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I know of instititutions that might be interested in your system, but mid 6 figure capacity is way too small. GAT

Not that famous: I have no idea who you are talking about and just had to google him... GAT

I wonder how easy it would be to replicate those sorts of payoffs just by being long V2X/VIX with some TF/carry/mean reversion rules so you only go long when it's likely to be worth your while. GAT

I'm not sure if trend followers are big enough in any futures market to leave footprints that are easily exploited. There might be examples of certain trend followers sometimes being a bit dumb - trading too often or at very specific times or always in the same size. But you're right, most of...

Computer says flat p&l today. GAT

You badly need a spellchecker, a shift key, and a book on bond maths. Give me your address and I will send them over with my compliments. GAT

A thought: an appropriate regression over say a few months of recent closing price and yield data will allow you to infer the yield in real time from the price without needing any other information. Rob

Yes if you can find the current bond details, but that's not much easier. GAT

The maths is trivial but you need the maturity and coupon which changes over time, and the implied repo rate. Getting that historical data is much harder than getting historical yield data. Rob

Not easily. GAT

What exactly is 'hard'? You will have to pay multiple sets of data fees, and AFAIK you won't benefit from cross margining across accounts. GAT

As is well known I think, I run my system effectively daily - I get all the prices starting in the afternoon going into the evening, then generate optimimum positions, then generate required orders which are then executed the following day. For trading hours I rely on the hours defined by IB as...

Vent away! My little rant was because I'm fed up reading posts elsewhere on ET from idiots moaning that their broker won't give them a fighting chance of going bankrupt by next week AKA too much margin. Of course that doesn't apply to you or any other sensible people reading this thread. It's...

I don't trade any ICE markets as the data costs are too high. Ultimately IB can charge any margin they want; if you don't like it trade another product (there's almost always a correlated instrument out there - although I appreciate EUA are almost in an asset class by themselves they are...

Sorry you're right I was the wrong way round Still technically on holiday until tommorrow! Rob

Yes, I have adding better diagnostics for DO on my to do list. Rob

... which could seriously increase your costs. Rob

1. No 2. I'm only running one strategy at a time (currently), but with multiple sources of forecasts. Adding another forecast doesn't chew up any capital. Adding another instrument would also chew up capital under the old system, but not with dynamic optimisation of course. GAT

Short answer: yes. GAT

https://qoppac.blogspot.com/2018/02/cta-allocations-qe-meta-prediction-and.html Rob