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actually yes, last couple of days my Gateway crashed in the middle of the night. I'm using version 10.19.2m, maybe I'll try to update it..

Similar for me, not as bad as DBMF\TFPN and not as good as yours:), I lost a tiny bit more in the last couple of days, but it seems to be stabilizing.. Fun fact, my system just closed the last MES position.. Also interestingly, my Paper system, which runs on a much larger capital (paper money is...

Yeah, hit a 'local HWM' around Jul 11, then lost about 8% over a couple of weeks, still up for the year. The system was quite correlated with the stock market lately..

I see.. When I run this rule alone on daily prices in my full main system (with instrument weights, DO, capital correction, etc.) It does come out positive for me with sharpe around 0.3, but when I add it into the mix with all the other rules I currently trade with 12% allocation, there's almost...

Yes, that's actually the main\only thing that made it profitable at all. At least when I tried it on tick data, without the buffering, when the system entered on even the smallest deviations, it was a money-looser, like others mentioned before. And the turnover can be slowed down very...

Did you add the buffering (i.e. only trade if the forecast changed substantially, e.g. by 10+, to require a substantial deviation from the equilibrium to enter)? My turnover was quite low especially if I increase the buffer size to enter only the highest deviations.

It's exactly the strategy 27 'Safer fast mean reversion' from the Rob's last book (I implemented it from the excel file, just make sure to correct the error in it, the columns '16 ma' and '64 ma' on the daily data tab point to wrong MA columns, they should point to 'Z' and 'AC' with the...

I tried another thing with this: I ran this rule on DAILY prices on a larger portfolio (40+ instruments) and a longer history (the oldest instrument starts from 1989, the same data I use to run my main system's backtest)., with the same conditions: each instrument gets 300k capital...

yeah, I agree, I wouldn't fully trust that it has a positive expectation based on only 4 years of data and 9 instruments (not even mentioning my potentially bad data quality), even among them there's no clear pattern and some of them are consistently loosing money. And with such a large...

So I finally tried backtesting of the short term mean reversion strategy (strategy 27) in my system using my own 1-minute bid-ask data I collected in the last ~4-6 years. But I used buffering of 4, 6 and 14 forecast-units (with the usual cap of 20, so only 1 step each way initially) to change...

I checked my PROD OJ settings, IsCarryCtrNearer is true, so I guess I set it up based on the recent volume patterns..

I personally wouldn't pay any extra money for additional data-sources (even extra 10$ per month will become a lot of money over the lifetime), the IB's data is of mediocre quality but it's cheap and I think sufficient for this type of trading. Getting additional 150 futures might be beneficial...

I trade during the trading hours as specified in the "Instrument Details" window (or whatever the name is, "Description" maybe?) for each particular instrument in TWS. But only if the bid-ask spread is not very big, I manually predefine max Bid-Ask spread for each instrument.. Rob had a post...

This probably was a messy explanation, but it is indeed a messy logic :) so here's an example of my prepopulated periods or cycles for one product: As you can see, the the periods overlap a little, and the SoftRollStartTS of the previous period matches with the StartTradingTS of the next...

I do something similar in spirit to what Rob described (and his very early posts on rolls)., I have 3 roll states NoRoll, SoftRoll, HardRoll, Error (well, technically 4, but the last one should never happen :) ) - NoRoll is when we're just normally trading in the middle of a cycle, - SoftRoll is...

Sounds reasonable I guess (btw I think it's a given that costs should be calculated to trade from the current to the proposed portfolio, not from zero to proposed, that's how I coded it anyway, unless I'm missing something).. But what about the total number of trades and overall costs, did they...

Here's my Cocoa: Price with 2 trades, in and out: PnL over this period: forecasts (red line is combined) and volatility, yes, it's been increasing lately: So I did miss most of the latest trend completely, and only made some money in the beginning :( Of course, without DO I most likely...

You do eventually receive all the prices after 15 minutes, so I guess if you want to analyze your slippage from the historical data you can still do that by shifting everything 15 minutes back.. But for me for example I don't know if it makes sense, because I evaluate my forecasts in real time...

Snap Mid allows you to place a mid-price order without knowing the current bid and ask (when you don't pay for the real-time data and only know 15-minute delayed prices). When I place these orders I never adjust them after, and allow them to fill or automatically cancel once GoodTillDate (which...

I'm not bothering with simultaneous leg-execution, the only thing I enforce when rolling is that I first close the old leg before placing order on the next one to not allow my exposure to increase (if it temporary decreases no big deal). Another potential argument for separate accounts might be...