Cheers, interesting. I'm bootstraping the weights also but I'm only trading 8 instruments at the moment so that likely explains the difference in Sharpe more than anything else.
Deleted my post as there seems to have been a lag at my end on seeing djames’ response (should have pressed refresh I guess)
corn, eurodollar, eurostox, gas, 3ktb, mxp, plat, v2tx only been running a month(ish) most performance coming from eurodollar and v2tx
Here's a reference which I found useful for numpty options traders: http://www.bespokeoptions.com/blog/2015/10/06/implied-volatility-with-c-and-python-pt-1
Out of curiosity: did you get these instruments from @globalarbtrader 's blog (qoppac)? Or did you determine this set yourself?
@isotope1, I have a backtested sharp of around .9+ using 15 instruments, and using GAT's 3 slowest emwas and carry with bootstrapping. I recently added GAT's breakout rule, and my sharpe dropped to .86. I wonder if that's a statistically significant difference, and if I should keep the rule or not.
Be aware that those instruments were chosen based on value volatility of one contract of each at the time that blog post was written. Such volatility changes over time. For example: in the category energy had gas at that time a lower value volatility than crude oil. Nowadays would it be better to choose crude oil (CL) instead of natural gas (NG): CL has a lower value volatility per contract than NG. The same applies to forex contracts: MXP is currently not the contract with the lowest value volatility.