Hello Rob, I saw a presentation you gave at Quantcon (I believe) where you discussed system building and created an example of a trend-following system that used regression slope as the determinant of trend. I have several questions re your presentation that I'd like to ask you. What's the best place to post those .... here, https://qoppac.blogspot.com/ or maybe somewhere else? Thanks
Thanks, did you manage to get the same price in legacycsv by GAT? I use quandl excel add in to download historical vix contract data. I think i use the data source by chris, which gives a continous price.
As GAT might have mentioned in his posts, the stitched price will vary subtly based on the roll algo (i.e. which day your algo stitches prices together as that determines the size of the adjustments) and which price contract you use. For that reason Quandl's own rolling algo is unlikely to match exactly what is stored in GAT's csv files. But it also shouldn't be wildly off. Have you eyeballed the comparative charts and seen a huge difference? As a x-check, I have run a comparision between my VIX with GAT's csv data and ignoring the 100 times factor early in my data, this is what my stitching produces. It is different but I am not too worried (unless of course GAT jumps in and says I should be ), because the broad pattern is v similar.
I don't use the continuous price series from quandl, I use the ones that have true prices and contract dates. The reason for this is that I am creating my own continuous price series with the method I described before. I guess it doesn't make much difference which you use. My prices should match GAT's csvs extremely closely, since I am replicating his method as far as I know.
Can I clarify that for signal generation, we use the stitched prices? What about pnl calculation? Do we use original prices or the stitched prices?
It's pretty much my last 'working' day of the year so I thought I'd do quick annual update of my performance. I appreciate there haven't been many of these recently, but I've been pretty busy with this. Next year I should have more time to tend to some things I've been neglecting: my blog, pysystemtrade and perhaps even some new research. I'll also be giving some thought to my next book. This won't be massively detailed, as per usual I'll be doing a more detailed update on my blog at the end of the UK tax year in early April. YTD: 10.8% PNL for this tax year: 6.0% PNL to date: 105.6% Drawdown: 6.3% I haven't done any formal checks but that's probably behind AHL (who've had a stellar year and are running at around +10% on a lower risk target, depending on which fund you look at); although perhaps more respectable compared to the rest of the CTA industry. I won't know for sure until I break out my equity hedge, which I won't do until April. It's also about half of last years calendar year performance of around 20%. Basically I seem to be in a fairly flat period that's lasted for about 18-21 months. But that's better than a 21 month drawdown and I have actually made new HWM in that period (most recently in November). 12 steps forward, 11 steps back... and repeat. Pictures: A real year of ups and downs Current positions: Code: code contractid positions Lock WrongContract InFwdNotRoll 7 AEX 201801 1 False False False 1 AUD 201803 1 False False False 11 BOBL 201803 1 False False False 9 CAC 201801 1 False False False 16 CORN 201812 -10 False False False 15 CRUDE_W 201812 1 False False False 18 EDOLLAR 202106 -3 False False False 0 EUROSTX 201803 -9 False False False (hedge) 14 GAS_US 201803 -2 False False False 2 JPY 201803 -1 False False False 8 LEANHOG 201806 1 False False False 10 LIVECOW 201810 -1 False False False 17 MXP 201803 5 False False False 6 NASDAQ 201803 1 False False False 13 OAT 201803 1 False False False 3 PALLAD 201803 2 False False False 5 SOYBEAN 201811 -3 False False False 12 SP500 201803 2 False False False 4 WHEAT 201812 -8 False False False Current risk: Code: code multisignal expected_annual_risk expected_annual_risk_per_contract position expected_annual_risk_rounded_pos 36 EDOLLAR -5.2 3892 1031 -2 2063 2 LIVECOW -6.3 4752 4026 -1 4026 27 JPY -9.9 7465 5644 -1 5644 3 SOYBEAN -13.6 10202 3382 -2 6764 0 CORN -20.7 15504 1472 -10 14722 4 WHEAT -26.2 19669 2525 -8 20199 7 BOBL 2.5 1852 1957 1 1957 1 LEANHOG 2.0 1526 3437 1 3437 20 CAC 5.8 4316 4446 1 4446 10 OAT 7.0 5291 6036 1 6036 19 AEX 15.1 11329 8805 1 8805 22 NASDAQ 10.8 8121 9200 1 9200 28 MXP 10.9 8147 1910 5 9550 23 SP500 14.9 11220 6390 2 12780 32 PALLAD 27.2 20383 13647 1 13647 35 GAS_US -25.9 19451 7959 -2 15919 Trades: 17,902 trades (including rolls) Slippage £1,155 of which bid-ask spread was £5018 and exection algo was -£3863 GAT