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So you would diversify into investing right after minimun capital is met, whatever that is? I was wondering how much capital DO would need to function well enough.

Let's assume risk tolerant person would like to allocate 75% to futures trading and the rest to systematic ETF investments. Let's also assume small capital. Obviously allocating 25% from futures into diversified investments translates to lower risk and thus lower expected return. However...

About benchmarking: In addition to AHL Alpha, which others from the big boys funds would you consider relevant benchmarks, i.e. CTA's doing diversified strategies (not just pure trend)?

Has anyone experienced stack_handler crashing because of asyncio.exceptions.TimeoutError, and how to fix it? Client connects to IB Gateway, which pulls data from IB, but session ends in timeout. I wonder what's going on, yesterday evening everything was fine. Wrote longer description in github...

Rob, I'm going to try my luck and ask about investing in a trading discussion.. I just finished Antti Ilmanen's latest book and naturally have read Smart Portfolios and related blogs posts. Consider brave investor starting from scratch with long-only ETF's (no shorting, no leverage, no advanced...

Rob, have you written about high level asset allocation or come across other sources worth recommending? I did search the blog but didn't find your thoughts specifically on this topic. So the question is how should one approach allocation at highest level if investing activities are first...

I'm curios what would be the expected performance of a DO system with 500k capital, those 40 rules and 250 instruments with as much data history as possible. And how it compares AFTS ch25 statistics with 100 instruments.

Rob, would it be possible to share backtest statistics of your current DO system? The last one I found in the blog was Dec 2021. Would be interesting to see with all the instruments you now have data for.

Just wanted to say BIG thanks to Rob, and all others involved, for the work you have done for all of us. My year 2024 started with significant leap forward in the world of quantitative investing as I'm finally running pst fully automated in production. I started ten years ago with stocks and...

...and it works! Thanks again, much appreciated!

So the problem is that optimisation runs are being interrupted by the following exception: File ~/pysystemtrade/AFTS/chapter25.py:223, in evaluate_tracking_error_for_weights(weights, other_weights, covariance) 220 track_error_var = solution_gap.dot(covariance).dot(solution_gap) 222 if...

Hi Rob, I'm still experimenting with AFTS chapter 25 dynamic optimisation scripts and a question about negative covariance. Along with more instruments and carry & ewmac rule variations I'm getting more and more negative covariance errors, especially on capital levels over 100k. Am I doing...

Thanks again! I was trying with rawdata. I've read the docs, but have to read and experiment much more until everything falls into place.

Sorry for being ambiguos, I meant the AFTS standalone scripts are being run on the same box as pysystemtrade. So I have data in pysystemtrade db and couldn't yet figure out how to access that data from AFTS scripts, without csv's.

Thanks, it works now! Sorry to bother with dumb questions, but I did try..

chapter25.py with following changes, default instruments replaced with EU-OIL #) = get_data_dict_with_carry(["sp500", "eurostx", "us10", "us2"]) ) = get_data_dict_with_carry(["EU-OIL"]) #asset_class_groupings = dict(bonds=["us2", "us10"], stocks=["sp500", "eurostx"])...

Hi all, I'm experimenting with AFTS chapter 25 dynamic optimisation. Scripts are standalone but data for csv's is from pysystemtrade (which is still work in progress). A couple of (beginner) questions: Data If the scripts are run on pysystemtrade server, how do I pull data from db instead of...

Hi guys, I'm setting up a new system and have trouble in creating multiple prices. Can't get prices for USIRS5ERIS as it is removed but then creating multiple prices fails on this instruments. What is the proper way to remove USIRS5ERIS?

I'm afraid I didn't know.. I'd be more than happy with just IB. Could you point to right direction with a link to documentation etc?

For trading I would, but for updating rollcalendars and backtesting more data than a year from IB is needed.