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A short update on how to calculate a history of liquidity driven roll dates. This might be interesting to other readers that run into the same problem. I ended up adding a walk forward mode to the backtest. In this mode, the backtest simply stops after having identified a new liquidity driven...

Thank you so much for all this valuable information! I underestimated the complexity of the problem by quite a large margin. My first experiments yesterday showed, that identifying the roll date simply by volume checks produced strange results - a random volume spike in the forward may trigger a...

Yep, interesting view. I view it like it is always 2014. This seems conceptually more satisfying. But I have no clue if it is even possible to create meaningful roll calendars in an automatic way. I will try it and can then compare the result to your "live" calendars. Will be an interesting...

Understood. This implies that my creation of roll calendars need more work. Instead of just searching for existing triples of current/forward/carry around the roll date I have to create the roll dates more liquidity driven. The way I implemented the system is by not making any difference...

Sorry for being obnoxious, but I have a follow up question. I implemented the roll mechanism now and get weird results. Consider the current term structure of Crude Oil (of which December will be traded). December 2024 has a volume of 7800 and December 2025 has a volume of 1300. I currently...

ok, thank you! It is more of a failsafe then that can detect buggy roll calendars (if staying in that state)

Thank you very much for that explanation! Digging through pysystemtrade, I found the following explanation for ROLL ADJUSTED: RollState.Roll_Adjusted: "Roll adjusted prices from existing priced to new forward contract (after adjusted prices have been changed, will automatically move state to...

I have a question regarding passive rolling, if you do not mind: Let's say we want to implement the roll mechanism via DO constraints. You would have to look up the contracts in your portfolio that need rolling on the roll date and set the position constraint to the number of contracts of that...

I now put both alternatives (start from zero, start from optimal rounded) to a broad range of tests with different portfolios, time frames and capital. Some qualitative observations: Zero has more leeway to put on large instruments that get selected in the first few iterations and reduce the...

Must be a misunderstanding from my side. I interpreted w[p] on page 403 of AFTS as the weight of the current solution, not as the weight of the prior day. I guess the "(current)" in the formula of page 402 got me confused. I understand your arguments about why shadow costs do not help that...

The dashboard itself is integrated in my stack and therefore quite individual. But you can easily build it yourself: The dashboard software is Grafana and as a database I use the time series database InfluxDB. You simply collect all the relevant information during a backtest and dump it to the...

I banged my head against the desk all weekend to dive into the details of DO and avoid these on/off trades in "borderline" instruments. These instruments are those that have a very strong forecast but are so capital intensive that DO only selects them when the forecast hits 20 and volatility is...

Dynamic Optimisation at work: I built this dashboard to get more insights into the optimisation algorithm and track the backtest in production. Let's have a look at the poster boy of the trend following community for the last few months: COCOA. It is reassuring that the system (500k, ca. 80...

Guess you cannot calculate any slippage or shortfalls without market data. You only calculate benchmark shortfall against your backtested price then? Sounds like a neat idea. I do all my trading in a company (tax reasons) and therefore IB rips me off with their market data fees for professionals.

If I understood the SNAP mechanism correctly, then you are not guaranteed a fill. So you place your SNAP, wait a little bit and if the price moves away from you then you place a market order? I must have missed something, because this seems to be identical to first placing a limit order and then...

I actually have 2 copies :). I started with the kindle edition but when I decided to implement it I needed something on my desk to look stuff up and not wasting even more screen real estate with having the kindle app open.

Thank you so much for all your replies! I really appreciate the know how as this safes me from running some potentially costly experiments. To reiterate the questions: 1. I will go down the route of HobbyTrading, not caring at all. In my stocks backtests I detect trading halts by identifying...

After having implemented some rudimentary strategies and a corresponding order generator, I will now start to adapt my execution engine for futures. As you may have guessed, I never traded futures systematically yet (apart from a few currency hedges). During the last few days some random...

I have another practical question regarding data providers, and thank you so much for all the insightful answers. Do providers like Barchart or Interactive Brokers face data quality issues? I currently use Norgate for futures data, which offers a selection of around 100 futures. However, it...

Totally agree. I want to do it manually because the implementation of all the estimators is a little bit too much work for me right now - adjusting my execution engine will have priority after I settled on a bunch of strategies. Nevertheless the volatility group (or RiskIndex, as you name it)...