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Thanks GAT, the needle did move briefly and I saw a 1 cent spread on Mar 21 but its back to 0 spread again. Mar 20 hasn't budged from 0. I think I will post this as a question to IB and hopefully get their 2 cents worth and revert back if I hear anything.

Any rates experts out there? Don't know if anyone can see the posted image but in summary the bid/ask of stg stir were equal at 98.68 all afternoon today. Checked depth of book and could see bid and ask volume at that price but not executing. How can the bid-ask be equal?

I just logged on to post the exact same thing, as it took me two weeks to get a response out of them. In any case, hope everyone is managing to survive the difficult TF environment this year. Those relatively smooth looking backtested account curves provide scant comfort when looked at in real...

Ok thanks for the response guys. Just checked again this morning. I got the 1100/1102 error codes showing the resets, which would indicate all is good to go but all my calls to IB servers were hanging/timing out again, even though the client seems to be connected, and new connected clients...

I am finding if I manually restart the server after the daily reset times(a few minutes during the 0445 -0545 window - UK time), Gateway is pretty stable. However if I let it run overnight, the reconnect does NOT always survive the resets (1100 errorcode is not always followed by 1102) and I am...

Arguably the band went commercial some time ago, in view of the fact they released the original chart topping single for purchase in the first place. Admittedly, these musical analogies make little sense in the age of Spotify. As a die hard fan I will, in any case, keep buying any music...

I have read the book and its an interesting and compellingly simple approach, but I am sceptical for the simple reason that the last 40 years also correspond to a massive explosion of balance sheets of central banks worldwide in the support primarily of sovereign bond markets. With this kind of...

Sorry to butt in but my less than 2c worth (blame the recent drawdowns) is that the Computer says 'probably Yes'. Of course if it was me and competing strategies do better in a statistically significant way than using GAT's distilled wisdom, I would be inclined to increase allocations to the...

Ok, its helpful to hear that it takes a bit longer if you include optimisation. I have also found scipy to be the main speed bottleneck. As regards bootstrapping the biggest speedup I got was from numba (almost nothing than from multiprocessing which I can only speculate is due to worker...

@isotope1 - for the sake of benchmarking, I was wondering if you might be kind enough to share, for your backtest, how much load you give a worker in the ProcessPool ? Say you have 20 years of data and 35 instruments. Is it 20 seconds to step forward each year (say in an expanding window)...

I can see the problem. However, and speaking as a non-expert, -ve correlation of returns to me does not necessarily mean -ve correlation of momentum. GAT is the expert so I shall wait to hear if has a view on this.

Not necessarily. There are those in the market who think if inflation reignites then the dollar will tank.....in which case you might worry about the opposite scenario where both move against you. I guess you can’t away from the premise that what you are doing relies on the extent of your belief...

If I understand you correctly, you are talking about going long/short a spread and earning the carry of the spread rolldown. This is effectively second order carry and is less volatile than the rolldown of the outright future, but to earn an equivalent return you need to lever by much more. Even...

I knew what you meant :)

Yes, completely agree.

@HobbyTrading Thanks v much for this. Out of interest how do you manage to rescale so quickly? If you are using any kind of vol smoothing then wouldn’t there be a lag?

I guess my reasoning is that if we roll into a new contract which say has a vol of 125% of the old contract, then we initially have 25% too much risk on. Plus there is the issue of extra trading costs to get the risk to the right level whether or not the risk is too high or too low.

Hi - I wanted to follow-up briefly on the impact of vol jumps after rolls, related to the question I posed late last year. If we ignore carry for now, the main smooth for TF is the vol lookback. If we are using vol lookbacks approximately one month long and we are rolling on a monthly basis, the...

Fair point. Although if its the case that dividends are uncorrelated to stock price returns (which I haven't checked but its worth a study), I'd reason that volatility in the stocks isn't going to impact the volatility of my cashflow as much volatility of the returns from my trading system, if I...

The way I read this is by imagining a drawdown of 50% with 3 years to get back to the HWM. I wouldn't want to compound my capital down by taking a coupon in this scenario.