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Sure. An algorithmical platform relieves stress. Infact even if you cannot help staring at it and messing with it, it's much different to have an automated basis, which can you can possibly guide through some discretionary "hints", than having to do all by yourself. But the very best...

post the relevant code, to have a chance of response. Tom

You may note that perhaps this folio has too much oil related product in it. But that's just because i prefer things to be well lubricated ;-)) Joke apart, this folio does have an excess of energy related product. But that is because personally i like energy futures, because of their large...

I dont know why, but i have this feeling that wont be hard for you to find such systems ;-)) Tom

My last thread had become long. I am starting a new fresh one with a new folio of futures. We have been watching a larger folio ( the so-called "KS") to get some idea of the "personalities" of the different instruments. (If one wants to see past history of our discussions and strategy...

Now that we have studied a little the "personalities" of the various instruments, will continue on a <a href="http://www.elitetrader.com/vb/showthread.php?s=&threadid=222126">new fresh</a> thread with a more manageable folio.

Lately i am focusing on the hedging layer strategy, so not posting much... This week started nicely (a 22K in about 3 days). <img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3204852" width="1400" /> Tom

The following metrics are 4 speeds. Each one followed by the corresponding averages. <b> Speed_Abs_AsScalps Speed_Abs Speed_Signed Speed_Signed_AsScalps </b> Those ending in "_AsScalps" are expressed in "scalps" (in this specific case $250), the other are expressed in the current...

Hi unco :-) yes, right, i though about the first two. Infact as you can see i have those in the simulation (random or past tickdata) facility. While for simulations i have a definite return for each trading day and therefore a series of returns, where to compute the returns, their avg and...

Some of the following quantities are pretty straighforward and probably don't need much explanation <b> Real Real_DailyAvg Real_MDD_Ratio Real_MPos_Ratio </b> are just the same as the previous 4, with <b>Realized</b>, in place of PNL. <b> Comms Comms_DailyAvg </b> are the...

hi nathansz, <a href="http://www.datatime.eu/public/gbot/Strats%20G-BOT/Strategy_CT_T_LS_E/Strategy_CT_T_LS_E.htm" target="blank" >Here</a> is a sample of metrics i personally use and find sufficient for precise assessment. ( See bottom of page. ) Tom

As an implementation detail, for the efficiency of the previous post, in the case there is no drawdown (denominator = 0), i assume the index to be either 0 if the PNL is 0, or 100K if the numerator is positive. Let me know if you have a brighter idea to deal with this special case...

So let's see what we got so far. Let me know possible errors you see or suggestions. <b>PNL</b> As said this is a global view of the PNL of the various instruments. Each colum is representing the actual value. PNL is always <b>net</b> of spread an closing cost (it represents the amount...

hi have been doing more changes to the folio monitor (in the picture an instance just started 10 hours ago with the new panel). In particular, i have added other metrics, and removed some other ones. I have created a new indicator (for the moment called <b>"trending index"</b>) which...

Try <a href="http://www.datatime.eu/public/gbot/" target="blank" >this</a> one T

SI is currently moving about 4 times CL you either become rich or get liquidated in short time ;-)) Tom

Hi Etienne thanks. I am lately running agricultural futures too. But compared to other stuff, many of them the are not much suitable for autotrading. Once one load them up on the bot and actually watches them, compared to other instruments (energy, metals, currency, equity i.), it's...

Check out also mine: http://www.elitetrader.com/vb/showthread.php?s=&postid=3193288#post3193288 Tom

As a coincidence we were just discussing folio performances here: http://www.elitetrader.com/vb/showthread.php?s=&postid=3193288#post3193288 Tom

It may depends on the system. For istance i have implemented it <a href="http://www.datatime.eu/public/gbot/Rollover.htm" target="blank" > this way</a> which is quite simple and effective. Practically you simply "transfer" the entire trading logic on the new contract, while closing and...