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yes, I meant September, sorry

I just checked I already have 17 EOD prices for each of the June ZF and ZT in my database (downloaded automatically daily), maybe there's no liquidity, but there's still somehow an EOD price coming from IB (every contract should have an official closing price I guess?), also, I'm smoothing carry...

I wander why this is happening.. I mean when you say "for instruments which could not be pooled. " - the expensive instruments with fewer rules are still pooled (at least in pysystemtrade I think) - i.e. it still uses returns of ALL other instruments, just the set of rules drops from like 11 to...

Well, the good thing is that this software is open-source :) so I dug into the code a little, and looks like the way it works is slightly different than I thought: when we pool gross returns, don't pool costs and apply SR cost ceiling, the system first drops expensive rules for the instrument...

I went back and rechecked everything, and it doesn't look like I've optimised signal-weights for every instrument individually. My understanding is that "forecast_weight_estimat\pool_gross_returns = true" parameter in pysystemtrade makes the system optimise signal-weights on all returns...

Hi Rob, I just cross-checked my positions and directionally it looks the same, except that I'm flat KR3, which lead me to look at the signal weights., Turned out I have quite high allocation to carry for 3KTB: 66% and very low to EWMA just 8% (all just to one permutation 64_256), with 26% to...

yep, already lost 6k on that thing and still stubbornly long 4 contracts (I don't know why I'm doing it to myself... :) )

The limit orders - yes, I do it to try to capture bid-ask spread (it's a simple algo, thanks to the Rob's post :) ). Didn't analyze the results in prod yet, in paper it saved some money but I guess ib's paper execution isn't real. The other part - the whole event-driven thing is just because I...

Oh, looks like something happened in the world while I slept vix is +40% :) I'm strangely up by an insignificant amount.. the system bought back 3 v2tx and sold one mxp overnight, but I still lost on them, but for some reason I'm short 2 cattle contracts which made money compensating for the...

yes and yes. So when the system starts it subscribes to real-time price ticks and runs every new tick through the whole logic down to placing\adjusting the limit-order (the execution-algo logic happens in the end starting on the best side of the bid-ask spread and crossing it if the order isn't...

yep, lost 2.6k on MXP and 1.3 on V2TX, but made a couple thousand on AUD, LE and corn.. But that system spends most of the time in drawdown, especially when it's not very diversified, so it's all normal.. Would be glad if I was able to not check my PnL at all, maybe once a month, but the system...

Just checked, my table with instrument settings has 4 columns for different EWMAC permutations, so I can set different scalars for different instruments, but in fact the values are the same for all instruments for the same permutation (e.g. EWMA_8_32 is 5.3 and EWMA_16_64=3.75 for all...

does it make your system path-depended then? I.e. do you also consider whether you currently have positions in the more-volatile instrument ? So for example the system currently wants to trade LE, say buy 2 contracts because it's less value-volatile, but you're already long 1 contract HE, what...

Yep, the rule-of-thumb CL\NG correlation from the Rob's first book is only 0.25, still formally they're both energy.. For the other point, I think that's in part why I choose CL - because crude is sort of more prominent instrument. Not sure why it makes it better to trade apart from being able...

Thanks @HobbyTrading, NG instead of CL does seem like a good idea, I'm running them both in paper and can see that at maximum forecast NG had position of 4 contracts but CL only 2, not sure why I choose CL maybe at the time I was looking at them they had more similar margins... Has it always...

yes, target volatility 25%, sorry for the lame joke attempt :)

After trading paper money for more than a year while saving some real play money I finally turned on the live system on Friday :) Base capital 100k USD, 14 instruments, most of them with thresholding enabled (selected based mostly by the smallest margin requirements but also tried to cover as...

here's what happened when VIX jumped a lot around Feb 1 2018 (one of the advantages of having this thread - it's a nice historical log of events ), some people lost some money and some other people nearly lost money :)...

That's just too cool :) congrats! And all the equities in the long-term portfolio are up as well of course, and bonds actually did well this year too.. Can't wait for that new short-term mean-reversion thing!

Are other people getting hit today\yesterday ? My system lost pretty badly on JPY, Eurostoxx, Nasdaq, V2TX and a little on Corn and US2 and didn't make anything substantial on other things..