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I'm thinking to try this (backtest\paper first) with my regular execution algo (i.e. without limit orders).. The weird part about my system is that in real-time trading I'm generating 2 signals: one based on the bid price and one on the ask, and using the "worst" of them for the trading...

no, no emails, but will check..

Great stuff, I'm still being lazy about it :) Have you tried backtesting it at all to see how it behaved historically ?

Hi Rob, Sorry, I actually meant "smallest" in this sentence: "We want the "smallest" instruments to be able to trade as many of them as we can to get the max diversification in MR with a small capital.", for some reason I mixed up small with cheap in my head :), you're right, cheapness doesn't...

After finishing the latest book, I still can't get the Fast mean reversion (or the safer 'buy the dip') out of my head (thoughts of enormous profits keep me up at night) :) So how about this idea: 1. we pick ~20+ "smallest" (by margin\notional\instrument risk) instruments out of our large...

Thanks Rob, I already tried to run a backtest with this way of shrinking and the negative variances went away and the performance didn't suffer (in fact the Sharpe got ~10% higher, which is probably an accident). The number of trades went down a little, which can be corrected by the buffer...

So I added some logging and yeah, I do get quite a lot of these negative variances.. I want to try to shrink my correlation matrix, but I don't quite understand what it means (sorry if it should be obvious :) ). So the paper defines shrinking as "αM1 + (1 − α)M0" where, as I understand, M1 is my...

I'm not using pandas, (just a matrix multiplication library for C#), but I have a check in my code before taking square root of portfolio variance - if the variance is negative -> make it zero. Not sure how safe\correct it is and how often it happens, probably need to add some logging around it...

possibly, but we still need to use spread for estimating costs so the relative instrument cost differences will remain the same..

I was thinking.. DO takes costs into accountant therefore will probably never actually trade expensive contracts, even if they have great trends, i.e. it will always try to substitute them with something cheaper, even if the forecasts of those other things aren't as great. Is that a good...

Seems I'm always starting the sad conversation :), but did we just loose some money? I'm down about 5.5% in the last week or so (lost on UB, SEK, NZD, MHI), also the system dropped a lot of exposure., Right after things started to look up..

Found it in the original source :) Instrument value volatility: The expected daily standard deviation of returns of owning one instrument block, measured in the same currency as the trader or investor’s trading capital. Equal to instrument currency volatility multiplied by the relevant exchange...

If for each instrument I multiply it's current RawUnroundedTargetPosition by it's InstrumentValueVolatility will I get a value comparable across instruments? I'm trying to build a quick and dirty Dynamic Optimization report which compares raw unoptimized positions with the actual current...

yep, around the same time for me, from March 9 to 13 it dropped quite a bit (~10% ?) and since then no major action, maybe +2%..

For me the situation is not as good - in a drawdown since last October, and not much movement in general since March, a bit up\a bit down.. but I'm "only" trading around 100 instruments and much fewer rules.. Btw, that old link seems to be down "https://fundseeder.com/trading_account/1246"...

So a different kind of question, more on the investment side of things (perhaps should've asked it before the last Rob's TTU show :) ): Now with the rates up quite a bit, it's possible to get a risk-free return on cash of 5.5% or so., and taking into account the general opinion that stocks will...

great :) delayed bid\ask should be no problem, tick IDs for them are 66-delayed Bid, 67 delayed Ask, 68-delayed last, 75 delayed close, I process them exactly as regular ticks, as if I had a massive network delay :), but I do place a different order type (SNAP MID AuxPrice = 0.0 GoodTillDate...

for MBT I do monthly rolls between 10th and 15th. Btw, does anyone know if anything happened to 'N1U' '10-Year Deliverable Interest Rate Swap Futures' ? I'm unable to retrieve prices for September anymore, was it delisted or something?

So looks like some(most?) instruments (like Dax40) have different Local Class property for monthly and weekly that allows to filter out weekly contracts without providing LocalName. Then the problem is only to find all EUREX contracts (in addition to M1MS) which have the same local class for...

Looks like this old potential problem has just materialized: I noticed that my system hasn't been able to retrieve EOD prices for 'M1MS' exp: Jun 2023 (a EUREX Emerging markets contract) since May 25, I'm getting "The contract description specified for M1MS is ambiguous; you must specify the...