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Conservative is good! To be clear then, each instrument is targeting 25% *1.1 vol = 27.5%, but because of correlation you will undershoot that. Yes, the many single positions are because I'm using the new dynamic optimisation method with over 100 instruments; of which I've actually got...

There's a daily updated report here. Current value is actually 629%. A lot of that comes from Eurodollar (about a third). If I took away short term bonds and rates I'd be a lot less. What's your annualised risk target? GAT

Yes. In fact right now it's 500% of my capital. I'd make three points: Firstly, it is very presumptuous to test one instrument (ZB which is the 30 year US bond) and write off an entire asset class. Secondly I'm extremely surprised by your results. Although the results from trend following...

Dynamic optimisation is now live I've also set up a system for publishing my reports: https://github.com/robcarver17/reports Suggestions for stuff that go in there are welcome. GAT

I had a very bad experience with multi period optimisation.... so you can count me out of that discussion thanks very much. GAT

I haven't used it but a quick google suggests there might be a solution; https://www.cvxpy.org/ https://www.cvxpy.org/examples/basic/mixed_integer_quadratic_program.html GAT

Unfortunately we were supposed to talk about both this and my new dynamic optimisation method, but we ran out of time. This simple position limit only really makes sense if you're also using dynamic optimisation. With that, once you're 'full' in a low vol contract you will still be able to get...

I discuss this in great length in my third book, "Leveraged Trading". Briefly it depends on what you are trading; with futures you certainly couldn't trade with $20K. There's also this series of posts on the subject: Diversification and small account size Optimising my way out of a small fund...

No they're not abstract weight units, they are notional value as a % of capital. This is explained in the initial post which explored dynamic optimisation. GAT

Through the covariance matrix GAT

No! Covariance is both correlation AND standard deviation! We absolutely need to use the standard You're unlikely to have problems with the outer loop size, unless you have 100 instruments and 100 million bucks (in which case, why bother with dynamic optimisation?), having less capital usually...

Thinking about this, I could just do this all on github. The issue I have with that is I don't seem to able to store my git credentials for auto pushing (tried the methods here with no success). Update: Actually just got it work using this solution. So I can just set up a new repo called...

Is it free though? Can I get something like a single 1MB web page up all the time at no cost? GAT

Actually we dont' calculate the variance of all three portfolios, we just measure the variance of the 'gap portfolio'. A simple example if the optimal was in two instruments (-0.5, 1.5) and the rounded portfolio we were checking was (-1.0, 1.0) then the gap portfolio would be (-0.5, -0.5) and...

Actually all credit to Doug here, I really had given up... Broadly yes. Actually I'm still toying with the idea of whether I need the risk overlay logic, for a couple of reasons: changing to a measure of volatility that uses both historic and current introducing an absolute position size...

Oh no it was supposed to be an interview! I just had that slide ready to illustrate a particular point. I was never planning to use more than one slide. GAT

Yeah it ended when I asked them to stop sharing my screen. They probably pressed the wrong button :-) GAT

Had a bit of a wobble last week as well. Recovered a bit, at pixel time drawdown is ~7.5%. Finally cracked small account dynamic optimisation, so now working on implementing that, before resuming the book writing. I'm on TTU tommorrow morning, questions can go here or email Neils directly...

I agree but there are some really nice small form factor cases. Won't get you high end water cooled type desktop performance but will compete with a high end laptop and significantly cheaper. GAT

Why use a laptop then? Desktops have better performance/ price ratios GAT