I don't trade etfs in this account Rob
Discussed before on this thread. There is a tiny amount of tax efficiency in seperating my income from dividends and interest, but mostly it's a...
Yeah it's probably because I have these 'cash' like ETF's instead of having all my money in actual cash; my futures margin usage is only 32% which...
I think about it differently. Prior to 2014* I had to create backadjusted prices with some assumption about how I would have rolled had I been...
Not sure you're being obnoxious but you clearly haven't understood what I was trying to say. "December 2024 has a volume of 7800 and December...
The code should only briefly go into the roll adjusted state, so that it can actually process the roll (moving the current priced contract forward...
Use default parameters? [no to change]y AUTO ROLL RULES: Irrespective of the following, we will automatically roll if a contract has expired and...
No you are right, I do have costs as negative returns by convention elsewhere, but the SR costs are positive. I don't use SR costs any more hence...
What do you mean by 'printing'??? If you want to know what returns I had, I was uncorrelated: Jan 2020 me +9.7% S&P 0% Feb 2020 0.2%...
SR measured across entire asset class Rob
Shrug my shoulders, noting that if all my trades were delayed for 2 weeks in my backtest it would lead to a loss of 3bp a year in SR, or basically...
You didn't do 50% though did you. You did 13/15 years as optimisation. Then in two years out of sample you got lucky or perhaps there was implicit...
No... you're wrong. And you're right - not in a million years should you be allowed near an algo. Curve fitting makes performance better in the...
Yes I use previous market data. But there are ways to avoid producing a long bias in your strategies as a result. The fact my Beta is zero...
No, that isn't what you do. That's called overfitting. Proper algo traders don't do that. GAT
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