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Sounds like you're running pysystemtrade. I think the problem is that we're using IB's definition of liquid trading hours for a given contract, which in some cases if the thing trades on GLOBEX is pretty much 24 hours. To get round this I use 'conservative' trading hours, eg for US EST markets...

If the vol gets low enough then various position limits I have will kick in automatically and my system would close my position. This is what happened with eurchf. Rob

Best automated over fitted data miner? GAT

Might as well have a proper update. Cumulated, non compounded returns: So still a great calendar year, but basically flat on the UK financial year I use for my accounting period. Since long only stuff has got smashed in that period as well, I'm expecting my financial year to not be that...

Note that some of my volatility was due to the pound dropping, and then rising, resulting in a revaluation of my USD and EUR cash in my account. Rob

Same. Hit a HWM on the 28th September, withdrew my excess capital, then watched it crater. Current d/d is 7.3%, basically I'm back to where I was around the 20th September. Rob

It depends on my degree of confidence in those figures, the chance of them continuing in the future, the expected distribution of returns, my risk preferences, and a whole bunch of other factors. You are asking what you think is a simple question, but it doesn't have a simple answer. We need to...

Note that the answer would not be zero if we're allowed to rebalance, cost free, between the two assets every year. Shannons' demon GAT

So there is no information whatseover that would enable me to calculate an expected return for this fund? (track record, historical asset class performance, existence of risk premia, track record of manager at previous fund...) If there is no information, the expected return can only be zero...

Quite apart from any other information, you haven't told us the expected (average) return of the second fund. Your post implies it's zero. Which means the answer is 100% in the first fund, unless you have a strong preference for risk (politely, you're a gambler).. GAT

Oh, my mistake. I though the point of the thread was to take the piss out of these so called 'traders' on youtube... so the more of a joker they are the better. GAT

(Yes - I know it's a parody)

I used to live in Dubai. Curious how the sponsorship/ visa works for a non local self employed trader. GAT

This discussion seems a little futile to me. If you are that latency sensitive, you shouldn't be trading through IB. GAT

I think this is the key point. It's almost impossible to work out with DO precisely why any single instrument has a particular position, or not. If you aren't comfortable with this approach, then don't do it. What we're looking for is a portfolio that has the same 'character' and risk exposures...

I shrink the correlation matrix for DO (discussed elsewhere), but there are other places where I use it and I'd be worried about the ramifications elsewhere as you say. Also, since I'd be calculating forecasts for two instruments, that would create double counting in the cross market trading...