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Not true. He is a fund manager and so has an audited track record. WTF is a 'trade room'? Disclosure: I wrote a chapter in that book. Rob

Got the problem. The correlation is shrunk (and clipped at 0.9 FWIW although that won't come into effect because of the shrinkage) towards zero. instrument_returns_correlation: .... clip: 0.90 shrinkage_parameter: 0.5 That makes sense for the DO as it makes it more stable (see the...

Incidentally, my lron closed today Rob

It's not possible unless the forecast flipped sign but I haven't traded since that happened due to buffering OR a trade limit is preventing the trade. I think it's the former. Rob

Whever I've tried it in the past I've found it fairly painful. Of course things are always improving. Rob

Just glancing at your risk report, compared to mine, you're running slightly more risk but as you say with a lot more positions. Total 5.8 (lower than yours but not by much) Sum of abs(notional exposure % capital) 75.4 (much lower) Sum of abs(annualised risk % capital) 13.8 (about half) Net...

I've gone through this before, but briefly: - Switching costs are high, eg getting IB Gateway to run on a remote headless server is a faff - For the sort of storage I need it turns out to be quite expensive to rent a machine - My system trades slowly, so the costs of outages are relatively low...

The awesome shed does have solar panels but I don't keep my trading server in there! Rob

Hi all Sorry for the radio silence, been taking my usual extensive summer holidays (which haven't finished yet!) My system basically didn't run for the last 3 weeks, as I wasn't around for the Sunday IB resets, and there was also a power cut. But positions were small with low risk so I was...

About 100 markets (dataset is 150 but many of those are too illiquid to actually trade). 42 'Trading rule variations'. Each of these is a signal, but a variation on about 12 themes. By a variation I mean eg a different look back on a moving average. GAT

We previously communicated a roll-out schedule for merging products currently listed on exchange names DTB and SOFFEX into a single exchange named EUREX. Please note we are delaying the merger roll-out schedule. We will communicate new dates for the remaining products in the coming week.

Well it would be handy if someone had written a book that talked about this, or was writing a book that discussed it, that was coming out soon. Then maybe someone would acidentally copy and paste the relevant section. Oh hang on: " Choosing contracts with the best forecasts For instruments...

No. I have 400K notional capital, and that is what I use to scale my positions. That is only sufficient to trade 30 or so markets and deal with the issue you describe, but I now use a dynamic optimisation method to cope with this and still have 140 odd markets in which I could potentially take...

It's my understanding that you are only getting paid because the rolldown on the future is in your favour (contango or backwardation). But you are always paying 2.5% over and above what the future is. So if the rolldown is 10% in your favour on a long futures position, then if you are long you...

The fees on trading Nat gas futures are tiny, $3 a contract I believe. For my style of trading what tends to hurt you is the cost of rolling over positions every night. The funding costs on spread bets are horrendous due to the fat interest margin. You pay 2.5% a year with IG for example; may...

Spread betting is orders of magnitude more expensive than futures. GAT

Not if you're a systematic trader. If you fit your system to one or two markets, you'll just overfit. The average p&l for one market in my system is about 4% a year. For 160 markets, it's over 20% (backtest is actually closer to 40%, but I'm a pessimistic realist). GAT (Of course I could make...

This is absolutely superb and exactly what I was hoping for when I posted. One like isn't enough! GAT

Yes, I drop rules that are too expensive for a given instrument, then use simple grouped handcrafted weights (simple python script to do this). Rob

I use multiple levels exactly like that. Rob