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I think this depends on what you're trying to accomplish through the "iteration" over the contract months. If all you're trying to do is iterator over all delivery months in order, then all you have to do is a sort on the name of the file assuming your file names are in the format...

My experience with letting VIX futures expire was not very positive :) My system missed some rolls earlier this year (due to a combination of technical issues). One of the months early in the year, the gap between the last trade price (I believe it was 11.5) and the settlement price was over 1...

Based on reading the blog post, I think I understand the approach of pooling gross returns but using instrument specific costs. My understanding is that we pool the gross return data of all instruments in our group (typically asset class). When performing the bootstrap optimization, we use the...

GAT, Apologies if this question has been asked and answered already. I'm going through another iteration on my system -- this time incorporating costs into the calculation of trading rule weights. My understanding is that you suggest that trading rule weights should be calculated based on...

Hello GAT and Everyone, I am yet another person who's running a system based on GAT's book and blog. Trading 39 markets (all USD based), at 16% vol; started live trading in December 2016. I am currently in the process of gathering data to backtest non-USD Equities and Bonds (such as UK Long...

Rob, Thanks for posting the FundSeeder reference -- it's a nice site. I have several questions about your account on fundseeder though: 1. It seems that the returns are understated for your account. This would also explain why the annualized volatility (according to fundseeder) is so low for...

GAT, Thanks for your reply.

GAT, Great post and great blog. I have a few questions as I'm digesting all the info: 1. the 25% capital at risk is at 95% confidence (I believe I read that in one of your posts), and therefore 2 times the standard deviation of annual returns, correct? If I'm following correctly, then this...