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This reminds of a strategy from the "stocks on the move" book. Maybe it should work better with individual stocks.. also probably better to use "total return" S&P which includes dividends, but then you didn't include dividends into the strategy curve as well, so I guess it evens out.. With...

It's a hardware watchdog, it automatically (physically) reboots your computer if it freezes (e.g. if you're physically not around for a long time to do it yourself, i.e. the machine could freeze completely so you can't reboot it with a command remotely). Looks like crypto miners use them. (and I...

this looks like a useful little device for those of us with physical hardware, I'm ordering a couple for myself. Should be pretty easy to operate from Linux, just keep sending ASCII-encoded timeout to the usb port and it will wait that timeout before mechanically shorting reset wires, unless a...

I'm always unsure what to use as the divisor when calculating return. Currently when I'm plotting curves I'm using the "current base capital" at that particular point. Where "current base capital" is my configured system-capital(e.g. $200k) minus current drawdown. So because it's different at...

Somewhat the same here, I think I'm about 10% up from start, was ~+20% at some point. here's my current positions, somewhat similar I guess:. Need to add that iron contract too..

I decided to recheck my risk overlay code, and it looks like it's doing something "not exactly correct" :) i.e. it does reduce positions when the current expected risk goes above configured values, but not in the way I intended (not sure if it matters because one way or another the realized risk...

FWIW here's the results of my experiments, take it with a HUGE grain of salt, because there could be bugs, missing\wrong data, anything.. Also, I'm running the whole backtest with the latest parameters that I'm using in real trading right now, as opposed to recalculating instrument and forecast...

how about thresholding, is that still a viable concept ? I'm still trying to experiment with my backtests, basically the improved PnL I see in the larger system where current risk is choked by the risk-overlay is most likely explained by the higher risk the system is taking. So it's not a real...

I imagine defining asset-class groups might be a problem too, even if we do it statically based on our intuition, is it going to be Equity\bond\Commodity\FX or do we go deeper into commodities and split it into grains, metals, energy.. Doing grouping dynamically based on the current...

Yes, the objective is still very important - being able to trade more contracts than one has money for is a very promising way to improve P&L.. I mentioned earlier that I already tried backtesting it in the most straight-forward way - just trade a far bigger system on a much larger capital but...

I wander why it didn't work, i.e. does it mean that moving risk\positions from the "closely-related" instruments into the ones that can actually have positions is just fundamentally wrong somehow? E.g. if we have 3 bonds, one of which has the highest theoretical position and the other two < 0.5...

FLOW.AS pays 17% dividend, wow..

Not an expert on how to do it in Python, but in general yeah, if it spins\kills new process every time - that sound expensive, also copying large amounts of data to\from workers might overwhelm the benefits of parallel processing.. So if it's possible to pre-load some static data into every...

my system sold the last contract of soybeans at the exact bottom yesterday, but it held onto 1 corn (the target position went to 0.5356 which still rounded to 1) and only sold it today after capturing some of the rebound. Didn't check the others.. Soybeans: corn:

uff, yesterday was brutal, and looks like it's not over yet :( Is it something that Powell said yesterday ?

Today IB sent me several bid\ask prices of "1" for BTP 2021-09 and 2021-12 contracts. Not all prices for them are coming like this, I see about 20 messages in the system's log. The actual current price for these contracts is around 152. I guess nothing too unusual, but haven't seen this...

Yeah, the execution engine, which I also use to run back-tests by pumping historical prices through it, is in C#. I'm actually in the process of improving it's performance, as most of it was written during very late after work hours and a lot of that code is like "I don't care how optimal, I...

So as I understand, this part will be the most computationally expensive? : "For the discrete optimisation we're probably going to want to use some kind of grid search." Grid-search should parallelizable (that word again :) )., i.e. if we just need to evaluate a function of several parameters...

An unrelated question: big-tech has been booming lately, and the way that model works, as I understand, is that there are these large venture capital firms in the tech-hubs like Bay Area which finance private startups, 90% of their bets go bust and maybe 1 or 2 unicorns make up for all the...

- Sort of like the new fed's inflation tracking policy - 2% "on average" ? :) But also, as I understand, you will modify the short-term weights based on the current forecast strength as well, not only based on the short-term correlations? Or maybe these things will be independent of...