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I'm trying to understand why the sizing up is so dramatic. Is that because your CAGR is insanely high? Rob

I could paste off a list of a dozen off google search, but I'm sure anyone who is that interested could do that for themselves. I'm not going to list specific websites as I don't use any of them so no endorsement should be implied. Unfollowing this thread - I've said my piece and as I said...

I suppose, but there are already dozens more platforms that can already do that. GAT

Feels like time for a bit of an update. Hit a HWM again on Monday, but I guess now like most people I'm a little off that, down about 0.9%. YTD will be somewhere between 33% and 38% depending on whether you use non compounded or compounded returns (I prefer the former, but for comparision the...

Can you talk a bit more about this 'sizing up'? Rob

Why would you need to do that in seconds? Unless you're just massively overfitting your trading strategy? Heck, with that filter you're definitely overfitting to hell. "Ooohhh. a complex SQL filtering system" give me a break. To answer your question: I learned to programme way before I...

Yes, this problem only occurs because I translated everything into portfolio weight terms. I'm currently playing around with the shadow cost parameter to see if 50 is optimal or not. Rob

Problem is fixed, though I need to tidy up the production code, but I had to recalibrate the shadow_cost parameter to 50, otherwise I was trading far too slowly. Latest commit should work, but be careful if you have shadow_cost in your private_config.yaml as that will need overwriting. If...

There is a bug in the psystemtrade cost calculation for dynamic optimisation which only came up when I was writing up the methodology for my book. See discussion here. It's trivial to fix, but I'm currently checking the backtest to see what effect it has. Rob

Well done. My MTM was down -0.5% yesterday but up 1% today (because I close before the US does, I sometimes get p&l running over to the next day). So small up, rubbing the HWM a little higher. And excess cash is only about 2.5% right now, not worth the transfer :-) Rob

For a book I'm putting together a list of resources. For the above, so far I've got: barchart.com data.nasdaq.com (was quandl) https://www.tickdata.com/ www.eoddata.com Anything else you like? Ideally free or relatively cheap (not bloomberg then :-( ) Daily data is fine, doesn't need to be...

I'm interested in API trading, if anyone has experience of that. Basically I want a backup for IB. Seems to be the only shop offering actual futures, rather than CFD and spread bets. GAT

HWM yesterday, which was nice. Had a slightly weird evening yesterday as part of a conference to retail traders sponsored and organised by a CFD broker. Me and a bunch of weird discretionary people. They all laughed when I told them I had no idea what my positions are, but stopped laughing...

IB let's you physically settle IMM FX and lends you the currency if you don't have it. Probably best to roll or close but FYI GAT

Best of luck GAT

In backtest I found that DO traded more often than my original system (turnover in risk terms) but had lower trading costs, due to sticking with cheaper instruments when possible. But it wasn't trading twice as much so that sounds a bit fishy. Something to bear in mind is that DO will probably...

Place order with Order(.... modelCode = 'model_name', ....) Get positions back with positionMulti(...., modelCode = 'model name', ....) GAT

Several problems with this. Firstly if the spread moves against you by one tick then you will need to put up more margin. The real capital you would need to run this trade is much higher than you think. Secondly, a minor point but the July 2022 CL contract expires in late June. So there is...

YTD, they are all up. But what does that prove? The correlation of daily returns for the YTD period (Long VIX, my CTA) is 0.07. Basically noise. Correlation of monthly returns is -0.29 FWIW (only 5 observations) GAT

Blimey. Whether you need all that power or an army of phds is a moot question, but there is an awful lot more to this than just being 'long the VIX' Rather than trading one future, you're probably trading over a hundred. Also you're going long and short. And if anything you spend more time...