Right now I own Feb so I'd compare Jan and Feb
Fully automated futures trading
- Thread starter globalarbtrader
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Right now I own Feb so I'd compare Jan and Feb
Pardon, is that for natural gas or crude oil?
That is the reason why I decided to not implement a carry rule. I felt that it would complicate my setup too much if I would have to consider for each instrument what carry rule (and which contract months) to use. The forecast calculation in my system is based on trend following (ewmac) and breakout (based on Donchian channel) only. It uses the same lookback periods and same calculations for all instruments.
Thanks for the clarification.
Have you considered that the seasonality patterns introduce increased turnover or is this something insignificant and of little importance?
Using an ideas-first approach, I would argue that this is wrong, even though it seems to work OK on crude oil. (I suppose because the term structure is usually monotonic.)
I think it is wrong because you're not realizing the carry from X to Z. You're realizing the carry from 2020 Z to 2021 Z.
Like I said, probably not too big a deal for crude, but it is a big problem for other agricultural contracts where the carry from X to Z (or whatever) may not even have the same sign as the year-over-year carry!
Personally, I do not trade carry on agricultural contracts for this reason.
As a postscript to the PC buy or build I just priced up the equivalent system components and it was about 50 quid cheaper for self build. So probably not worth doing unless you can get a cheap second hand CPU; cheapest I could see on ebay would save another 60 quid (those Xeons wouldn't fit the mini itx sized motherboard I'd be using), which probably isn't worth the risk of getting a dud one.
Having said all that I still fancy the challenge...
GAT
Having said all that I still fancy the challenge...
GAT
Obviously I can't measure that unless I trade 2 years out, which maybe I should consider. But it's a good point.
GAT
Yep, for Xeons you'd need a proper motherboard, I personally have "Asus z10pe-d16 ws", but it seems like it's being discontinued (quite unfortunately, because I wanted to buy another one as a backup), so now I'd probably have to look at Supermicro, or maybe another Asus model, depending when (if) I need a replacement.. Also Xeons generally (not always, depending on what motherboard supports) need ECC memory, which is expensive, but again, there are used ebay\Aliexpress combos which come with ECC ram.. Admittedly I personally never bought RAM on ebay, only CPU, but a friend of mine did (actually, I think he even got it on AliExpress) and he is happy with it. Also ebay today isn't the wild west it was 15 years ago, there are customer protections, many-back guarantees and so on, so the chances of getting something that actually works or being able to return it are quite high..
However, depending on your software, desktop CPUs can even be a better choice than Xeon, because they can have higher frequencies on their 2-6 cores (I think up to 5.2Ghz), when Xeons only go up to 3.6GHz in turbo mode. So if your application is single-threaded, a modern desktop CPU is actually better.
Where Xeons shine is in the number of cores and the amount of supported RAM (you can have 1TB+, when with a desktop CPU it's no more than 128GB), and actually power-consumption, as they're targeted for data-centres, so if your application is parallel (or maybe the whole system consists of multiple apps like DB-server, + the main application) and utilizes lots of RAM, then Xeon would be a better option, but if the most resource-hungry app is single-threaded, then maybe some Core I9 would be better (apart from maybe the price and the fun of assembling a "real server" yourself
). Also with cases - yeah, my philosophy is the bigger the better, - easier to assemble, better air-flow for cooling..
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