Search results

Hello GAT, I'm roadtesting my recently hacked together code to construct Panama curves, but having trouble recreating your results. Taking V2TX as an example I have the following rules defined: v2tx: tenor: m # 1 month behind carry: -1 distance: 2 day_of_month: 16 these rules are...

Hello, Question regarding using PySystemTrade in practice, when calculating the daily signals / positions do you update the notional_trading_captial in the config to your current IB balance or rather you initialize the notional_trading_capital when you go live but with full_compounding...

Thanks for the reply (in Jan), I'm starting with recreating the carry data as this seems simpler. If I remember correctly, you said that you are not rolling with fixed rules, that there is some discretion applied as to when contracts are rolled. Does this mean that the carry data files...

Hi GAT, How do you decide if a live model is deviating from the distribution of returns in a backtest? Is there a standard test to apply to the realised returns with comparison to the backtested returns to decide if market has changed / backtest was overfitted? Many thanks!

just wondering if there are standard combinations of return statistics to give the fitness output value

for giggles i'm using sklearn and a genetic algo. library to optimize parameters for my trading strategy. in order to rank the sets of parameters i need a single valued result from the optimization, e.g. Sharpe ratio, but of course there are many other statistics which are not represented by...

I look forward to the extension (and blogpost). Would be reassuringly complete to have the stitching code for the example data files. Thanks

Hi GAT, thanks for releasing pysystemtrade to the great unwashed. finding it very educational. I'm trying to recreate the included data. The file EDOLLAR_price.csv currently has a last entry of "2016-07-08,98.9725" I understand that we are looking at around 40 months out on the curve so i would...