@TopTradersLive podcast on Thursday, questions to info@toptradersunplugged.com by tonight, and don't forget your name or plausible pseudonym or...
I'm very skeptical about those SR varying by that much as you slow down, and I'd be surprised if you had enough data to support those figures. I'd...
I'm confused, what's the median pre-cost and after costs SR PER INSTRUMENT, not in total Rob
Mmm Hold my beer GAT
PLEASE don't listen to people who are saying 5,10,20 or even 50%. They have no idea what they are talking about. I once inherited a strategy which...
Not to be that guy selling books but this sort of detail is covered more in Systematic Trading or you can wade through the blog. Rob
Yes and multiply the FDM Rob
IDM is based on the correlation matrix of substrategy returns and instrument weights so not sure why you are talking about forecast weights. When...
If you don't want to affect the market, then the correct order size is *zero*. If you don't want to SIGNIFICANTLY affect the market, then less...
Yes my preference would be to to hold only December, but last time I checked mini CORN Dec wasn't liquid enough far enough forward to make that...
Up to you, and I don't trade Corn like this, but personally I'd do "Use the value of the last correct carry forecast (on 4th June) from that day...
Yes
https://github.com/robcarver17/pysystemtrade/blob/develop/data/futures/csvconfig/rollconfig.csv shows how I roll, and thus compute carry....
I just added ethanol and the DJ 200 european index to my stale instruments as it looks like they're no longer listed. Rob
Thanks guys, fixed on PST for those who partake. Rob
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