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ok, I have "activated" 2 layers for ZW too. They have already been filled with opposite (long/short) players, so we are momentarily flat in the underlying account. ZW FUT 201512 ECBOT 5000 Wheat Futures [ ZW DEC 15 ] so we have 2 Ag futures active...

What does he say about what Wikipedia https://en.wikipedia.org/wiki/James_Harris_Simons reports: "In May 2009, Simons was questioned by investors regarding the pattern of losses in a Renaissance fund owned by outside investors while the investments held by Simons and fund associates enjoyed...

Yesterday we had a bit of drawdown (DD), but still looking fine this morning. The moves were hedged fine and, in fact, they resulted in an increase of the Gain-Loss (G-L) curve (the dotted green line), which, as I mentioned earlier, can be roughly interpreted as our current "potential" max PNL...

This morning we are still in good shape after almost 16 solar days and still using just 34.6K maint. margin. NKD has turned momentarily positive on all layers, which means that there has been enough scalping activity to make up for the hedging trades (in other words, the "hedging" or...

To recap a bit the approach we have been following thus far, what we are currently doing is to work for each instrument, and at a given price level, with max 3 layers, where we initially start 2 layers with opposite long/short ("mild") "position constraints". A third layer is used to provide...

I am watching the "recorded" (realtime) volatilities. In the chart below, as a reference I have drawn 2 yellow horizontal lines. One at the level of ES, and the other one at the CL volatility level. This should put into some perspective how the various instruments compare wrt to volatility...

Just got back from a meeting to find out the application has been working. During my absence the PNL shoot up to almost 13K. Apparently, the less I mess with it the better it seems to go :) I am also watching a couple of other instruments (ZS, ZW, KE, NG, ...), to see whether it is the case...

Let's see how is it going this morning. The new layers of NKD are fluctuating in a negative zone (it did not move much). ES, CL and ZL have been hedging and scalping ok. ZL is much less volatile though. SI has brought home part of the result of its investment in volatility, and pulled up a bit...

I have started 2 (long/short) layers for NKDZ5. They pretty soon neutralized each other, taking opposite positions. Will see how it develops. In the meantime, the unrealized continue its crazy run "pulled" by SIZ5: There is a definite temptation to manually take these profits, but we must...

This morning SIZ5 is finally moving in the direction favorable to the open players, so we are momentarily gaining something in terms of "unrealized". Of course, until the players can close, it can all be given back. SI is quite volatile, and the game is automatically taking into account such a...

Starting a new week. Last week was characterized by large moves up (about 8%) of SIZ5 (silver) which were hedged in a reasonable way, and did not cause excessive DD. I am currently entertaining a max of 3 layers per instrument. So far using the following approach: 2 layers are initially started...

In early times, the rollover procedure was imagined to simply roll over a layer to another one where the next contract was being traded. In time, as we developed the "layer overlay", it become readily apparent that in case of multiple layers it is more convenient to transfer the trading...

Approaching the end of the week, with the last 2 days dominated by a strong upmove of SI, which, as we expected, is making feel strongly its presence in the folio. Current situation is a positive balance with ES. CL is being hedged quite well. While SI has short players waiting for some...

That's what I was talking about when I said SI can be a "wild beast". I just captured 3 frames of rapid action on it. The pictures represent players on the same layer. See how a very quick upmove has triggered 2 long players, immediately shut down at the first sign of "decline" to lock in the...

I have added now 2 layers of ZL DEC 15: ZL FUT 201512 ECBOT 60000 Soybean Oil Futures [ ZL DEC 15 ] and cleaned up a bit the situation, so our folio begins to take a shape. We have active: CLV5, ESZ5, SIZ5 and ZL. Currently just "watching": 6SZ5 (CHF.USD)...

Ok I have now activated 2 layers of SIZ5: SI FUT 201512 NYMEX 5000 NYMEX Silver Index [ SIZ5 ] with the usual long/short-position constraints: SI can often be a pretty wild ride, so it's not a bad idea to be careful and keep an eye on it. I have...

One of the many pros of automation is the fact that you have one (or more) obedient servants working even when you are asleep. This morning I found out that one of the players on the second layer of ES had been closed, with the "last event" window reporting: Wed 16 Sep 2015 04:27:00:246 [ Tue...

No further orders at this time, as both ES and CL are fluctuating in a "relatively small" range: In our (historic) charts (eg., top picture) the horizontal green lines always represent a 1% move, and this gives an immediate idea of the relative moves. Our current game is not very high...

Nothing happening today either. Just "small" (relative to game rules) price fluctuations: the application did not place any new player, nor closed any one, under the current rules, and we remained hedged where we were yesterday. We end the week this way: margin usage currently pretty low...

Not much activity today. It stayed hedged most of the time: Let's see if something happens tomorrow...