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I'm up 7% for the day (was 12% at some point) on the trading alone, and am running some math to see if my risk management and position sizing has a bug, or is this expected. First look says it's normal, I was just lucky to be short NG, ESTX and Corn, and long Eurodollar, 5-year and VSTOXX. I...

Sooo, who's short oil? :D It didn't fit my budget, but I'm short natural gas, so got some benefits from the dip just now, but oil is 30+%. :caution:

Kernfusion , Rob , Same Lazy Element and Hobby, thanks a lot for the replies re bonds and carry. The overall conclusion is that I was too anal about it :) I'll stick to collecting EOD prices which are present (mostly :D) until I run a backtest around this to see what's the effect of removing...

Interesting. I was thinking about that, but quickly discarded it as I think Rob said in Leveraged Trading (perhaps in Systematic trading as well if I recall correctly) that that's not a good idea. I think it's worth a backtest at least :) Thanks! Did you mean June or September? I see that June...

What are folks doing with US 5-year note (situation is similar with 2- and 10- year) right now, I rolled to hold June (March contract is past first notice) but there's no liquidity for September, how do you compute carry?

I'm up 3.5% for the day, but still in 3.3% drawdown overall. I did cheat tho, I couldn't look at that MXP long anymore, so I sold that yesterday. In hindsight, it was a good call (at least for now) as it continues to go down, but I know I shouldn't be doing this. So I'm looking at things I can...

Thanks! That sounds about what I have as well, my max position is 5 though. I guess we just hang in there. :)

Does anybody else still have forecast for MXP to be long or am I doing something wrong? The trend has clearly ended but my overall forecast is still 8.5 (I use same numbers as Rob, average +10/-10, cap at +20/-20). Most of it is from carry, which is 22 uncapped.

Down 2% here, half of it is ESTXX50, and other half MXP and V2TX combined. GE and ZC are helping :)

Good luck! :) I'm in almost exactly the same situation. I went live about 3 weeks ago, same capital, but I only got 8 instruments, not sure how you managed to squeeze 14 and keep the capital allocations somewhat equal (or did you not try to do that?). Also, bad luck (timing wise) with MXP , I'm...

GAT and @HobbyTrading, thanks a lot for the replies! I do calculate volatility. I believe that in the Leveraged Trading book that is described as instrument risk, and is the same thing as price volatility in the Systematic Trading book. Basically, in the carry rule, I divide expected annual...

Thanks for that link Kernfusion, that was helpful. I'll reduce exposure to that instrument until I figure out smoothing. I also did some digging to see if it's feasible to trade a contract further out, here's what I got if others are interested. 2020-01-23 2020-01-24 2020-01-27...

How do folks deal with spikes in V2TX (and I assume other volatility indices) during spikes like yesterday? I'm trading a system as described in Leveraged Trading, with 3 instruments (Corn, V2TX and US 5 year bonds) and all 13 rules (6 MAC, 6 Breakout and carry), and combined forecast went from...