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Hello HobbyTrading, yes, as you note, the two instruments NG and HH have a high correlation. Even my "codirection" matrix (picture below) shows the maximum value (even though I have just launched it, so there has been not enough time for "accurate", long term, evaluation): From the trading...

You are absolutely right. NG is much more liquid. In fact, it's the one I am currently trading (see the initial folio, and the yellow frame): I have loaded HH just to take a look at it, since it is a while I am not following it. (Usually NG does not perform as well as CL and SI, it's just...

Our drawdown on the CL options is slowly being reabsorbed (currently around 29K), while the PNL is fluctuating around $150K (42 solar days) [we have made 811 fills with about $4K commissions]: All the fully automated layers are doing quite fine with the current game version (especially ES)...

We are on our 37-th day (counting also holidays and weekends) of trading and up to about 62K profits. In total 662 fills, and about 3.3K commissions. All the fully automated part has been performing greatly. For the "surrounding" discretionary strategies, significant drawdown, instead on...

As a curiosity, here is the chart of all orders fired on ES (red=sell, cyan=buy):

Yesterday volatility has finally "exploded". Unfortunately, I was busy with work and other affairs so I arrived a bit late to watch the party. The trading engine did quite well all by itself, in fact when I arrived the PNL was peaking up. I decided to "reinvest" a little bit on a position on...

Another week is gone. Overall, not much happened to our instruments. Observed range for our futures instruments are approximately: 8% for CL and NG, 5% for ES and NKD, 7% for SI. Overall PNL situation, instrument by instrument, is: Compared to last time we checked it, the differences are...

Finally, we start to see some drawdown, as CL becomes more "agitated", and we can take a look at the working of the hedgers. Since we started, a few days ago, CL swiped a relatively small range of almost 8%. The last move upward has caused the "hedged" layer CL FUT 201803 NYMEX 1000_L1 Light...

Some instruments such as NKD, SI, NG are getting closer to their expiration date and we get a notification on screen. Eg, NG: I have already rolled over NKD and I am going to show in minuscole detail, once for all, the rollover procedure for NG so that it can serve as a reference. The purpose...

We are still up, since the instruments are "going nowhere" and the scalping engine has therefore an easy time to grab some profit. Around $15K as to today, with a total of 95 fills and $229.74 in commissions: A view "by instrument", where I have paired (with cyan rectangles) the pairs...

Hello traider, thank you for the question. In this illustration, for instance, in order to hedge the layer called CL FUT 201803 NYMEX 1000_L1, which is trading the futures contract CLH8 (Light Sweet Crude Oil), I have simply defined a "clone" layer called CL FUT 201803 NYMEX 1000_L2 which is...

We have gone "underwater" just before the weekend and the mkt holiday. Just today the PNL returned a bit higher (around $11K, 74 fills so far, with $178.33 comms): so far no problems as the instrument did not move much: We have NG (NG FUT 201803 NYMEX 10000 Henry Hub Natural Gas [ NGH8...

High entropy (say, in general, a measure of randomness) correlates to high information (say, in general, a measure of uncertainty), however the keyword here is "useful", not information. Or, another more complete phrase we might use is: "useful to the purpose of generating long term systematic...

Nice question. Yes, it is true that "The trading information that an agent creates is derived from mkt prices." However, it is not "the same as the trading info from mkt". More than "derived", I would say caused by effect of the "trading rules" which the agent enforces. Some arguments are the...

The fact the we set f=0.3, that is we aim to "cover" 30% of the value (we will discuss later what "cover" can mean in terms of implementation details), has the practical implication that for the first entry on the "hedger" we need a position of at least 3 on the layer being hedged. This has...

Can you make an example to explain better what you mean ? (In general terms, I tend to think that the mkt does not yield information useful to give any advantage to extract profit. It's rather about the use of the trading information that the trading agent (a trader or any algorithm) creates...

If we call this mechanism an "hedging relationship", we can also identify (for now) the following "formal" properties: - An "hedger" can target only one instrument - An instrument can be hedged by multiple instruments - An "hedger" can, in turn, be hedged ("cascade") - If I is hedged by H(j)...

Now that we have introduced the "new" ideas in very general terms, let's see some practical examples and some details of the current implementation. So that you can also start proposing possible corrections and variations on the theme. Let's start with the most trivial example. Assume for...

Hello traider. Thank you for the question. You find the complete broker report (IB) attached to the last link posted in the previous post (see very first line). There is also the chart of the complete equity curve and of the final PNL of all instruments active (which had been rolled over...

Following our previous illustration thread: Trading with automation (with IB) I am going to start a completely new one, in order to test some new ideas and functionalities on algorithmic trading. This will be an occasion to both possibly confirm our general approach, and, also, to test a few...