traider's Recent Activity

  1. traider replied to the thread Fully automated futures trading.

    No problem, the pleasure is mine. Thanks for providing such a great framework so that I can focus more on understanding than coding....

    May 21, 2018 at 1:10 PM
  2. traider replied to the thread Fully automated futures trading.

    I traced the method, it seems that raw_carry isn't called by the carry rule in futuresconfig.yaml due to the way it is defined carry2...

    May 21, 2018 at 5:32 AM
  3. traider replied to the thread Fully automated futures trading.

    Hi The carry2 signal in the system doesn't seem to have been scaled by the stdev def carry2(raw_carry, smooth_days=90):...

    May 20, 2018 at 7:40 PM
  4. traider attached a file to the thread Fully automated futures trading.

    System position is calculated from formula in book, instrument weight being one of the variables. LxMxN It's primarily because of...

    vol scalar.PNG volatility.PNG instr_weights.PNG May 18, 2018 at 2:08 PM
  5. traider attached a file to the thread Fully automated futures trading.

    I checked intermediate stages for JPY and realised a couple of things: There isn't carry data at the beginning so forecast weight is...

    weights.PNG May 18, 2018 at 6:18 AM
  6. traider attached a file to the thread Fully automated futures trading.

    Hi, does anyone know why actual positions are really wild at the beginning of historical period? (See JPY below) I wouldn't want to...

    corn.PNG wild jpy.png May 17, 2018 at 6:12 PM