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Hi GAT, quick question: I assume on your backtests you didn't worry about any timing mismatches between historic daily data on currency settlement prices and instrument futures closing prices (for position sizing for example)?

Ahh, I see. Thanks.

Following this interesting discussion. Insufficient margin is the stuff that would keep me up at night. One thing that I didn’t quite follow is the bit about an override parameter ‘to avoid having to change instrument weights’. In your system GAT, I thought you only changed instrument weights...

You mean you would touch it with a bargepole? Please have mine :)

@djames thanks for sharing. And of course thanks as always to GAT for sharing as well.

Thanks for the tip, I shall definitely check it out. Question: How much effort was it on your part to get up to speed with it? I generally find incorporating libraries things that aren't 'batteries' to Python a major undertaking, but perhaps that's just me being lazy.

That’s very helpful, thanks GAT. I know you have been fairly consistent in your message to avoid the front end of GE, so this just further adds to the list of reasons. I am currently working on my generic stitching algo and hopefully once I have mastered the vagaries and liquidities of the...

Yup. Got it, thanks.

Yes I read that report too, and imho it did read as having been written by some wide-eyed reporter stuck right up someone's 'PR machine' to put it politely. On a separate topic, I have been looking at how to set up rolling in my system. Following your guidance, I understand you continue to use...

Thanks GAT, I am assuming calendar spreads for carry calcs are no less tradeable based off settlement prices rather than closing prices. Intermarket spreads I will leave well alone for now. The only slightly weird element would be the need to timestamp settlement prices as end of day when in...

Hi GAT, I'll be following with some interest the performance of your evolved of your portfolio, I guess it makes sense as it is a little bit more diversified in terms of strategies (long + systematic)? Another quick question for you on the systematic side: I note that you use closing prices for...

100% agree now. Thanks for clearing up my muddy thinking :)

Thanks GAT. Let's say you don't meddle with the risk capital your system is telling you to use. Let's say you start the trading year with a loss, and have therefore reduced your risk capital in proportion. But then you start to make money, and the +ve P&L increases the available risk capital...

Thanks, also had this minor conundrum I can't resolve. If 90% of your system is profitable and your risk capital is going up (assuming you are below your fixed capital amount so kelly scaling applies), the rising risk capital will cause you to add to positions for the profitable part. However...

Sorry of course - here you go

Hi GAT, on page 18 of this thread, you have helpfully written down some formulas showing how to estimate turnover and I was wondering if there might be a small typo. Should there be an ‘N’ term in the denominator in the last couple of expressions? Otherwise the result seems to have unbounded...

Thanks for the clarification, GAT

OK thanks. Could this be just be an error in that case? In your gold.csvfile, on 18 Jan 1980 your stitching algo rolls by 10 months which I think it much longer than any other gold roll.

Hi GAT, I am trying to stitch together an initial futures price database for backtesting the system in your book. My default roll policy was going to be to ‘roll to the 2nd nearby’ with the exception of seasonal contracts. Where this is not possible I was going to use the 1st. The rationale for...

Sorry to butt in on this group intervention, but @napolean@Dynamite didn't GAT answer your question earlier with his witty Livermore quote. I will butt out now.