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I guess that is still less than half kelly Rob

You need to read the pystemtrade manual, but this would work: from systems.provided.basic.system import dbFuturesSimData d = dbFuturesSimData() d.daily_prices('US10') Rob

This is farily basic python: You can't put a reserved character as a dict key unless you're using the {} form of dict and you put the key in quotes So this wont' work my_dict = dict(a-2=5) This will work my_dict = {'a-2':5} Rob

WTF is the 'psystemtrade server'?! Can you paste in the exact code you are using to produce this error. IDM is the same regardless of whether you subsequently do DO or not If you want. Please read everything I've ever written on portfolio optimisation on my blog and in several books to...

That would increase the risk allocation of my portfolio to momentum.... Rob

Neither It's a daily standard deviation of price returns So either use price differences to estimate directly or multiply the standard percentage vol estimate used from Strategy 3 onwards by the current price This is literally what it says in the book I am not telling you anything new...

No that's the minimum exposure which you have used in your formula already. Why would CMC know about the concept of minimum capital and even if it did, how could they know what your risk target is??? Rob

This would be better asked here https://github.com/robcarver17/pysystemtrade/discussions where a search may also answer your question. Rob

Well I do that But I wouldn't call that automating execution; it's signal automation which may or may not have automated execution of the resulting desired trade. GAT PS I do have automated execution as well, but as I said that's nothing to do with timeframes used for signal construction.

I don't understand what this is. Can you give an example? GAT

1. Because I'm trying to show a completely different point, which is ex-post vol not vol forecasting, and if I used one month the graph would be too noisy to interpret. 2. Because I would have to own spot crypto in my own wallet, or be exposed to a dodgy crypto currency exchange (And they are...

This happens with futures as well, but with some agricultural instruments you need to multiply the price shown by some factor to get the actual price. Basically a quoting covention. Rob

My main goal as a trader is to capitalise the first letter of each sentence, and avoid random line breaks. GAT

In case you missed it, I'm in London this week: https://www.meetup.com/thalesians/events/296185127/ Rob

Yes from a mini HWM (actually about 1% from my absolute HWM) on the 1st, I'm down 5% at pixel time. Bonds as you'd expect but also FX and equities. ******************************************************************************** Profit and loss report produced on 06/11/2023 08:50 from...

1. It's obviously the r* in the formula immediately above on page 79; and you would use the same lambda as when calculating the standard deviation 2. Why would you think that say Gold would go up by more than any other asset? That's not just overfitting, it's discretionary trading... Rob

Didn't know that, you're right what I described was the 'physical' settlement of FX futures where you get the actual currency credit and debit, clearly for cash settled you'd just get the money in USD like you would with the VIX or another cash settled thing. I've obviously never let cash...

You can't profit from correlation* ** you need cointegration or one index to lead the other. GAT * pendantically there are derivatives whose prices are a function of correlation levels ** though better correlation forecasts will improve risk targeting and management

It will deposit reals and I think it will take 1 to 3 days (probably first appearing as an accrual before the settlement of the cash) but the reported position in the future will probably go to zero in 24 hours or so. Rib

WTF is 'easy' language? Seems to be somewhat misnamed S&P 500 spot prices fell ~20% but what happened to futures (bearing in mind that stock pricing basically froze, but futures continued to trade, and thus were at a significant discount to stocks): Here are the prices I have for the December...