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Here's my forecast weights (before adjustments for different costs). Everything with a * is relative value. avg_weights = dict( assettrend2= 0.015, assettrend4= 0.015, assettrend16= 0.03, assettrend32= 0.03, assettrend64= 0.03, assettrend8= 0.03, relmomentum10=...

Here's last nights risk report. It reflects the rise in risk but obviously not any trading the system has done as a results ======================================== Risk per strategy, annualised percentage ======================================== risk dynamic_TF_carry 33.4...

Final score was -2.1% I had unusually large price movements flagged across the energy complex and vstoxx GAT

Ouch. You have my sympathy GAT

daily loss is ~1.8% D/D is ~6.2%. Could be worse... GAT

By 'manager' do you mean authorised participant or the fund company or a hedge fund manager that trades ETFs? GAT

Not at all. I've seen people talk about swing trading for years and always wondered what it was. So I was hoping I'd find out here. Sadly I am none the wiser. But I agree this is a pointless exercise so I'm stopping.... GAT

So a market swing is a period of returns with frequency f r0.... rt for which sign(rN)<>sign(rN+1) for at least one N Of course that is totally meaningless... since unless t is very small or f is very big, all charts will be swing charts. GAT

.... and how do you know it's not a swing? GAT

Says who? Most professional traders have holding periods longer than a month! GAT

That's even more confusing: "What is a Swing? A swing can either refer to a type of trading strategy or a fluctuation in the value of an asset, liability, or account." OK so any time the price fluctuates that's a swing? "This term commonly refers to a situation in which the price of an asset...

OK, so WTF is a 'market swing'? GAT

So it's any trading with holding periods longer than day trading up to a couple of months. That's pretty broad! I would say it's a broad enough term to be completely meaningless - it tells us nothing about the style of trading (value, momentum, carry, RV, ...). Also, why 'swing'? GAT

In all seriousness, can someone give me a definition of swing trading? What is about it that's 'swingy'?

Python GAT

I trade ~120 futures markets. But I never look at them (automated) GAT

I've no idea what 'swing' trading actually is, but my average holding period is several weeks GAT

I have no need for this data, but I feel the fact you've done this as a bash script deserves some recognition. GAT

https://ibb.co/kKH8w8x

Well I do periodically check my bid/ask are good; but then once I have a value for cost per trade I adjust it historically according to price volatility in the past. Yes that's the shrinkage function. I'd definitely advise a sanity check for positive variance, unless it's going to be very...