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Former is for the correlation of substrategy returns, latter is the correlation of the underlying instrument returns. So the latter is more appropriate for a risk report, and DO calculations. The former you'd use for IDM estimation and instrument weight estimation. Rob

Personally I think the absolute minimum account size to trade futures is probably around the 50k mark; I can't remember if I use that or 100k in AFTS. Irrespective of performance expectations. Rob

I've come to the same conclusion myself and at some point was going publish a mea culpa blog post, but it's hard to find time to do something which won't add value. My own tentative fiddling about suggests that a version where you wait until the MR divergence is higher is profitable (discovered...

Yes because there is overwhelming evidence that TF performance is mean reverting Rob (That was sarcasm by the way)

Yes, as discussed in smart portfolios

1) Huh? 2) It's in the 55%, and it's about half of it. Rob

The theoretical optimal weight on the futures trading is probably somewhere between 50% and 75%, so yes if I didn't have these other issues I would allocate more. "Return stack" - I see this phrase a lot, I have no idea what it means. Rob

OK to be clear it's currently 40% and used to be significantly less. I've covered some of these reasons before, but: Having 80% of my wealth in a leveraged futures account with a single broker controlled by software written by a complete amateur developer feels risky. It's taken me 10 years...

er ... that's literally what I'm doing?

So this time, just for kicks, I fitted everything on a per asset class basis. One of the main reasons is that my fitting just broke with all the instruments present, my laptop literally fell over. And from here, I know that asset class fitting (ok there I used clustered groups but close enough)...

That's very fair; in fact it's only this year that I've trusted the fully automated fitting enough to use it, before I was manually handcrafting. And I wrote the code myself! Rob

No idea. One of the upsides of a fully automated fitting process is you don't need to know or care where the weights for each one of over 200 instruments is coming from. BITCOIN: assettrend16: 0.015 assettrend32: 0.02 assettrend64: 0.02 carry10: 0.088 carry125: 0.034...

See here tab asset classes, you can see my strategic risk weight to bonds is around 7%, and tactically is currently lower. Rob

A quick update (more will follow in my usual annual review blog post in a few weeks time), good performance recently - now at a HWM and YTD about 12%. But don't worry, things will get worse, for two reasons: firstly the usual universe punishing my hubris for posting at a HWM, but also because...

So you created this system a year ago, and since you created it it has a 317% return with live trading? Why are you posting this on the internet? What is the turnover? What are the other risk statistics? Rob

OK I'll bite How many years have you tested it for (backtest and live)? What is the average annualised turnover [mean(abs(diff(position)/average_position))*n where n is say 256 number of trading days per year)? GAT

I've incorporated the script from @newbunch * into my reporting framework, so now this report should upate daily: https://github.com/robcarver17/reports/blob/master/Commission_report * more accurately I've included the concept of generating a 'whatif' order for each instrument in the current...

All seems fine here, move along, what could possibly go wrong? GAT

Mind sharing the script? I can then add a daily report on this which could be useful to others. Rob

I'm 100% confident the answer to your question, is yes, they will come down. (When however, I can't help you with) GAT