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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 forwards, using spread trades. It seems the 'prudent' way to do this would be an 'open interest crossover', passively before the crossover and forced...

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 https://github.com/robcarver17/pysystemtrade/blob/9a8d533840547d8a03bbd094e16de8047345f060/sysdata/legacycsv/CORN_carrydata.csv I'm trying to rebuild this data from https://www.quandl.com/data/CME, but its proving to be a messy implementation, with...

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 have to be building these things. Just for completeness, it looks like this now, which looks good to me. Interesting how the distribution of the...

(And without costs): Thanks, duly noted! I will go back and check everything. Thank you!

Yes. Returns are in $ based on annual volatility target of $25000.

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 weights never really seem to stabilise: (legend is LFast). For reference I've plotted the price series here: I've taken slippage of 0.25/380 +...

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. Initial success led to hubris, which led to bust account, which led to a more methodical way of approaching risk.

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 interest, spread, the small print says there's a carry charge, including 2.5% admin charge... etc etc. You kinda get the feeling like you're being...

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 on the order of 10x more using spreadbets. As I have been following GATs book and created a backtest, I quickly coded up both scenarios and found that...

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 spreadsheet, just trying to make sense of it now!

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 general. Funding charge that works out to roughly 3.5% of the exposure per year. So for a long position on Corn today: That's £15 per point @ 380...

I'm trying to understand the differences in costs between trading real corn futures, versus a spreadbet on corn futures, provided by IG (details here: https://www.ig.com/uk/ig-commodities/corn). As best as I can tell, when trading the spread bet futures contract (not the DFB on the underlying...

One more question. Why own the futures contracts in favour of spread bets on the underlying? Advantages as I see them: No rolling necessary, lower block size, simpler API (IG), CGT.

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 accounting.py. Thank you!

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, only looking at pysystemtrade for clues. I have one problem. I wrote my accountCurve using a walk-forward backtester. It's extremely slow, so even a...

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 been using your book/blog, and I'm stuck on the forecast weights. I've calculated the individual EWMAC forecasts, scaled them to have a mean forecast...

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 much from you.

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 problems you encounter in automating this task? Why do you favour commodity futures versus other instruments, and why are commodity futures the...