Looks interesting. I was able to clone it from GitHub and to recreate the graph and data for the demo system from your book. I think that equity...
Thanks. Ah, that is the problem: Because of different trading/calculation times you don't get easily a synchronized price. Didn't think of that.
Questions about the Carry rule described in your book: When trading a contract further down the road e.g. the Dec 2016 corn, what do you use for...
That's another thing that I did not fully understand: Only trading when the rounded positions differ more than 10% only makes a difference when...
Hi, short question: is that a typo at the end of your trades list: 7459 WHEAT 201612 2015-11-17 11:29:15 -1 518.000000 7462 WHEAT 201612...
Could be this error:...
That is true, a portfolio strategy involving money management cannot be simulated directly using vector calculations. But you still could...
I assume with vectorized backtesting you mean something as Amibroker implements: For example let's say you want to back test a strategy where you...
Sent you the files to your yahoo account. Regards, Michael
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