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Hello Robert, This would make the positive returns bigger as you are dividing by a smaller price and the negative returns smaller as you are dividing by a bigger price. Therefore changing your strategy statistics. Is there any particular reason you use current_price instead of...

Hello Robert, I'm trying to replicate your results from the "Advanced Futures Trading Strategies" book. In the code for strategy one you calculate the returns as follows: (adjusted_price - adjusted_price.shift(1)) * position_contracts_held.shift(1) * multiplier * fx_series_aligned /...