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I see, thanks. What is exactly measured in the graph?

Apologies, that should read USDJPY, not AUDJPY

Hi all, the carry trade has proven quite profitable over recent years. GAT, and any other thread followers: do you have any views on how carry trades in particular will perform if rates rise? Higher rates mean higher carry, but could there be some principal losses as rates rise? I think of e.g...

Hi GAT, just wondering if there is potential for adding stops into pysystemtrade? I am considering adding a mean reversion system but want to add some conditions to exit if a position moves too far against me.

Does anyone have any useful insight?

Hi all, I came across Quantedge some time ago and noticed their stellar returns. They have a Sharpe ratio of 1 and run at 30% volatility and manage to hit their return target / expected Sharpe quite frequently (most years, which is more frequent than most CTAs). I note they were founded by a...

Hi GAT, Why do the returns and metrics in pysystemtrade change so markedly if you change the base currency? Shouldn't the returns be similar for various currencies given they are mostly USD instruments and most of the account stays in cash? The vol is often much lower than target vol when using...

It's getting pretty nasty out there at present. Most CTAs are long bonds and long equities and both are getting hit hard. It would be good to see another portfolio update when you've a moment GAT to get a sense of how things are going relative to the CTA numbers I'm seeing at present. Thanks!

I whole heartedly agree with this notion and hope to move in a similar direction. The 'New Rich' are rich in time as per Tim Ferriss. Working for 40 hours a week for 40 years to retire is the bigggest misnomer of our time. In this day and age the 40 should also be changed to at least 60 in each...

Hi GAT, You've had stellar performance since launching your strategy. I note that your launch fortuitously coincided with one of the strongest trending markets ever! What would you have been thinking if you launching in e.g., 2011/12, which were generally not great markets for trend-orient...

Hi GAT, Do you trade relative value fixed income strategies?

Hi GAT, How does pysystemtrade treat the carry system when there is no recent price for the carry contract? I see in the historical data that sometimes there is gaps in the data for carry contracts (e.g., when you only trade particular annual contracts and the next carry contract is too far how...

Hi GAT, in pysystemtrade, does the system account/are trades generated for rolls when the contracts change in the carrydata files?

I see, this makes sense. You could still control the frequency you're trading at to keep costs in check, but obtain greater diversification. I was wondering, where do you source your Korean 3yr, 10yr and Kospi200 futures data from? I see none of this is available on Quandl...

I see, thanks. What is the benefit to trading an OTC forward vs a listed future?

Hi GAT, I too would like to use forwards, but more so that I can run my account in USD and hedge back to base, which outperforms changing my system to run positions in base currency. I am curious, if you were to take your FX trades using forwards how would you deal with the constant mismatches...

Also, where do you source your USDKRW fx rates from? I see it is not possible to stream this from IB as it is an NDF, which they do not offer.

Hi GAT, another one for you: In your legacycsv file, you have a future for US20yr. I do not find any listed US20yr futures anywhere. What is the ticker for this future / what is it? I suspect it might be the US 15-25yr Ultra bond future....

I see, thanks GAT. With respect to the 'delayfill=True' function, does this only apply to accounting (e.g., 'system.accounts.portfolio(delayfill=False)' ) and not position generation with the 'system.accounts.get_buffered_position(instrument, roundpositions=True)' method, or does the 'delayfill'...

Does anyone have any advice on where to receive realtime data feeds? I have a lot of historical data and am now in the process of monitoring things realtime. I am aware of CSIdata, but they are end of day only. Are there any other data sources available (with a high degree of accuracy) for e.g...