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Good point. I've started to extract my backtesting plumbing away from my system and my long term goal is to have it completely separate (and have it support backtesting stocks systems as well). However, from my experience so far, all the path-independant stuff can usually be calculated in a...

Impressive work and a great writeup, thanks Rob! I'm really looking forward to the next post in the series, on how exactly you trade all that. I'm currently tracking 55 markets and trading 22 (capital is the limit), so am interested in how you approach this. You mentioned you're interested in...

Thanks for the detailed explanations Kernfusion and Rob! Yep. To be honest, that (price going away) only happened twice so far. Current behavior I have is that the order is cancelled if not filled after X hours and retried on the next day (if the new forecast still says we need the order). As...

Yep, sure looks like that. I was really hoping that I wouldn't have to run a service all the time to monitor this, as I don't need the information real time - I was hoping I could have a cron job that runs every few hours and scoops executions and updates my DB, but IB exposes no reliable way of...

Thanks for the explanation! To make sure I understood, when your system places an order, whatever process placed the order stays up and running until the order is filled? Or you have another process that's constantly up and is listening for events from the broker to update the DB? Also, how is...

Hey folks, an update from me. Nothing exciting really, sitting in a 10% drawdown. I've been trying to get accurate trade confirmations from IB, and unless your orders are filled synchronously (eg. you send an order and your system waits for it to get filled and updates your database) seems...

Rob, do you know if there is a video of your presentation from Wednesday on Risk targeting?

Okay folks, I see nobody wants to tell him so I'll do it. You have to get into Bitcoin, Rob. :D On a more serious note, anybody trading Bitcoin, or newly added Ethereum futures? I looked into Bitcoin, but the contract size is too large for the risk it has to fit into my portfolio. Rob's...

Same here! About 2% for the day so far, that copper move is impressive. Also, over the last month or so, I've learned the definition of torture - I'm still long OATs (French bonds). Times like this get me running backtests without carry rule for bonds... But then I look at Bobl and the day is...

Actually, now that I think of it - Rob, I assume your previous employer had some sort of a direct connection to the exchange (I know very little about microstructure but I assume something like that exists, and costs $$$), did you see issues like these there as well? Also, I'd assume you'd...

I'm doing something similar right now, I currently collect data for 53 markets and trade only 20. I actually extended this project and came up with something I call my financial data infrastructure. It's a collection of datastores, jobs for populating and updating them and a Python shim for...

You pretty much nailed it there. I added MES, Nikkei 225 mini, OAT, (already had platinum), copper, EUR and AUD. Also, I finally gave in and paid for ICE data, so I added sugar and cotton as well. I'm still not sure how I feel about paying for that, but I've ran some numbers and it should more...

Hey all, here are my stats for the year (actually, starting January 27th, since that was my first trade for the system). It was not looking good in October, I'll tell you that. That was just over 30% drawdown. Risk target is 24%. I wrote before about the spike in the beginning of the year...

I can't tell you whether it was dumb or genius (I still don't know) but I did the same thing, with exact same thinking :) I bought a basket of 10 stocks, cruise companies, airlines, hotels and car rental companies, with the exact same idea, to hold for very long. I also knew that some of them...

Interesting. I also have an execution component, and that's the one I'm having biggest issues with. Ultimate root cause of the problem for me is the fact that IB does not expose an API to fetch cancelled or fully filled orders, that's quite unfortunate. So the way I see it, we're left with three...

Hey folks, here's another update from me. First was https://elitetrader.com/et/threads/fully-automated-futures-trading.289589/page-209#post-5055797 and second was https://elitetrader.com/et/threads/fully-automated-futures-trading.289589/page-217#post-5127521. TL;DR - in a nasty drawdown, same...

Actually, ignore this one. I went back to read again and realized that it’s accounted for in the suggested increase of the account level risk target. For those following, that’s table 51, page 212.

Question for Rob (or anybody else using his method of forecasting), how often should one revisit forecast scalars? I've been using MAC, breakout and carry rules, based on both of your books, scaling factors for MAC are from Systematic Trading and for breakout from Leveraged Trading and I can't...

Pretty much same here, current drawdown is about 13%, for me it's also across the board. Anything but using risk to adjust position size, that horse has been dead for a while now :) On a more serious note, I'd be interested to hear the update on the idea you mentioned on the podcast a few...

Thanks! I see now my question wasn't clear, I meant what risk target in the bootstraping code Rob made, shown here https://qoppac.blogspot.com/2018/12/portfolio-construction-through_14.html In this call p = Portfolio(returns, risk_target=0.1) I played with it a bit, and from what I see, if you...