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Looks interesting. I was able to clone it from GitHub and to recreate the graph and data for the demo system from your book. I think that equity curve was really missing in your book, when I read it. One question, though: Your price data for the instruments in the system start at different...

Thanks. Ah, that is the problem: Because of different trading/calculation times you don't get easily a synchronized price. Didn't think of that.

Questions about the Carry rule described in your book: When trading a contract further down the road e.g. the Dec 2016 corn, what do you use for calculating the raw carry? The previous contract, e.g Sep 2016? Or the front month March 2016? When the spot price is easily accessible, e.g the S&P...

That's another thing that I did not fully understand: Only trading when the rounded positions differ more than 10% only makes a difference when the positions are greater than 10, I would think? Otherwise any difference is more than 10%. Trading too often by mistake is one of the things that I...

Hi, short question: is that a typo at the end of your trades list: 7459 WHEAT 201612 2015-11-17 11:29:15 -1 518.000000 7462 WHEAT 201612 2015-11-17 11:30:28 1 518.750000 You are selling the same contract (Dec 2016) and buy it back one minute later? Or is it a roll and one of them is the Dec...

Could be this error: http://answers.microsoft.com/en-us/windows/forum/windows_7-windows_programs/error-an-error-occurred-during-the-installation-of/d2461691-10e5-4f93-8b16-4b2f1ce22537 I would try the steps mentioned in above link.

That is true, a portfolio strategy involving money management cannot be simulated directly using vector calculations. But you still could generate the signals for each symbol separatly using vector calculations and then filter the signals in a second step to only allow e.g. two simultanously...

I assume with vectorized backtesting you mean something as Amibroker implements: For example let's say you want to back test a strategy where you go long every time the previous bar was a strong upmove, e.g. 3%. You could code this as: buy = (close - open) / open > 1.03 Now, the variables...

Sent you the files to your yahoo account. Regards, Michael