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Here are some draft notes on the use of cointegrations and volatility to the purpose of balancing a folio exposure. I have also posted this also on a Linkedin <a href="http://www.linkedin.com/groups?gid=4394344&trk=hb_side_g" target="blank">group</a> for more feedback. Feel free to post...

This means that to make good use of the small capital i have in this account, <b>i need to increase the number of instruments </b>and probably the frequency. I have also raised the <b>cointegration threshold to 0.5</b>, to allow more exposure. The following picture gives an overall view of...

Ok let's see what we have here. The <b>cointegration rules</b> blocks a lot of trades (those which would increase "unilateral exposure"). As a result even juggling 42 ETFs and 2 futures (the small VM) my margin usage has been around just 1K (using the default "Bounds3" game). Now it is...

In fact, if one has an approach where a "win/loss ratio" makes sense (at trade level), he surely has a wrong approach and is losing $$$ ;-)

Ah yes ? Why is this so ? How does it work ? For retail traders this would seem something positive: if we had to trade multiple of 100 for all instruments, we would probably be soon in troubles (unless serious cap is used) ...

That's just a screenshot of my app. (I make it freely available to interested people and can be requested from <a href="http://www.datatime.eu/public/gbot/#copyrequest" target='blank'>here</a>) . The cointegration index varies within -1 and 1 and by googling "scx cointegration index", you will...

Hi John , thanks for asking that, it was also partly explained in the previous posts (see formulas above). <b>Volatility</b> is always take into account for both mechanisms: - <b>Packet size auto-calibration</b> (this uses price, multiplier and volatility to allocate evenly risk across...

Finally i selected 42 instruments, allocating just 1.5% each, that is 0.5% per trade. VM is traded separately in another instance. The application computes now automatically the packet sizes and recalibrates all automatically, while price and volatility change (this was an idea of a smart...

ok, finally restarting the test with the new features. I have started 45 ETFs on one instance and VM (alone) on another one: <img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3534119" width="1000" /> The folio balancer, with 1.5% of a reference capital of 50K and max 6...

Today was busy. Talking to many friends trader and getting some new idea. Thanks to James (canada) who suggested to make a step further and automatize also the "packet size recalibration" to execute periodically. So i just added this new feature ;-) Also discussing with Jens and Evgenios...

I am getting ready for the new real $$$ test, this time with <b>"balanced" sizing</b>. Since yesterday i have put under observation a folio of 50 ETFs to collect data on realtime volatility and cointegrations. Today when mkt open i will make a further screening to form a folio of about 40...

Hi Occam, yes i think you are right: i believe they are using some sort of internal "reservoir", as am able to short without problems even instruments which are not "shortable". In practice i have seen no problems so far, as i only use LMT orders, so there is no room for "slippage". All...

I have finally finished the new feature to "calibrate" the the folio in order to <b>balance the exposition</b> according to <b>value and volatility</b>. The picture below show the current interface. <img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3531168" /> It's...

<b>>I'm glad I could help, maybe next month you can shave off $300 in comms. ;)</b> For sure. This was a <b>real great</b> piece of info! ;-)) <b>>Why not just use manual CT bounds always in that case? </b> The "auto bounds" are a game feature. In case they can be disabled. I...

Hi braincell, thanks a lot for the insight! I switched to the new COST PLUS plan and seems that commissions went to $1 to $0.64 ! Is the plan convenient with futures and fx too (i have not tried yet) ? I plan to restart a new clean test next week, taking into account the new plan and...

Yes braincell, if they change the price and position they will put the bot out of sync as to position, and also create a price gap, and it would not be nice. Probably, as you suggest, the simplest thing is just to close them before friday and restart these instruments on monday. I hope...

Looks like i am receiving several "corporate actions" which sound like this: " NOTIFICATION OF UPCOMING CORPORATE ACTIONS The following company(s) have announced an upcoming corporate action. It appears that your account contains one or more positions, including derivative positions...

Yep Len i read it. The question was meant to sound rhetorical, as something that would be nice and expected by the user ;-) I just selected the "cost plus": " Struttura Prezzi The following pricing structure has been submitted: Azioni (ETFs) Cost Plus () Futures Tariffa...

Ah, there is this "Quote Booster". Thanks for the info Len! [ Looks like everytime i leave the cave i learn something valuable ;-)) ] Well actually one would expect that the ticker number increase in the real account would be reflected accurately in the paper account too. Isn't that so ?

You got it braincell! By using ctlr alt (^/ì) and selecting EN language, it works! When the mkt closes i will try it on the TWS (now i am using the Gateway to trade with the bot) and will let you know what number it says. For the feed i am not dissatisfied at the moment, even though i...