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Or maybe it's massive beta! (Actually, based on our FS pages, I take more risk than you do.)

Dang. I thought my +20.4% YTD was good. :D

I wonder if Alexander Hamilton had his trend-following portfolio in mind when as a kid in 1769 he wrote "I wish there was a War." https://founders.archives.gov/documents/Hamilton/01-01-02-0002

Time for an inverse Cramer ETF.

Tomorrow is the day! Just updated my transaction cost sheet.

But surely the micro Euro/USD has enough volume to trade.

The cost difference between the micro and full-size currencies is not that great, but it's much greater between the mini and full-sized grain contracts. IB commissions are 2.82 for the full-size contracts vs. 1.90 for the minis (9.00 for the equivalent full size of 5 contracts). How to think...

Rob, Do you trade the full-size currency contracts or the micros? The micros give me more granularity but the commissioners are proportionally higher (at IB, 0.33 for the micro vs. 2.47 for the full size with the micros being one-tenth the contract size). I think the spreads are...

Didn't even know there was a VIX explosion. Is there one? Currently up ~0.1%. No big deal.

ARKK’s Investors Have In Aggregate Lost Money https://sl-advisors.com/arkks-investors-have-in-aggregate-lost-money

Most of the fee increases aren't that bad, but.... Non-member Micro FX fees go from $0.16 to $0.24, a 50% increase.

You say that transaction costs double, but don't you have to trade more contracts to get the same amount of vol with a spread as you do with an outright? If you have to trade 5x the number of contracts with a spread, isn't your transaction cost ten times greater?

No concerns that your system is overly complex? (I've been spending much of the last 2 week simplifying my system by removing old stuff that made sense at the time but are no longer needed.)

For new system, I definitely didn't mean a parameter change. I mean, in theory, if you had an idea and it worked right away and you wanted to implement it right away (a lot of ifs there), how long does it take to program, test, and implement? I'm trying to get an idea of the amount of...

GAT, My current system is currently in Excel and Visual Basic. One thing I don't like about it is how much work it takes to add a new instrument or model/strategy/system. In your system in Python, how much time/effort does it take to add a new instrument? How much time does it take to add a new...

Well, it's better than hitting the bottle, but the day isn't over yet.

-10.02% on Friday +0.12% on Monday -2.4% so far today I am nearly flat on equities and fixed income but a few remaining grain positions (all long) are hitting me hard today, along with a loss in one remaining natgas contract.

After dropping ~10% on Friday, I was up ~0.2% today, so basically flat. I am curious to hear how others fared.

You guys are lucky! I was down about 10% today, about the same as my biggest single daily loss in backtests. Still up about 26% on the year (down about 5% on the month), so not complaining too much. In fact, it was a good test of my trader psychology. I placed my trades and didn't tinker with...

After spending another day with this, I figured out how to get it working properly. In addition to a number of minor improvements, the major problem I had was the way I was estimating trading costs relative to tracking error. I'm sure my current estimates are far from perfect, but they are good...