No I did not implement that. Did that change make things much better for you?
Did a little bit more digging: In my universe only equity futures have significant negative autocorrelation. Most of them on lag1. The mean...
I did a quick and dirty implementation of the forecast and barely got a positive sharpe after costs starting 1975 on 215 instruments. The...
How do you calculate the pullback forecast exactly? Happy to test this on my data (I only have daily data)
It's done now. The additional 110 instruments (now totalling 215 liquid instruments) resulted in a sharpe increase of 0.15 in the backtest, which...
I expect to see an increase of about 0.2 sharpe (16%) in the backtest and perhaps 0.1 in live trading. Pure speculation of course :)
I bit the bullet and started adding CSI data a few days ago. In the first pass, I backfilled instruments I already have and added some delisted...
It is not limited to futures but to API-trading in general. Currently I am only trading stocks on US- and Australian exchanges (futures trading is...
I had to answer the same questions and trade within a limited company based in the EU. Seems to be MiFID related.
I have a question about carry, regarding the carry offset (current - front vs front - current). I see a few instruments in my data that use a...
With dynamic optimisation there actually is no upper limit on how many futures can be traded. Of course there a diminishing returns to...
After 2 months of intensive programming I today finished the implementation of Rob's strategies. Paper trading also already hums along. I have...
I changed my backtest to cope with contracts that do not trade anymore. That way I may sneak in some more data. In total I have 4 delisted...
Getting the correct current multiplier should be doable by retrieving it from IB. But these dynamic multipliers make things nasty in the backtest....
I am currently doing some fine tuning of my security master to make sure that everything is correct. I stumbled upon this pearl: UK natural gas on...
A few quick questions, regarding the execution side of things: When to trade: IB offers the liquid trading hours along with the trading hours of...
A short update on how to calculate a history of liquidity driven roll dates. This might be interesting to other readers that run into the same...
Thank you so much for all this valuable information! I underestimated the complexity of the problem by quite a large margin. My first experiments...
Yep, interesting view. I view it like it is always 2014. This seems conceptually more satisfying. But I have no clue if it is even possible to...
Understood. This implies that my creation of roll calendars need more work. Instead of just searching for existing triples of...
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