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Feels like it's time for a progress report, as it's my birthday and I'm feeling introspective. Performance has been good; a quick check on the tape reveals my drawdown is down to less than 4% and I'm up more than 10% for the tax year (perhaps 8% for the calendar year because the first two...

Yeah I don't trade any of those. But you're right, some of the series are a bit short. But that doesn't bother me, I only need a year or so of data. It's a pretty cheap subscription, and once I've downloaded everything I need I won't need it any more so will have cost me very little really. GAT

IB, and backfilling using Barchart. GAT

https://github.com/robcarver17/pysystemtrade/blob/master/sysdata/config/defaults.yaml Line 233 (I know! You got to line 230 and stopped reading) # buffering / position inertia buffer_method: position buffer_size: 0.10 ###<----- yes it's 10%! GAT

I do. In fact right now I'm expanding the list of futures I trade in my systematic trading system, so I'm downloading large amounts of data. Depends what you mean by 'build your own database'. Nobody is going to produce an alternative to kdb, sqllite, mysql or mongodb. But plenty of people are...

Not old enough to be a boomer. I'm gen-X, as I have frequently had to tell my (Gen Z) children. GAT

It feels weird, but it's probably the best ever public demonstration of how a systematic trader should ignore their emotions and stick to the system no matter how bad it feels. GAT

As a postscript to the article, just bought one Bitcoin micro future. GAT

No the feedback was welcome! If not I would have written it like this: 'I've had so much "helpful" feedback..." GAT

Yes, I've had so much helpful feedback (mainly from @HobbyTrading) it makes sense to rerun the exercise now I've added the subscriptions for OSE and SGX, and made a few other tweaks. No (ICE) it doesn't make sense for now. But it's still on the table in the future. GAT

No. The 10% method is a simplification. I've had enough complaints about the book being too complicated without making it worse. But it makes no theoretical sense to have a different sized buffer if you have a max posiion on, or a zero position. GAT

It's based on the average position (with a forecast of 10). GAT

Well I'm trading futures so there is already leverage. But I think what you are referring to is the fact I run my portfolio risk target 2.5x higher on each instrument to account for portfolio diversification effects. GAT

You're right they are missing. I did the selection manually by copying and pasting off the IB website, and as I was trying to ignore single stock futures I may have missed some (in fact it looks like I've missed loads in SGX). I've got the XIN0I but not XINA50, I already have the Nikkei in...

(i.e. 25 instruments -> each gets 4% of portfolio) Yes and then also based on volatility (Sd) to fit into these 4%? Yes, though not sure what 'fit into' means. Buy/sell is based on forecasts of different trading rules, and yes I am not invested all the time (well not quite but only because you...

Yes GAT

Thanks for the heads up about expired contracts; that will be useful if I can't get the prices from barchart. The SGX futures are indeed in my master list (rows 163 onwards). But I don't subscribe to the data. However I can see that the feed only costs SGD2 a month, so it's probably worth...

https://qoppac.blogspot.com/2021/05/adding-new-instruments-or-how-i-learned.html GAT

Incidentally the risk adjusted cost of trading BRR0.1 is still very competitive, since the vol is so high. GAT

They should have turned their marriage off and then on again. For older Windows users: "It looks like you're having marital difficulties. Can I recommend a counsellor or lawyer?" She could have tried dual booting instead of a completely new OS install. Works as long as the Windows partition is...