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Weekend: a good time to make some general reflections about what we have been learning or deducing so far from the various experiences and tests. Feel free to jump in, adding your contributions and experiences... :) Margin method: "RegT" vs "Portfolio margin" Let's start from the account...

Splitting details On the development side, it may be interesting to take a quick tour on some details of the player "splitting" process, to gain some more familiarity with the idea. These are usually details which I work out almost automatically, at the same time that I type in the code...

Ending the week with large DD. We are now at -53% all concentrated on ERX and CL. Several layers (precisely 98) were closed in profit and removed from view in the meantime, for a total of + 184K, but they could not do much against the irresistible rally of the oil :) They are in particular ...

The picture below shows our "plan" about ERX. We have, on top, the big losing layer which had to accumulate a huge short position in the effort to free funds to allow ERY to close. Below we have a new layer where we have placed an (approximately) equal position, to "stop" the bleeding. On both...

I have been working on the application to reflect the latest conceptual developments and to perfect the management of the players. Now it's possible to have a complete control on the players, switching back and forth between alternate "logic" representations. This is a powerful enhancement will...

Not much progress on the test side: we have still a significant DD (or "investment" :) ). Most damage has been made by ERX, which was needed to free some funds and allow ERY to close the huge position. But with a “short blanket” effect :), we ended up with an even worse situation with ERX, and...

Today CL retraced a bit, after the recent rally, and so did ERX. This time, having "discharged" ERY, we have been able to ride a bit the move with the short players: we are not going to do the same mistake 2 times :) Instead of letting ERX overload the short position, as the s/h game would tend...

I have been "splitting" all the big players on all layers, and actually the overall behavior seems significantly improved. Having to deal with small and well spaced players makes the whole action much more fluid and allows a detailed control. We are paying in terms of bad DD for the...

Choice of parameters (size, distance) Clearly, the size and the spacing of these "split players" has to be chosen in such a way that they will occupy a meaningful portion of the price range (for instance you would not let them to arrive at a "too small" price, or the may remain there forever :)...

It looks like that the large position on the ERY and the money locked in the CL PUT 54 are in practice making arduous to recover, with the available funds. In fact, even the favorable moves end up generating further losses because the lack of funds do not allow to close the position created for...

Good morning. We got in deeper troubles yesterday, with ERX and ERY shooting again intraday further down/up. It was difficult to hedge the huge ERY position from an already stressed situation of fund shortage. To make things even worse, we had a lump of money (200K) "locked" in the CL PUT 54...

Very tough day, today, with energy stocks hitting very hard. ERY spiked to the roof, and almost wiped out in minutes all we had on the manual ERY layer: PNL went from 94K to 16K pretty quickly: I worked to hedge on a ERX layer with semiautomatic scalping in the 60' min window. While the...

Not much happening on our side (mainly oil and energy) yesterday and today. Just fluctuations: good for some scalping :) . I have not done much intervention, apart playing a bit on the ERX layers opening some extra players, and let them close automatically on some PNL decline (for instance a 50%...

End of the week. Not much happening today on the instruments we are trading (we don't have miners or metals at the moment in the folio). We have recovered most of the DD and in good shape and full control for next week. We have essentially most of our investment on CL and ERY, and we are...

I have mentioned that the tickdata "microstructure" is actually a fundamental aspect in our non-predictive approach because most the profits are due to the various (possibly nested) horizontal components of the "price curve". Compare for instance this CL option: We can see here definitely...

Today started slow and we got some volatility around 11:00 (check http://www.investing.com/webmaster-tools/economic-calendar to see what happened at that time). I have been following closely the situation, also hedging a bit the large ERY position with ERX and CL when needed. DGAZ has made the...

In my experience talking with many fund managers, I have noted that a common issue many of them have is right where the bot has instead its greater strength, that is dealing with the "horizontal components" of the price move, where the human is for various reasons, many of which of psychological...

Here is a "flashcard" summarizing some of the considerations we have been making so far. Just an intuitive sketch, we will articulate it more in the following: - "Horizontal" components (possibly "nested") of price movement Non-predictive scalping/hedging, through player superposition...

CL and ERY are moving a bit today and we have returned to -9%: NetLiquidation 908,918.81 USD [Min: 712,498.60, Max: 1,048,240.20] Δ NetLiquidation -91,081.19 USD -9.11% I have prepared, with the order enqueuer (essentially an "order...

As a practical example of this more dynamic approach to options, let's consider the CL PUT 48 just shown in the previous post (see screenshot in the previous post ). What appears to be useful is to close when possible the options which go in the money and move (or reopen) the defensive position...