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Ending the week in a much better shape than the previous ones. We have been making essentially a 70% in the last 5 weeks, which, considering the deep "ditch" we dug previously :), it's quite a result. We will see if I can continue this way in the next week: it looks like I am developing anyway a...

CL did not disappoint expectations, retracing to a lower price. Today I have been "hammering" it with some "extra" semiautomated scalping since I returned from my job duties. I have closed a few more CL layers, including the one opened yesterday (8.3K profit, as I let it run a bit more). Also a...

As I was expecting, CL spiked up today, mirrored by EUR.USD. ERY also reached around 20. Now I don't really expect it to continue in the immediate future, but on contrary I am rather expecting some retracement, before restarting the upmove, so it's probably good not to spare short players...

It looks like I should switch to "predictive" trading, as lately all my "expectations" have been coming true :) CL has gone done just the amount I was expecting, and now we will see if also the second part of the expected behavior will come true. As anticipated, I tried to load up ERX but, as...

You need to define "best model". Then there are various questions that you can ask: given a finite realization from a GBM is it possible that a real instrument could have a "similar" (to be defined precisely) realization? The answer is yes. Or if you have a real price trajectory, could I find...

We are ending the week in a much better shape. We have recovered from the ditch of a DD which peaked to almost -60% to a more acceptable -27% (currently) in just max about 4 weeks, and practically with CL (and its options) alone. So essentially a 55% in 1 month, which is not too bad. Actually...

A little better today, with some improvement in the DD. Practically all the funds are now mostly used to trade CL and its options, and actually with nice results. There is some money on ERY and very little on ERX. As we have noticed these ETFs and quite problematic and, for several reasons we...

Thu 05 Feb 2015 11:00:38 CL FUT 201512 NYMEX 1000_L2 PNL: 653.01, comms: 66.99, fills: 17, Pos: 0 Thu 05 Feb 2015 11:28:22 CL FOP 201506 55 C NYMEX 1000 PNL: 0.76, comms: 9.24, fills: 4, Pos: 0 Thu 05 Feb 2015 11:28:25 CL FOP 201506 57 C NYMEX 1000...

Here is, in particular, the list of "removed "(from view) layers: ======================================= Removed layers (144) ======================================= -- Summmary: -- Positive PNL -- Thu 05 Feb 2015 03:41:56 CL FOP 201502 51 C NYMEX 1000 PNL: 700.76, comms...

We are now perfectly realigned with the IB account and well prepared for the next battles :) As a brief summary of where we are, we have been suffering a significant DD, caused by a too large position initially taken on ERY options (initial "mistake"). Later we have recovered almost completely...

As promised I am also restructuring and reinforcing the session file "backup" logic, so hopefully we won't need to make these kind of reconstructions ever again. I will explain here with some detail the changes I am doing, also giving the general logic in form of simplified code (I like to use...

Clearly, when we do a data "reconstruction" like this, we also need to check the instruments which do not "appear" to be "out of sync" based on the position only. In fact, we could anyway had, in the given period, a series of orders with signed total =0, and therefore, while position is not...

Sorry for some days of silence :) I have been occupied with various problems including a couple days with a nasty flu (a gift from my little son :)) and, icing on the cake, internet outage, and corruption of session file and backup. Only yesterday (friday) I could finally resume trading. I will...

Oil did not move much so far and we are still in significant DD (-47%), but incessantly scalping away the due daily profit :) The "removed" profitable layers amount now to (result of 81 days) about 220K : *** PNLs in removed layers *** Count: 134 Sum: 219,147.78 Avg: 1635.43...

... other removed layers: ERY OPT 20150417 25 P SMART 100 PNL: 1,930.15, comms: 69.85, fills: 2, Pos: 0 ERY OPT 20150116 21 C SMART 100 PNL: 13,529.79, comms: 160.21, fills: 9, Pos: 0 ERY OPT 20150116 24 C SMART 100 PNL: 5,293.60, comms: 56.40, fills: 5, Pos: 0 ERY...

Oil (CL) moved a bit overnight, thus recovering some DD. ERX will probably open with a gap down today. I have moved practically all the funds on CL, since working with ERX there would not be enough funds for a recovery, and we would be experiencing the "short blanket" effect again :) (we still...

Yesterday was expiration day for the CL options. So I dropped a few puts at a far away strikes just to "steal away" a few thousands $$$ without risk (also because we have a substantial short position on the underlying). They have obviously expired OTM. As usual, we add a "virtual fill" at price...

Let's see now why and how this kind of "splitting" can be useful in general to "reorganize" the general logic of players. Note that normally, when things are going smooth :), you do not need usually much "reorganization": the opportunity arises, rather, when there is too much intervention of...

It's time to finally complete the management of the players at "logical" level, so that we have a complete set of tools which allows us to change the "logic representation" of a given set of entries waiting to be closed. It is important to realize that a given set of "physical" orders can have...

... How do we focus on the horizontal components and at the same time watch for decay/contango and other drifts Here is where the architecture based on "player superposition" and "layer overlay" becomes essential. The "player superposition" allows to scalp effectively the horizontal component...