Oh no, not another python backtester...

Discussion in 'Programming' started by globalarbtrader, Dec 18, 2015.

  1. No positions aren't delayed, only inside the accounting function (otherwise it would be confusing with a risk of delaying things twice)

    #21     Aug 11, 2016
  2. Hi GAT, in pysystemtrade, does the system account/are trades generated for rolls when the contracts change in the carrydata files?
    #22     Sep 7, 2016
  3. Not yet.

    #23     Sep 8, 2016
  4. Hi GAT,
    How does pysystemtrade treat the carry system when there is no recent price for the carry contract? I see in the historical data that sometimes there is gaps in the data for carry contracts (e.g., when you only trade particular annual contracts and the next carry contract is too far how to have liquidity)?
    #24     Sep 22, 2016
  5. Hi AG

    Good question. Basically carry is calculated on each day when there is both a current and a carry contract price. The rest of the time it will be NAN. All the other forecasting calculations are then done, which again will propogate NANs. Finally just before combining with other forecasts I forward fill the forecast values. It's important not to do this too early or it will throw off things like calculating the standard deviation of forecasts for scaling purposes.

    Hope that makes sense

    #25     Sep 22, 2016
  6. Hi GAT, Why do the returns and metrics in pysystemtrade change so markedly if you change the base currency? Shouldn't the returns be similar for various currencies given they are mostly USD instruments and most of the account stays in cash? The vol is often much lower than target vol when using non-USD currency balances. How do you grapple with this?
    #26     Nov 18, 2016
  7. I'm surprised to be honest. I've opened a ticket on this, and I'll look at it when I get a chance https://github.com/robcarver17/pysystemtrade/issues/37

    #27     Nov 18, 2016
  8. Hi GAT, just wondering if there is potential for adding stops into pysystemtrade? I am considering adding a mean reversion system but want to add some conditions to exit if a position moves too far against me.
    #28     Nov 25, 2016
  9. Yes I'll add them at some point, for exactly that (a mean reversion system).

    I need to think about the most elegant way of doing it plus I am full speed on book writing right now so it will be a few months before I get a chance to do any python again

    #29     Nov 26, 2016
  10. djames


    Hi GAT, thanks for releasing pysystemtrade to the great unwashed. finding it
    very educational.

    I'm trying to recreate the included data. The file EDOLLAR_price.csv currently
    has a last entry of "2016-07-08,98.9725" I understand that we are looking at
    around 40 months out on the curve so i would expect the contract to be one of
    201906, 201909, 2019012

    Looking at Quandl CME data 201906 gives last price on our date of 2016-07-08
    201906 98.98. But where does the price actually come from? is it your last
    sampled price from IB?

    I'm begining to create my own Panama adjusted price series and am using the
    included price csv's as reference.

    Any tips and pointers for this process? Would it be possible to give the
    contracts which forms each of the price series files?

    When reconstructing the carry files should I be rolling them on volume for the
    carry contract or price contract? This sould be easier to check as I have the
    source contracts in the file by construction.

    Kind regards,
    #30     Dec 26, 2016