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Daily mtm is noisy and meaningless. Rob

+0.4% Rob

No I wish I did. Rob

Their flagship AHL fund will be short JGBs, but also short most bonds regardless. GAT

Yes under certain assumptions you can derive a ratio between the N day range and the N day standard deviation, closed form mathematically or with simulated data. Or measure it for similar instruments where you have this data. Having multiple days won't help very much. Obviously with a long...

Yes with my capital size, losing DO would cost me more than any gain from an MR system that would have significantly fewer markets. Rob

Yup, that's in the new book. Rob

You can just download the portfolio value directly. GAT

According to my diagnostic reports the new lumber is doing less than 10 contracts a day, so that would have to change before I considered it. (Obviously minimum capital probably isn't an issue with DO, except at the limits) Rob

From memory I had two ocassions of an obvious backward incompatibiity change when I was directly dealing with the API myself. Usually something like a function call requiring an additional compulsory - and also redundant - argument, which is really irritating. Why not just add a default to the...

Both. Futures are a bit weird, because the opening 'value' is zero; but you just have to translate the cost of commissions. So for futures: on day 0 translate commission into GBP equivalent, that's your acquisition cost. On day T when selling translate profits less any closing commission into...

You can't add interest charges unless you are paying your tax as income tax not CGT, which is very unlikely. No. It's only actual buys and sells that crystallise your CGT. Moving holdings between accounts has no effect. You use the FX rate on the day of a buy or sell to calculate the...

The industry don't use any of this stuff - it will almost all be custom built. GAT

Ah... the widowmaker. GAT

Bear in mind the choice of that multiple is to get a particular length of trade horizon - you shouldn't be optimising it to try and increase Sharpe Ratio. Rob

When I did my weekly login yesterday I was offered the choice of app, gold card or white card. But maybe that's because I already have the cards. GAT

A word of warning, this isn't really 'mini Lumber' as it's a different product, so unlike for the other 'minis' there is no arbitrage and the price is different. Perhaps 'LUMBER-new' is a better name. Rob

This would be extremely annoying... except IB already made it impossible to use IBC to log in every day - instead like a lot of people I have to log in once a week. So given the current situation, having to use 2FA once a week to log in isn't really that burdnesome. And there are at least 2...

Your best bet is to create a discussion on pysystemtrade, and hopefully there will be someone there who can help. Like I said, it works fine for me, so I can't really reproduce your problem. Rob

Just had a quick look - JPYUSD vol is still pretty high, over 7% a year annualised. Right now it doesn't look like EURCHF did in 2015 - a currency with extremely low vol (was less than 1% a year) that is bumping along a pegged value. That situation might develop, but we aren't there yet. I have...