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Yes that's a good idea, will add it to my (long!) list of things to look at when I get time. Probably not a priority for me, as I don't think I will actually trade fast MR myself. Rob

Many thanks Rob

Yes, https://github.com/robcarver17/pysystemtrade No Rob

For current portfolio risk you should use the correlation of instrument returns and your current positions. The correlation of subsystem returns (actual, or using the 0.7 approximation) is what you use for instrument weight and IDM calculation Rob

I would imagine these are all pretty cheap instruments, so it wouldnt' be a surprise if it was tinkering at the margin with them. I saw similar behaviour. Down about 6% for the whole of 'volmageddon' since Wednesday; AHL down about 11%. Rob

<Joey from friends voice>How you doing?<\Joey from friends voice> Rob

Position limits only apply in production Rob

No, the limit is enforced inside the DO itself. So the upstream unrounded positions coming in won't have any limits applied, then the DO will know about the limits and that is where the (implicit) transfer of risk to correlated positions will happen. (You're looking in the wrong place...

I love the name 'exo-suit'; funnily enough one of the few people at the conference who wasn't an idiot referred to exotic options as 'exo' which was confusing. What reduced my exposure to bonds was more the 'off line' leverage based position limit, which indeed is exactly what I talked about in...

Last 3 days down 4% GAT

Apparently most traders need 'more discipline'. I know a nice lady in Soho who can help with that. Rob

Now someone is on their 'trading journey'. I wonder if it will go as far as Zone 2? Rob

A bloke on the next table is talking about 'struggling to find his rythm'. There's probably some medical help available. Rob

Sorry I've been a bit quiet recently. For some reason, new posts to this thread weren't showing up on my alerts so I missed all the multiplier madness. I guess everyone knows about it, but there are a couple of pre announced changes coming out...

I'm too lazy to carry on working once I no longer had to, especially for a taskmaster like Platt; I retired at 39. I have plenty of time to write books as my system is fully automated. 90% of my income comes from trading and investing. Only about 5% from writing books. Sure most people who...

Maybe they turned something on? I'll have a look when I get a chance. Rob

How over just 6 months can you distinguish between 'failure' and just random noise.

Thank you. 1. Results would be the same for a set of systems - unless the returns for any given system are positively autocorrelated, then turning some of them off will not be a good idea. 2. I use random data to avoid the chance that the results I find are just pure fluke and to understand...

By the way, I am the author of that blog post GAT

This only works if system performance is positively autocorrelated, and the switching on and off can overcome the cost penalty you will be be paying. More here GAT