Sorry for being obnoxious, but I have a follow up question. I implemented the roll mechanism now and get weird results. Consider the current term...
ok, thank you! It is more of a failsafe then that can detect buggy roll calendars (if staying in that state)
Thank you very much for that explanation! Digging through pysystemtrade, I found the following explanation for ROLL ADJUSTED:...
I have a question regarding passive rolling, if you do not mind: Let's say we want to implement the roll mechanism via DO constraints. You would...
I now put both alternatives (start from zero, start from optimal rounded) to a broad range of tests with different portfolios, time frames and...
Must be a misunderstanding from my side. I interpreted w[p] on page 403 of AFTS as the weight of the current solution, not as the weight of the...
The dashboard itself is integrated in my stack and therefore quite individual. But you can easily build it yourself: The dashboard software is...
I banged my head against the desk all weekend to dive into the details of DO and avoid these on/off trades in "borderline" instruments. These...
Dynamic Optimisation at work: I built this dashboard to get more insights into the optimisation algorithm and track the backtest in production....
Guess you cannot calculate any slippage or shortfalls without market data. You only calculate benchmark shortfall against your backtested price...
If I understood the SNAP mechanism correctly, then you are not guaranteed a fill. So you place your SNAP, wait a little bit and if the price moves...
I actually have 2 copies :). I started with the kindle edition but when I decided to implement it I needed something on my desk to look stuff up...
Thank you so much for all your replies! I really appreciate the know how as this safes me from running some potentially costly experiments. To...
After having implemented some rudimentary strategies and a corresponding order generator, I will now start to adapt my execution engine for...
I have another practical question regarding data providers, and thank you so much for all the insightful answers. Do providers like Barchart or...
Totally agree. I want to do it manually because the implementation of all the estimators is a little bit too much work for me right now -...
I have another question regarding costs and dynamic optimisation: The formulas in the book calculate the cost penalty per contract as the sum of...
A little bit late to the party, but this thread and Rob's books are really amazing. I am currently implementing some aspects of the book before I...
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