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Some contracts are highly correlated to the front month. There is no need to trade anything else. When that doesn't happen other months are more liquid. There is also needs to be a demand for hedging other months. Someone, probably more expert, already talked about commodities. But seasonal...

A relative newcomer should be trading with little money and so getting the lowest cash risk is the most important factor I think. I'd suggest the european VIX, VXX. Or if you want a US contract Corn or IMM Mexican pesos USD.

Change in delivery basket http://www.cmegroup.com/trading/interest-rates/files/mar-15-jun-15-roll-analysis.pdf

Yes SR - Sharpe Ratio. And I meant higher in the past. My bad.

All of this is possible without crunching your logic into a particular format, or weird descriptive language. As you allude to some kind of messaging system, or decent API, would allow you to write your signal logic as a function / class without needing to learn / create a sufficiently flexible...

The p-value you get from bootstrapping returns will be a function of how many observations you have and what your realised Sharpe Ratio is. So for example if your Sharpe is really 0.5 then on average with 20 years of data you'll have a p-value of 2.5%. Bootstrapping deals well with non Guassian...

Todays trades code contractid filled_datetime filledtrade filledprice 2827 ASX 201503 2015-02-27 01:26:43 1 5885.000 2829 AUS3 201503 2015-02-27 01:57:46 1 98.230 2835 BOBL 201503 2015-02-27 09:00:27 -6 131.250...

Okay I'll try and be very explicit. I have an average, long run expected risk target (not a threshold): annual risk target = 25% of capital at risk = £100,000 daily risk target = annual risk target divided by 16 = £6,250 Then on any given day I have an expected risk, derived in a standard...

No I ran a third (the fixed income part) of a $15bn portfolio. The AUM number is meaningless without a risk target which is why I said that if that entire portfolio was in US treasury futures, then at peak risk you'd need to own 25,000 contracts. I hope that makes sense - I can explain more...

Yesterdays trades code contractid filled_datetime filledtrade filledprice 2816 AEX 201503 2015-02-26 16:37:30 1 482.400000 2814 AUD 201503 2015-02-26 16:17:42 1 0.782100 2817 CAC 201503 2015-02-26 16:38:02 1...

Yesterdays trades code contractid filled_datetime filledtrade filledprice 2809 AUSSTIR 201606 2015-02-25 06:14:16 1 97.90 2810 VIX 201504 2015-02-25 10:30:12 -1 17.45 code gbpt_slippage_process gbpt_slippage_bidask...

I guess we shouldn't bother continuing the argument since my apparently wrong approach gives exactly the same result as yours, and I think we can both agree that sizing to mu/sigma^2 - whatever name you want to give it - is far too aggressive. (Though its hard to see how I've managed to...

I don't understand where you get the numbers from, or indeed your 'CK' formula. The mean, mu, of this example bet is 11.1%. The sigma is 12.3%. This gives an optimal annualised risk target of 90%. The only CK formula I know of, as I showed empirically was correct in my post, is mu/sigma. I've...

I can say a bit as I'm now retired. I ran a portfolio of fixed income systematic strategies, mostly trend following. To give you an idea of size, if the entire portfolio was in 10 year treasuries the peak position would have been around $25bn. Given you're mostly in trend following you would...

Todays trades code contractid filled_datetime filledtrade filledprice 2802 AUSSTIR 201606 2015-02-24 04:42:47 1 97.890000 2807 US10 201503 2015-02-24 14:08:22 -1 127.781250 2808 US10 201506 2015-02-24 14:08:22 1...

Yesterdays trades code contractid filled_datetime filledtrade filledprice 2791 AUSSTIR 201606 2015-02-23 02:57:41 2 97.9200 2794 EDOLLAR 201806 2015-02-23 17:29:18 -1 97.6250 2796 EDOLLAR 201809 2015-02-23 17:39:54 1...

None whatsoever. My apologies.

In the interests of balance and in praise of the simpler approach, I will share a few anecdotes from my professional experience of systematic trading with multi billion dollar portfolios. The first story occurs in 2011, when as you'll recall there was an earthquake in Japan. On Friday there...

Thanks, and a good question. My average holding period is about one month.

I haven't checked this but the obvious reason is that the volatility is probably lower in the future.