Search results

Not now, but I have in the past. Steepness and curvature in bond futures, swaps and STIR. GAT

I would indeed create synthetic instruments. I've used this approach for things like relative value fixed income (synthetic instrument; yield curve steepness or curvature). But you're right this system isn't ideal for something where there is a large number of possible permutations. Perhaps the...

Hi AG Good question. Basically carry is calculated on each day when there is both a current and a carry contract price. The rest of the time it will be NAN. All the other forecasting calculations are then done, which again will propogate NANs. Finally just before combining with other forecasts...

Well if you think you can predict when the breakout will occur then that will govern your choice of expiry. If you don't know when it will occur then you'll have to buy a longer dated option that will cost more. Ultimately if you think you might be wrong on the trade then the downside is...

Buy a strangle with strikes where you expect the breakout to happen. Having said that it's my experience that the extra cost of buying implied vol through strangles and straddles, rather than buying it synthetically by trading the underling, is far higher than commissions unless your breakout...

Being whipsawed. GAT

I have to say the curve you show has a great sharpe ratio overall so I wonder if you are being unrealistic with your expectations about trying to smooth all drawdowns out of the curve entirely [the first steps on the path to overfitting] or maybe the earlier part is already overfitted [only you...

I assume you're talking about problems of the kind, you have trading systems for say SP500, US10 and BUND, and you want to know what instrument weights to use? [If another problem let me know] Well it's a problem of optimisation, as discussed in chapter 4, and there are two broad approaches...

One is a cumulated series, the other cumprod. Also the ML index might include an interest component. GAT

G2 should be equal to B2 Rest of column G should be G2+D3 D3 should be IF(or(isblank(B3),isblank(b2)),0,B3-B2) If you want % returns, take them off G3 GAT

I guess one of my unspoken approximations was repo rate = LIBOR because it's much easier to get history of LIBOR rates than history of repo rates on specific bonds. And you can say that was a poor approximation to make (though not as bad pre 2007). And yes, this discussion is pointless since...

https://www.quandl.com/data/CME/USH2003-Treasury-Bond-Futures-March-2003-USH2003-CBOT ... and so on... GAT

Didn't read your email properly. Also this This is the backadjusted price. If you take differences of this, divide by the PRICE column in the other sheet, you'll get a total % returns from rolling the future on the dates shown. You know what I'm feeling generous so I've done it for you: GAT

Basic futures - spot parity, no? To replicate buying a future I borrow some money and pay LIBOR, and then buy the CTD with the money I've borrowed. GAT

This is a copy of this version https://github.com/robcarver17/pysystemtrade/blob/master/sysdata/legacycsv/US20_carrydata.csv ... which is regularly updated (the spreadsheet won't be) This sheet is nearly as old as I am (1977) Data from quandl.com GAT

Don't forget the main difference between the future and cash products will be (~) LIBOR. Because: return on future = duration * change in interest rate + coupon - LIBOR return on ETF = duration * change in interest rate + coupon [I'm slightly simplifying some things related to rolldown and...

a) the correlation isn't perfectly, -1, and never has been. An up day for stocks isn't automatically a down day for bonds, and vice versa. b) correlations change. Last years correlation estimate isn't a perfect predictor of next years. c) Correlation is a linear estimate of the relationship...

Across the board. Both bonds and equities fell in size which is unusual. I don't break out the performance by type of forecast, so I am afraid I can't answer that question. But obviously short vol didn't do great, but then neithier did anything else. All other things being equal I'd cut my...

I didn't analyse their skewness. GAT

Ouch. Down 5.5% yesterday. Hope everyone else is not too bad GAT