5&ft=4

there's a couple here https://finance.yahoo.com/screener/ like "Undervalued Growth Stocks", "Undervalued Large Caps" but no idea how decent they are.. Some huge oil-related companies which doped like 65%.. Also resorts and airlines, which are probably a bad idea to buy, but who knows, if...

I'm only holding a some gold in my long-only stock-bond portfolio, should've acted as insurance, but not this time.. This time the only protection seems to be is to short something :)

My system finally closed all V2X and MXP positions and started to make some money, currently up 10%., Biggest winners are AUD and LE. But in the long-only portfolio it's a total devastation, and it continues.. Strangely gold isn't doing it's job of hedging\insurance at all, and pretty-much keeps...

I'm only trading oil in my paper system, but even there the position is flat right now. In PROD I switched oil to gas after the discussions here and it made 3.8k to date. Though v2x and mxp are huge losers so overall I'm still negative since start.

So you'll have no "soft-roll" period when you opportunistically sell old and buy new contract, all "hard-roll" in one day. I guess it's simpler and simple is good.. I also found it quite tedious to pre-populate all these roll dates for 30+ instruments for the next 100 years (automated it of...

Something good seems to be happening with long-term bonds.. I can see in my paper system both US and German are making large profits. Unfortunately I don't have any in my prod system, only short-term (don't have as much real capital as paper-money :) ) so I'm seeng my paper system making new...

I tried to run optimisation with handcrafting, it worked when I simply defined rules, instruments and enabled estimations, but when I also added thresholding for all multiple instruments it errored-out with : raise ValueError("The condensed distance matrix must contain only " ValueError: The...