Search results

Since Elder brought it up, I've been playing with Rob's handcrafting method for a few weeks now, trying to understand the results I'm getting. Here's what I get for 12 instruments (returns data for the date range 2015/07/01-2020/07/01) that I think are somewhat diverse, representing each group...

Thanks Rob. This ended up looking a bit complex in my implementation, so I'll put here which price I use for what if folks are interested. Below, by adjusted prices I mean prices modified to remove or smooth out differences between different contracts, also sometimes called stitching. By "carry...

I'm also following the macro series of podcasts, really liking it so far. Is anybody else playing the "drink when Niels brings up Ray Dalio or The Fourth Turning" game? :D

Interesting, thanks for sharing. The way I do this is have offsets like Rob has in pysystem trade, then use those in combination with dates for which prices exist (I use this to eliminate weekends and holidays) to generate a list of roll dates. Then using that, and the actual prices, I generate...

I have 2 somewhat unrelated questions. 1) What is the authoritative source for contract specs like expiry dates, for long expired contracts? I'm currently interested in some Platinum contracts from 2003-2004. I'm aware of the Contract Specs page on CME...

Edit: I see now these graphs are really large, I'll post smaller going forward, or use thumbnails. Price stitching is hard :) I had some mismatches in the 2 processes I use (moving to a new process now that I got some price data going back in history) so I wanted to see what Rob's prices look...

Correct, I think "tags" is a good name, or "labels".

I did some work on the logging infra, so wanted to share, maybe others find it useful. I mentioned previously that I use Google Cloud for some stuff, one of them is logging. I have logging configured to log locally to disk (SD card actually, it's a Raspberry Pi) and to Google Cloud (GCP). The...

Backtrader is amazing if you have a single strategy system and are trading stocks. I was really surprised how easy it is to pick up on the concepts and create a single strategy stock system. Docs are great too. You get a lot of visualizations out of the box as well. Concepts like Sizers...

I've been reading last few posts between you and Rob on this topic and thinking about where does my system fit in, and I think I'm smack in the middle between very dynamic nature of Rob's system and static nature of yours. I don't stitch functions together at runtime, but I also don't store...

@ValeryN I've read the Bensdorp book (thanks for the recommendation!) and have one thing I didn't really understand, so wanted to see how you interpreted that. He mentions 6 systems in there, that all share capital and are backtested together, so I assume they are traded on the same account...

Thanks! Not hours of work in MS powerpoint, but MS paint. :D Joke. This was generated with PgModeler tool, https://pgmodeler.io/ It's free if you compile it from source yourself, but they also have a free demo which works well, if your database does not have a lot of tables, they limit that in...

Rob, if I may suggest trying out systemd timer for periodic tasks, instead of cron. I'm using it in my system. It's highly likely systemd is already running on your system and you don't have to install anything. Here's a taste, a timer config that triggers my forecasts every day: [Timer]...

As few others have mentioned, this thread *is* the best place for these discussion. Perhaps I was just looking for more distraction, as refactoring this PriceCalculations object isn't too interesting at the moment :) I probably didn't explain it well, but I wasn't thinking of discussing trading...

Hey folks, here's an update from me as well, haven't been posting for a while. My last update was https://www.elitetrader.com/et/threads/fully-automated-futures-trading.289589/page-209#post-5055797. After that stunning start, things proceeded to go exactly as you would expect, meaning, I'm down...

@globalarbtrader let me know if you need any help with integrating ib-insync, I've been using it for my system and am quite happy with it. There are some quirks, but code is not that hard to understand.

So, was anybody trading front oil contract? :D

Rob's post (https://elitetrader.com/et/threads/fully-automated-futures-trading.289589/page-205#post-5038211) and Kernfusion's question the other day pushed me to think about portfolio margin accounts, so wanted to ask a few questions here to make sure I understand how that works. Currently, my...

Hey folks, I've been lurking around for quite a while, so decided to do a short writeup of what I'm doing, for those who are interested. This is a bit lengthy, so I'll put the important stuff at the top :) I've been trading my system for 2 full months (first trade was placed 1/29) so this is as...

Thanks for the update Rob! Quick question, where does the above come from? I was looking to do something similar, but couldn't find the info. By deposit insurance limits, do you mean those $250K that FDIC insures or is there a different thing in the UK? I'm up 24% since I started (early...