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I've 100% no idea what you are talking about there. But let me try. Of course it's a numbers game; you can't trade systematically unless you quantify everything into numbers. Last time I checked, prices were numbers. If you mean by numbers game that I trade a lot of things, yes I do, because if...

Trading is weird. Is there any other field of human endeavour where uneducated amateurs consider themselves superior to professionals? Except maybe politics. Amateur gamblers in other fields like poker, might think they are better than they really are if they happen to have been lucky, but do...

Sure My full list of positions is published daily here: https://github.com/robcarver17/reports/blob/master/Risk_report My full list of 'projections' is here https://github.com/robcarver17/reports/blob/master/Strategy_report Scroll down to 'subystem position', the figure 'combined forecast' is...

I don't normally lower myself to this sort of debate, but I'm feeling combatitive so what the hell. Yes, I made more than you did this month. Not that it proves anything, which you would know if you had an understanding on the statistical significance of trading profitability... like a quant...

oh yes there is

Optimal rounded seems to make sense, but personally I would want to investigate this in isolation before implementing it. Greedy search in both directions... something about this makes me feel uncomfortable. When I was playing with the initial kernel of DO I did experiment with allowing this...

That doesn't count you need three physical versions if you are absolutely serious about trading, and you get a free kindle version with each anyway. Rob

Since most of your questions have been brilliantly answered by others I will limit myself to what new information I can add. 2. I am not sure I'd class this as 'optimisation'. You can optimise when you roll, but there are more criteria than just the volume (again discussed in AFTS at length)...

As I've said I now use SNAP, and it will be interesting to see my execution figures for the last 12 months which I will get round to at some point. Rob

++1 for this. Circuit breakers are rare, and if you're trading slowly enough are irrelevant Rob

This is similar to what I do; pst has varous roll modes to support this: - passive as described above - actively closing the position in the current contract (DO will then decide if it wants to reopen in the new contract; if it doesn't this is a nice way of saving money) - actively rolling to...

There is no direct link, but sure it's likely if we get a +ve forecast in NKY then we're more likely to go long VIX/V2X Rob

I generate a signal on it, but don't actually trade it. The beauty of dynamic optimisation. Rob

I have nearly 200 instruments in my config. So the average weight per instrument is 0.5%. The 5% total weight to vol is therefore pretty over representative. You can't compare that to a small portfolio. Rob

Why doesn't it seem right? In what why is it not aligned with my instrument weights? Rob

Because DO doesn't know about rolls; it deals in notional instruments not individual contracts, and it's making a decision about whether to trade based on what the trading costs are. It would in theory be possible to consider rolling costs in DO, but very complicated for virtually no gain. Rob

1) What is a system? 2) I don't know Rob

No this is good. That's the point of DO - more positions when you can afford them Rob

As I said about 4 posts ago: Personally I think the absolute minimum account size to trade futures is probably around the 50k mark Rob

Now that looks like a very nice idea... I may well steal it. Rob