No problem, the pleasure is mine. Thanks for providing such a great framework so that I can focus more on understanding than coding. Some of the functions are attached only at run time and the system caching makes tracing the stack a bit more complicated. Your patience with my questions are greatly appreciated.
Hey GAT, I think there might be a small issue for the new futures rolling/quandl data dl code historical_contract_prices_quandl_mongo.py create_list_of_contracts -> gets the list from quandl, [AEX/20141200, AEX/20150100, ...] multipleprices_from_arcticprices_and_csv_calendars_to_arctic.py It uses csv roll calendar, so the first contract is AEX 20131100, then it tries to lookup this contract in the list of contracts from quandl which fails because the earliest is 20141200. roll_calendar = csv_roll_calendars.get_roll_calendar(instrument_code) You can just try on AEX instrument to get the error. exception message: File "C:\Code\pysystemtrade-master\sysdata\futures\multiple_prices.py", line 69, in create_from_raw_data current_price_data = dict_of_futures_contract_prices[str(current_contract)][start_of_roll_period:end_of_roll_period] KeyError: '20131100'
Aspect is of AHL ancestry .... Hedge Funds H2O, Aspect Hit by Losses as Italy Sparked Selloff 2018-05-31 15:45:20.201 GMT By Nishant Kumar and Suzy Waite (Bloomberg) -- More hedge fund losers are emerging from the political turmoil in Italy that roiled global markets on Tuesday. Aspect Capital’s main computer-driven hedge fund lost more than 5 percent on the day, according to a person with knowledge of the matter. H20 Asset Management’s Vivace fund slumped 6.5 percent, data compiled by Bloomberg shows. Investors dumped assets, especially in Europe, on concern that Italy is headed toward new elections that could threaten the country’s membership in the euro. It remains to be seen whether an 11th-hour political agreement can be reached to avert a new vote. The Aspect and H2O funds join peers such as Field Street Capital Management in losing money as volatility rose, just when investors expect them to protect portfolios from losses. The decline on Tuesday extended the Aspect Diversified Trends Fund’s slump for the month to about 9 percent, the person said, while H2O Vivace fell 17.4 percent. Aspect manages $7.9 billion, while London-based H2O runs about $19 billion. Money pools investing across asset classes, especially those driven by algorithms, suffered big losses as the selloff stretched from bonds to equities. Trend-following algorithms lost 1.4 percent on Tuesday, according to data compiled by HFR.
Sandy Rattray, Man (AHL) CEO, at Bloomberg today - https://s22.postimg.cc/qfniaf341/FEC58408-_B4_EB-433_D-94_FE-2_E55_C70_DFB4_E.jpg
Hey TrueType, pure momentum seem to work poorly on stocks vs just buy and hold. Does only cross sectional momentum work on US stocks?