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There might be value in putting your entire trading system into a docker container; thus reducing implementation time in getting code dependencies, required libraries etc. Might be useful if you're using a cloud solution like EC2, since every time you start up a new virtual machine you need to...

No, single contracts only. GAT

Close last night to 0905 GMT I am down around 0.2% Just noise GAT

The skew on the front contract is horrible. If vol jumps it jumps big time and always by more at the front. Since I'm biased to being short, I generally want to avoid that. Also generally things with non stationary vol are bad for position management that uses historic vol as an input. Also you...

Yes based purely on the carry I'd be long December VIX but short everything after January. Taking all my signals into account I am maximum short in December VIX. I've started rolling to January which will be max short too so I wouldn't open a new long position in December now as the expiry is...

Like most futures there are 3 basic ways to predict VIX: - "Value": Buy VIX when low, sell when high - "Carry": As others have said you ideally want to be buying 2nd month VIX when it is cheaper than 1st month VIX. Most of the time it isn't and you should be short VIX. - "Momentum": If VIX has...

Given your holding period and using 2 pairs I'd suggest around 3% (https://www.docdroid.net/ldv7Aiq/londontradersexporobertcarver.pdf.html#page=20) This is far below what any Kelly formula will produce based on the numbers you have given. They are based on Kelly calculations using realistic...

Diversification is the only free lunch in finance. Trade as many things as your capital will allow, ideally across a diversified group of asset classes. Picking instruments based on backtested performance is a tricky path to go down, and the statistical evidence doesn't normally support this...

It's not exactly the same time period but over the last 6 months I'm up 6% overall of which around 10% is equities plus hedge. GAT

Another question I don't like ... answer here https://www.elitetrader.com/et/threads/fully-automated-futures-trading.289589/page-8#post-4098584 I'm up 22% since December 31st, and down 1% since April 4th (the year I use). GAT

Yes like I said it's an approximation. GAT

I will do an update in a week as usual. But if you're curious I'm down 5.2% since my last update on September 5th in a 11% drawdown (on twice the vol of a typical CTA). Still up for the calendar year GAT

Edge? I didn't say I had an edge, did I? All I'm doing is picking up risk premia... If I compare futures to spot then I'd get the the excess return eg expected dividends less the funding rate. I use back versus front as an approximation for this, as I'm too lazy to collect spot prices. I guess...

Nothing except that the forecast is capped at +20 (2 standard deviations) The whole point behind such strategies is you run them consistently because they make sense over long historical periods and there is no evidence they work differently for different currencies. If you're also running...

Sorry for the delay in replying been on holiday. I find these kinds of questions a bit meaningless if I'm being honest. I think "crowded trades" are a problem when you are trading quickly, are trading mispricings, are trading relative value, have high leverage and so on. This creates an...

82 trades is not enough to give you much of a statistical idea about what your 'true' win / loss is. So its really a moot point what Kelly formula you use. All the numbers you are quoting for fractional bet size are way too high. What's your average holding period? GAT

Sorry I only trade futures and I don't really know the commodity ETF's You could try asking this on another part of the website, there is one area specifically for commodity traders. GAT

http://quantocracy.com/books/ http://qoppac.blogspot.co.uk/p/books-to-read.html

No it depends on the contract. Ideally CARRY would be earlier than PRICE but that's not aways possible if you're already trading the front contract. I suggest you read this http://qoppac.blogspot.co.uk/2015/05/systems-building-futures-rolling.html ("The need to measure contango") or appendix B...

These are optimisation / backtesting tools (which frankly sound dangerous to me). The OP is about a lightweight reporting package. GAT