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Not sure you're being obnoxious but you clearly haven't understood what I was trying to say. "December 2024 has a volume of 7800 and December 2025 has a volume of 1300. I currently have no position in December 2024 and December 2025 is considered liquid. Therefore the status will be ROLLADJUST...

The code should only briefly go into the roll adjusted state, so that it can actually process the roll (moving the current priced contract forward one roll); once that happens it automatically goes back into the no rolling state. So you'd only stay in roll adjusted if something went wrong. Rob

Use default parameters? [no to change]y AUTO ROLL RULES: Irrespective of the following, we will automatically roll if a contract has expired and no position The test for forward being liquid: - if relative volume between current and forward contract > 1.000000, then considered liquid (and no...

No you are right, I do have costs as negative returns by convention elsewhere, but the SR costs are positive. I don't use SR costs any more hence why I didn't spot this. Fixed in develop branch. Rob

What do you mean by 'printing'??? If you want to know what returns I had, I was uncorrelated: Jan 2020 me +9.7% S&P 0% Feb 2020 0.2% -8.2% Mar 2020 -0.2% -12.4% Apr 2020 -1.6% 12.8% May 2020 2.1% 4.8% Jun 2020 3.8%...

SR measured across entire asset class Rob

Shrug my shoulders, noting that if all my trades were delayed for 2 weeks in my backtest it would lead to a loss of 3bp a year in SR, or basically nothing over 2 weeks Rob

You didn't do 50% though did you. You did 13/15 years as optimisation. Then in two years out of sample you got lucky or perhaps there was implicit fitting because you junked the strategies with poor out of sample performance. No it's not easy. If it was everyone could do it. But yes everyone...

No... you're wrong. And you're right - not in a million years should you be allowed near an algo. Curve fitting makes performance better in the past, but usually makes it worse in the future when you're actually trading. Let me try and explain it like that. Imagine that you had a strategy...

Yes I use previous market data. But there are ways to avoid producing a long bias in your strategies as a result. The fact my Beta is zero indicates I've probably managed this. And 80% of what I am trading isn't stocks anyway. GAT

No, that isn't what you do. That's called overfitting. Proper algo traders don't do that. GAT

"I am a brilliant trader who can beat any algo" Also "I am paying $7 to trade mini NQ" Hmm.... GAT

That might be relevant if I traded a long only strategy with S&P 500 stocks Whilst in fact my correlation and beta to that are zero. GAT

I use IB, I think most people on ET do but there are others. On say mini NQ they charge $0.25 per contract. GAT

https://www.elitetrader.com/et/threads/fully-automated-futures-trading.289589/ https://github.com/robcarver17/reports/blob/master/Account_curve_report.pdf GAT

About 50 trading rule variations on around 200 futures GAT

No it will most likely reduce positions GAT

No, you have misunderstood what type of algo trading I am doing. My average holding period is a few weeks. I probably trade fewer times than you. I probably pay less in fees than you (about 0.5% of account value in commissions annually). Everyone can see in (almost) real time what I am doing: I...

Just competing against someone better doesn't automatically make you better. It might plausibly help in something like chess, but not in trading. And by the same logic professional traders who are also competing with professionals should have equally quick learning curves, plus greater...

No. This can happen anywhere where there is luck as well as skill. Over a single month, outcomes are almost entirely driven by luck. What is the advantage that amateurs have over professionals? GAT