I use CSI for stocks and ETFs and yes you can get adjusted prices for splits, dividends, and other corporate actions. The only issue is that you...
Thank you for taking the time to explain this thoroughly Rob. Yes, I get where you are going now. Yes this key! Correlations and Vol are based...
I'm getting confused about handcrafting. In PST, the full_handcrafting.py script can be used standalone to derive instrument weights as well as...
This is great stuff Dan. I think I understand your system a lot better. Rob uses an "exogenous risk overlay" (see the chapter "Tactics" (one of...
Yes, we first dialogued in RT recently! Thanks for the detailed response regarding your system. Very helpful in understanding the implementation...
Hi Dan, Congrats on getting your strategy up and running! I am envious. I'm curious about a few things about your discrete trend following...
As I mentioned previosuly, I assume we are holding the Sept 23 contract at the time Rob's data ends which is 8/31/23. Not now! - yes i get...
I meant we are holding the Sept 23 contract on the date his data ends - 8/31/23, not now - sorry for any confusion
I read somewhere that Rob's data is 6 hours ahead of barchart data reporting. He runs a script to standardize the time to UTC. Now that I have...
I'm just getting started after all my reading of the books, blog, github, and this thread. I'll have to begin with a manual process because the...
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