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You'll take my physical servers out of my cold dead hands.... Seriously, I've considered this many times and ultimately with the speed and style of trading I have the likely losses from losing connections are minimal, even with a three week holiday. So ultimately it comes down to the fixed...

Yeah that sounds like a no-stupid thing to do, but frankly I'm just tired of the whole exercise and I'm really happy sticking with static selection, albeit in a more systematic way... GAT

Thresholding, I've come to the conclusion it's quite a palaver for a very marginal gain and I'm going to be deleting in my 'version 2' system. You're sort of right, except I'd say 'spare risk capital' rather than 'spare margin cash'. With the sort of vol target I run, you're unlikely to use all...

The init file can be empty then any import from any file in the shitload directory will just work. You still need to create it but the IDE will usually do it for you GAT

I'm now posting almost total gibberish... https://qoppac.blogspot.com/2021/07/talking-to-dead-simple-heuristic.html ... so it's safe to say no more work on small account size optimisation. I'll use the method in post #3 to find ~28 markets I can trade in reasonable size and be done with it. GAT

+1 Read it twice. GAT

And that ended well. GAT

.... and I get daily emails telling me what the system is doing (which I check every few days). So far the worst that has happened is a power cut or something going wrong, and the machine can't trade for a couple of weeks. I've backtested this, and the expected average performance penalty is...

You have to opt out of 2FA so the controller can just use your username and password to login. There is an option in the IB account settings to do it. Obviously there are risks involved... DYOR GAT

The PC stays at home where the internet is running ib controller. I go on holiday. GAT

'1000s of assets' ? GAT

Vomiting camel GAT

Yes it's basically a systematic method for what I was doing manually. GAT

Clearly, no... I haven't done the analysis, and I don't really use MPT anyway, or trust Beta. But yes in theory, if you did this optimisation and found you should allocate more to these kinds of stocks then go for it. GAT

I've posted some more on this small account problem, this time on using a more systematic method to pick a static subset of markets. https://qoppac.blogspot.com/2021/06/static-optimisation-of-best-set-of.html I am going to have a stab at the more heuristic method of picking up positions until...

Following a comment on my blog I spent quite a bit of time this morning trying to think of a good way of doing things along these lines of a more heuristic optimisation, but really struggled to come up with something that wasn't really complicated (I had something along the lines of allocating...

The price of the index futures will include dividends and interest rates. You'll earn precisely nothing (ignoring taxes and comissions, and assuming there is no cash/futures arbitrage). GAT

Trying to solve the problem that: - diversification across instruments is the only free lunch with huge benefits to expected SR - it consumes capital, thus making it hard if you only have a small account GAT

Let's be a little kinder to the OP. Lockdown clearly hasn't been benefical to everyones mental health. GAT

I'm not sure eithier. It could be that we make more money than you think from idiosnyncratic things that only affect a single market. It could be that the cost penalty was too aggressive. But in the end the whole thing was just far too complicated and unintuitive - and slow; frankly I was bored...