I'm just working backwards to try and simulate rolling the contracts over on historical data, looking at corn one year out and rolling 12 months...
One more question, how come you traded stuff a year out as opposed to from the front? Is that to reduce the number of rolls? Thanks
Hi GAT, A quick question, I'm looking at...
Right you were, the very subtle bug of multiplying the something thing by today's price instead of yesterday's price. Goes to show how careful you...
(And without costs):[ATTACH] Thanks, duly noted! I will go back and check everything. Thank you!
Yes. Returns are in $ based on annual volatility target of $25000. [ATTACH]
Hi GAT, So I'm up to bootstrapping weights on single instruments now, using an expanding window, looking at Corn using EWMAC. I'm concerned the...
That's my experience as well. I did well with an unleveraged stock portfolio. Stock picking is fun, but slow. Thought I'd try a CFD portfolio....
I'll add, it's practically impossible to figure out how much a trade with IG on a future will cost you before you do it. Mystery fees include the...
So I did complete my detailed analysis yesterday of IG vs IB, and like GAT above, while I couldn't be precise about it, I figured the costs were...
Specifically, why is the DFB more expensive; do I pay the spread every day? (if so, that isn't clear on their website). I have such a...
I am based in the UK. As best as I can tell, on the DFB, which is a spread bet on the underlying: No rolling costs, or rolling required in...
I'm trying to understand the differences in costs between trading real corn futures, versus a spreadbet on corn futures, provided by IG (details...
One more question. Why own the futures contracts in favour of spread bets on the underlying? Advantages as I see them: No rolling necessary,...
Yes, thank you! It's a bit of a leap thinking of 'volatility first' the whole time! :)
It should be linked here: https://github.com/robcarver17/pysystemtrade/blob/master/syscore/accounting.py#L339 But if not, it's lines 339-369 of...
I'm up to bootstrapping trading rules on single instruments with rolling windows. I've been writing my code from scratch to better understand it,...
Hi Rob, I've decided to try building your system from the ground up, as I figured this would be a good exercise to understand it properly. I've...
Hi Rob, Great talk last night! Would love to see that as a blog post so I can go over it in detail! Thank you for all of this, I've learnt so...
Hi Rob, Just been reading your blog posts & book. I have a couple of simple questions. Can you elaborate on why you roll manually? What are the...
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