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Works for me via API / Gateway in any case. GAT

There are different kinds of model. There are pricing models, like Black-Scholes. These can translate volatility quoted in different units, so for example given an option price in $ and some other inputs you can work out the "implied volatility". You can also do this calculation in the other...

Yes I am in it just for the cool performance tracking. It's useful eg when lecturing to pull up my account curve and point stuff out. Only other traders and accredited investors can see it. In fact I had to remove the links to it from my blig as it violates their Ts&Cs GAT

No interest in doing so GAT

To calculate carry you need matching prices in the two contracts. Do these have to be trades? Not neccessarily. In fact it might be worse, if for example you took the last trade in two contracts; but one of those trades occured just before the close, and the other in an illiquid contract. I...

Well I don't trade ICE markets :-) I get by on a very small number of subscriptions which cover all the markets I trade. I could trade without IB data (for example using a source like barchart for daily prices) but then I'd have to trade 'blind' on market orders since I need the live data for my...

It does actually (assuming you haven't messed with the parameters to equalise pre-cost returns) and I even wrote at length about how it does it here GAT

Sorry I jumped to concusions - I clearly don't know my own code :-) Anyway you've learned a lot about what is going on (this blog post might help also). The complexity of options for optimisation may be overkill, but people seem to like playing with them. To get more intuitive results you...

You optimised each instruments forecast weights individually? Well, I wouldn't have done that GAT

Are you trading primarily for money or to have fun? Don't say both. GAT

That sounds plausible. I try not to clutter up my brain with silly 'TA' names. This leads to frequent embarrasment when some MTA type person asks me whether I use 'wibbly wobbly pattern lines', and I have to confess I don't know what they are, which makes me look like a complete amateur. GAT

Current positions code contractid position 1 AUD 202003 -2 17 CORN 202012 -5 3 EUR 202003 -3 2 EUROSTX 202003 -6 12 GAS_US 202005 -2 9 JPY 202003 -3 8 LEANHOG 202006 -1 10 LIVECOW...

Sure give me your account number, password, and mothers maiden name. I'll get right on to it. GAT

That's news to me! I had to google "Donchian channel". It looks like my breakout rule so I guess that's what you're referring to. To be clear my breakout rule is just one of 4 different ways I implement momentum. Most of these are based on moving averages. GAT

Down another 0.5% today. The most satisfying thing is watching my account jump up the fundseeder leaderboard as all the high beta / short gamma guys get smashed. GAT

The important distinction is that you don't have to fit a simple rules, instead just allocate trading capital to each rule. As I've said before, I think this is a more robust approach which is less prone to overfitting. GAT

My preferred approach is to keep the rules simple and add more of them. GAT

I'm long 7 lots, so you lot are pussies :-) Not sure what my max is since that piece of legacy code has broken (nice way of encouraging me to work on pysystemtrade more quickly), but I was long 12 and I sold 5 contracts on Monday. GAT

Also, luck GAT PS 1% is just noise anyway...

Flat today - anyone getting hurt or doing well? GAT