Recent content by neverhedge

Oh my god I have a complete mess-up in my configuration. Damn hell. I have probably collected as many as possible configuration keywords to a single file in a careless way in the early days. Excuse me. The error is mine.

I have been spending some time to find out the difference between these configuration options: instrument_weight_ewma_span instrument_weight_estimate['ewma_span'] Any ideas?

My thoughts, others might correct: 1. I think some autocorrelation is necessary for trend following to work; 2. Answer to the second part depends on the strategy that any particular CTA employs. Low (or negative) autocorrelation inhibits trend following strategy.

Another day, another question. I have observed that if I run the call system.portfolio.get_notional_position(my_instrument) repeatedly, then the result is, let's say, volatile. # Run #1: 2019-09-17 -3.895486 2019-09-18 -4.237389 2019-09-19 -4.626678 2019-09-20 -5.781315 2019-09-23...

These must be lots.

Hi all. I was missing some excitement in my life and I installed pysystemtrade recently. Now I try to understand the software. So I ask what the measurement units for those calls are: system.portfolio.get_notional_position(...) system.portfolio.get_buffers_for_position(...)...