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I've been checking out your reports here and there, mostly out of curiosity to see the positions. For the last couple of weeks, I haven't seen any short bond positions (I haven't checked every day, I might have missed some if the system went in and out), how come? I've had at least 2 bond shorts...

Same here, also long one V2TX as of this morning. Heads up, Rob will say for sure, but I think DO only generates a position in the direction of the unrounded position, so if that's -0.5, if I understood correctly, you shouldn't be long. From...

Did some research into risk overlays, following the methods Rob described in https://qoppac.blogspot.com/2022/02/exogenous-risk-overlay-take-two.html. Trying to look whether any of those would have been triggered during the recent run up in oil and its derivatives and from what I see in my...

The timing on this closing trade turned out to be spot on, close to the top of the day :) (I'm assuming times are UTC). How did it execute at that time? I know at some point your execution algo was checking that the bid-ask spread is no bigger than X multiples of the minimum tick size. Does your...

This is next up on my list! I'm obviously joking, I'm pretty happy with the DO stuff, backtests are looking great and I should give it more than 2 days to make judgements :) I do have an interesting implementation that I wanted to write about. I don't run pysystemtrade, but I "hook into" it for...

7% down here. I'll say this is karma for me bragging about missing that carnage at the end of November. :D Interesting thing is that 3/4 of the loss are from single long heating oil contract. Yep, I'm that unlucky to be long still. Fun fact - I introduced DO on Monday. My system before that got...

Hey folks, long time no post from me, so here's an update while that paint is drying. :D I'm currently also about 15% up YTD. Today started great, was up about 5%, but now down to +1%, since grains and some other stuff went back down. This DO stuff Rob has sure is some magic if he's still doing...

:banghead: Not sure how I missed this, of course that's the simplest solution. :) :thumbsup:

There is a free tier, yes. Though, I think it's only for 12 months, per https://aws.amazon.com/free/?all-free-tier.sort-by=item.additionalFields.SortRank&all-free-tier.sort-order=asc&awsf.Free Tier Types=*all&awsf.Free Tier Categories=*all&all-free-tier.q=s3&all-free-tier.q_operator=AND Now...

Rob, I think S3 would be great for this. You can host a static website on it easily, you even get some benefits like versioning for free, you don't have to manage a box, you can also stick your custom domain in front of it if you want. Also, API is almost as simple as in your example, few lines...

It scanned for me, but couldn't parse :) Amaranth Advisors was a company that was involved in natural gas futures rigging scandal, some info here https://en.wikipedia.org/wiki/Amaranth_Advisors (From what I gather, it was just one trader actually). But I haven't seen any news about recent...

Now I'm big time confused (disclaimer: I know 0 financial lingo). I looked into that and what's called IRR here https://www.investopedia.com/terms/m/money-weighted-return.asp is Money-Weighted return. Here's an example: You start the year with 300K (imagine your max account limit, "the cap" is...

:D It's ok folks, he mentioned on that podcast he's going on vacation soon, there's gonna be anarchy here. We'll post PnL's every day and curve fit everything. On a more serious note, what do you mean by "time-weighted"? I mean this as described here...

Sugar #11 and Cotton #2.

Quick update for the mid year (data as of Friday). Time-weighted return for the year so far is 14.79%, currently in a ~11% drawdown. Overall, pretty happy, despite the recent drawdown. Early May things were looking pretty good :D Positions: ZS 202111: 1 GBM 202109: -3 N225M 202109: 1...

I gotta say I admire this. I'm 100% certain I could not resist running a backtest. I wouldn't change or tweak anything depending on the result, but I would run one. You did mention in a post in this thread a few days ago: Why not run a backtest and see if the backtested SR is better? And...

I had one contract in soybeans and corn each, and yesterday after the close, system computed optimal positions as 0.791 and 0.984, so didn't sell any. However, I *strongly* considered interfering yesterday evening when the grains markets opened and selling. I read somewhere that this was a 7...

I can imagine the digital conversation between various components of pysystemtrade: - (position sizing) Bollocks! Lads, we can't let Rob see the shite we got ourselves into! He'll replace us with that short-term mean reversion bloke over there! - (execution) Oi forecast, I told you 20 is too...

So, how's everybody enjoying this reversal in commodities? :) It's been a good run I say...

Quick note, if you're doing this in Python, and I know Rob is, this won't do it. Python has GIL (Global Interpreter Lock) and you can't have parallelism with threads, you need to use processes. Effectively, within a process, only one thread can be executing Python code at any time. The way...