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Welcome to the party This blog post is exactly what you need https://qoppac.blogspot.co.uk/2016/03/diversification-and-small-account-size.html GAT

Actually it's the median, but yes. Exactly GAT

Tweeting is a nice idea but I personally prefer using email, which you get 'out of the box' on a linux system. More on what checks you can do in my blog here. GAT

Yes. Lots. GAT

Anyone who runs an automated system without the ability to shut it down quickly is extremely irresponsible. S*** happens basically. These guys weren't over leveraged: https://www.bloomberg.com/news/articles/2012-08-02/knight-shows-how-to-lose-440-million-in-30-minutes GAT

My trading server is local so I can always pull the plug*, but if you're on some cloud machine you may not have this option... GAT * it's under my desk and I have sometimes kicked it out accidentally, or one of my kids has decided their laptop needs plugging in instead....

I have scripts that I can run to pause all trading (which wouldn't liquidate), another to close everything etc. That assumes the IB API and my execution code are still working. Next fail safe: If you are using the IB gateway and you can open a 'web trader' or TWS session then your IB gateway...

Strange. Doesn't happen for me with chrome on my Samsung android phone. The site is hosted by google, so hopefully they are aware of the problem and can fix it. GAT

No expert, but this is the way I see it. The following should be obvious: Negative correlation is GREAT if you're running a long only strategy, especially if leveraged eg risk parity (Because... diversification.) Positive correlation is GREAT if you're running a spread or cointegration...

Correct. Could do it on a rolling basis of course GAT

Of some relevance to discussions about performance expectations, todays blog post https://qoppac.blogspot.co.uk/2018/02/cta-allocations-qe-meta-prediction-and.html GAT

1) In theory yes, but you'd need to write your own code to do it. Adding it to the package is on my (long) to do list 2) No, they are used even if you don't optimise 3) No. system.portfolio.get_actual_position() GAT

Well carry for a start GAT

In futures momentum seems to stop working for holding periods of less than a couple of weeks. GAT

I'm currently working on code for all this stuff, hopefully will commit soon. GAT

The roll would mean you would consistently lose money GAT

No, a bad use of time IMHO. I'd be surprised if you could get significantly better out of sample performance from the ragtag bunch of simple trend rules I use myself (I've seen people try, and fail, at this). You're better off diversifying your system to different instruments and different...

Vol Damm autocorrect GAT

Yes a geeky point here is that because this thing will always blow up the expected final wealth is always zero and Kelly optimal bet size is also zero (would be different in a portfolio of course) GAT

A good reason to trade further out on the curve for the cold futures and eurodollar is that the changes in vol are much smaller GAT