The answer to your question is most likely on this page:
Hi sorry if I am butting in again, :), but interesting discussion. Reading between the lines, it seems you are saying one sensible approach is to...
Ok, thank you!
Sorry to butt in but, to be clear, GAT, are you saying there are multiple flavours of carry in your system (perhaps different smooths?) or do you...
Just to add my two cents: I believe the vix rolls are quite variable. You can try to match them by checking out the carry file which has the...
Hi GAT, minor thing. Just doing a comparison between your legacy stitched prices and mine and everything looks to be fairly consistent. However I...
Thanks and congrats on your latest performance!
Hi GAT, I am trying to work through and make sure my backtesting logic is sound. I note the industry practice, and your preference, is to use the...
Thank you
Hi GAT, quick question: I assume on your backtests you didn't worry about any timing mismatches between historic daily data on currency settlement...
Ahh, I see. Thanks.
Following this interesting discussion. Insufficient margin is the stuff that would keep me up at night. One thing that I didn’t quite follow is...
You mean you would touch it with a bargepole? Please have mine :)
@djames thanks for sharing. And of course thanks as always to GAT for sharing as well.
Thanks for the tip, I shall definitely check it out. Question: How much effort was it on your part to get up to speed with it? I generally find...
That’s very helpful, thanks GAT. I know you have been fairly consistent in your message to avoid the front end of GE, so this just further adds to...
Yup. Got it, thanks.
Yes I read that report too, and imho it did read as having been written by some wide-eyed reporter stuck right up someone's 'PR machine' to put it...
Thanks GAT, I am assuming calendar spreads for carry calcs are no less tradeable based off settlement prices rather than closing prices....
Hi GAT, I'll be following with some interest the performance of your evolved of your portfolio, I guess it makes sense as it is a little bit more...
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