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FYI, I just added an 'informed trading" system/filter (using faster signals and ignores trading costs) to my system based on the idea in this AQR paper, but since I'm running something similar to DO (what I call Tracking Error Minimization [TEM]) I created a separate TEM for the informed trading...

It's never had a losing day!

Two possible reasons I can think of: The index closes at a different time than the ETF, especially when the index and the ETF trade in different time zones. I'm assuming the index is priced in each country's local currency whereas the US trade ETF is priced in US Dollars. Could currency...

Honest answer: I didn't know about these options (those that existed at the time) when I started this journey. I didn't plan to become an almost fully automated, systematic trader with an emphasis in trend following when I started developing my systems. If I had planned it from the outset, I...

You are certainly the outlier today Rob. Here's what I see among our competitors: 40in20out -1.07% DBMF -3.90% CTA -1.69% KMLM -5.18% EQCHX -3.05% (this is Jerry Parker's Chesapeake MF) MFTFX -4.99% (this fund is "advised" by Dunn) I was down about 2.3%, which I consider good all things...

That's impressive, and odd.

Down about 2.2%, which is relatively good from what I'm seeing out there. Some comps I check intraday if things are moving: 40in20out -1.06% DBMF -4.49% CTA - 1.66% KMLM -5.07%

Hey Rob, Do you have an automated or semi-automated method of checking if IB has added new futures markets that we can trade? Thanks.

Rob can probably also more comprehensively, but here's my take. There are many differences between the systems of various people. Signals: Each of use includes different strategies, models, lookbacks. As a result, each person will have a different signal strength for the same instrument...

If you are a trader and haven't seen Trading Places, you deserve to lose $1M in 1 hour.

"One minute you're up half a million in soybeans and the next, boom, your kids don't go to college and they've repossessed your Bentley."

My TWS is showing that November is now tradeable. Not sure if IB fixed the problem of they are only allowing trading in the front month and were a bit slow in switching over.

Could be, but why not just raise the margin to some ridiculous rate rather than restrict all new trades?

I want to trade the smoke spread (long smoked salmon and short fresh salmon) or even better the lox spread.

Did something happen with the Brazilian Real futures contract? I've traded it in the past and my TWS says that the October contract is still tradeable (it is expiring this week) but upcoming contracts are marked "Clearing issues: Due to clearing-related issues, this product is subject to a...

Gold has a stronger signal now than Silver, but what were the signals when Rob opened up the Silver position? It's also possible that Silver is more highly correlated to other instruments (like Copper) and that too is influencing the position.

I believe Rob currently has a position in Silver. Since that is highly correlated to Gold, it probably covers both positions. (I hope Rob will correct me if I'm wrong.)

Hey everyone (especially Rob), I've been thinking about including both the full-sized and the mini/micro contracts (e.g., ES/MES, MCL/CL, QG/NG, etc.) in my system and letting the tracking error minimization system (what Rob calls Dynamic Optimization) decide which to trade based on granularity...

So you are seeing slippage results quite similar to mine. Thanks for the information.

I noticed in https://qoppac.blogspot.com/2022/04/trading-and-investing-performance-year.html, you wrote that "Total slippage was a rather hefty 2.4%, which meant I paid around 3% in total costs. This is more than I normally pay (my backtest says 1%), but I have made quite a few changes to my...