Recent content by itb

Thanks for the reply! To be clear, my plan is to keep the 80K in the bank account and withdraw 1000 every month as long as there are funds in the account. I don`t plan on investing the 80K in anything riskier than a deposit/savings account. And of course when I make losses on the futures...

Hey @globalarbtrader, do you see anything wrong with my plan? Thanks :)

It was me, apologies, I didn`t receive any confirmation on the blog post, so I wasn`t sure the post worked. Anyways, back the to question. Assume you have 200K to invest, systematic trading has higher SR, and you decide to put 100% of risk in systematic trading, targeting 30% ann. stdev. Let`s...

@globalarbtrader, in the last comment here https://qoppac.blogspot.co.uk/2017/09/smart-portfolios-post-about-book-nn.html you say in terms of your risk allocation, 75% is in 'smart portfolio's, 25% in systematic trading. Why don`t you have 100% of your risk allocation in systematic trading given...

Ok, I re-read the carry section of appendix B, but still I miss something. In Futures: If Trading Nearest Contract, Net return would be a multiple of Price Differential. Price Differential = Next Price - Current price ~= (in the case of WTI currently) 51.3 - 50.8 = 0.5. However, the curve is in...

Hi GAT, Here https://github.com/robcarver17/pysystemtrade/blob/master/sysdata/legacycsv/VIX_carrydata.csv and here https://github.com/robcarver17/pysystemtrade/blob/master/sysdata/legacycsv/WHEAT_carrydata.csv the maturity date of CARRY_CONTRACT is less than the maturity date of PRICE_CONTRACT...

Thanks for the precise reply! A quarter looks a bit too much to me (imagine if it was - 25% rather than +...), but I understand you need to consider taxes as well.

Looking at your latest and previous profit accounts, it looks to me the gains in your Stock futures plus hedge position were a significant part of your overall profits and to a large part driven by GBP weakness in the last 2 years (do correct me if any of this is not right). Doesn`t that mean...

Hi GAT, I guess you trade most of your futures on CME, are there any other exchanges you use? Thanks, itb

Hey GAT, when I look at the performance of Winton Futures Program (at the bottom of the page http://ctaperformance.com/wntn), it looks like they have milder drawdowns than those of your system at the same vol level. By using decreasing capital multiplier in drawdowns, your system can reduce...

I think I found out why I get that - I use EUR as base currency and understandably EURUSD exchange rate data starts in 1999. If I use the default base currency of USD, the system forms a portfolio starting in ~ 1970/1980. Let me know if you still would like to know the exact code I ran...

Hi GAT, I use your python system to run a backtest using all instruments you have uploaded in github, but for some reason the first time a portfolio is being formed is approx. around year 2000 in spite of the fact many individual instruments having much longer history. How can I make the...

Hi GAT, I was playing with your system https://github.com/robcarver17/pysystemtrade and I wonder: what is the (functional, design?) reason of having the two folders syscore and systems? I can`t pinpoint what the big picture difference is between the scripts in the two folders. Thanks, itb