Up to you, and I don't trade Corn like this, but personally I'd do "Use the value of the last correct carry forecast (on 4th June) from that day...
Yes
https://github.com/robcarver17/pysystemtrade/blob/develop/data/futures/csvconfig/rollconfig.csv shows how I roll, and thus compute carry....
I just added ethanol and the DJ 200 european index to my stale instruments as it looks like they're no longer listed. Rob
Thanks guys, fixed on PST for those who partake. Rob
https://github.com/robcarver17/pysystemtrade/blob/develop/docs/backtesting.md#optimisation
I do have other things to do than answer your questions :-) I don't understand, are you losing your entire capital because of costs? Simplest...
Yes I guess about 1 month Rob
Free like for anyone that can tell me how to get images working on this flipping site: just pasted in: https://ibb.co/6cyz6Qbb As a link:...
It may well be that the IB algo is doing a good job, versus just a naive submission of a market order at close. Personally, I don't use the IB...
Er no, because market on close is still a market order which means it will be executed at an offer price if you're buying and vice versa, whereas...
No good point in that case you should use a % difference. Best compromise is to measure the 10 year vol as a % then convert it into a $...
https://qoppac.blogspot.com/2023/02/percentage-or-price-differences-when.html Don't use % vol Rob
No I use the same method from strat 6 onwards; the cost for each contract traded adjusted for the change in price return vol between now and back...
Ok that would probably work, I guess the advantage of placing the initial bracket order is you'll effectively react quicker if the horizon is...
Yes that would work, but what if you didn't get filled and then price moved to a level where you'd be better off using the other price to generate...
https://github.com/robcarver17/pysystemtrade/blob/develop/sysquant/estimators/forecast_scalar.py
Multiplied by IDM
Partly IDM, but I'd have to look into the code more deeply to give you a full answer (in practice it's pretty meaningless to look at portfolio...
one instrument: traded contracts / average position (position with forecast of +10) multiple insturments: average or weighted average of turnover...
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