Oh no, not another python backtester...

AvantGarde said:
I see, thanks GAT. With respect to the 'delayfill=True' function, does this only apply to accounting (e.g., 'system.accounts.portfolio(delayfill=False)' ) and not position generation with the 'system.accounts.get_buffered_position(instrument, roundpositions=True)' method, or does the 'delayfill' feature not affect the get_buffered_position feature?
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No positions aren't delayed, only inside the accounting function (otherwise it would be confusing with a risk of delaying things twice)

GAT
 
Hi GAT,
How does pysystemtrade treat the carry system when there is no recent price for the carry contract? I see in the historical data that sometimes there is gaps in the data for carry contracts (e.g., when you only trade particular annual contracts and the next carry contract is too far how to have liquidity)?
Thanks!
 
AvantGarde said:
Hi GAT,
How does pysystemtrade treat the carry system when there is no recent price for the carry contract? I see in the historical data that sometimes there is gaps in the data for carry contracts (e.g., when you only trade particular annual contracts and the next carry contract is too far how to have liquidity)?
Thanks!
More...

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 I forward fill the forecast values. It's important not to do this too early or it will throw off things like calculating the standard deviation of forecasts for scaling purposes.

Hope that makes sense

GAT
 
Hi GAT, Why do the returns and metrics in pysystemtrade change so markedly if you change the base currency? Shouldn't the returns be similar for various currencies given they are mostly USD instruments and most of the account stays in cash? The vol is often much lower than target vol when using non-USD currency balances. How do you grapple with this?
 
AvantGarde said:
Hi GAT, Why do the returns and metrics in pysystemtrade change so markedly if you change the base currency? Shouldn't the returns be similar for various currencies given they are mostly USD instruments and most of the account stays in cash? The vol is often much lower than target vol when using non-USD currency balances. How do you grapple with this?
More...

I'm surprised to be honest. I've opened a ticket on this, and I'll look at it when I get a chance https://github.com/robcarver17/pysystemtrade/issues/37

GAT
 
Hi GAT, just wondering if there is potential for adding stops into pysystemtrade? I am considering adding a mean reversion system but want to add some conditions to exit if a position moves too far against me.
 
AvantGarde said:
Hi GAT, just wondering if there is potential for adding stops into pysystemtrade? I am considering adding a mean reversion system but want to add some conditions to exit if a position moves too far against me.
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Yes I'll add them at some point, for exactly that (a mean reversion system).

I need to think about the most elegant way of doing it plus I am full speed on book writing right now so it will be a few months before I get a chance to do any python again

GAT
 
Hi GAT, thanks for releasing pysystemtrade to the great unwashed. finding it
very educational.

I'm trying to recreate the included data. The file EDOLLAR_price.csv currently
has a last entry of "2016-07-08,98.9725" I understand that we are looking at
around 40 months out on the curve so i would expect the contract to be one of
201906, 201909, 2019012

Looking at Quandl CME data 201906 gives last price on our date of 2016-07-08
201906 98.98. But where does the price actually come from? is it your last
sampled price from IB?

I'm begining to create my own Panama adjusted price series and am using the
included price csv's as reference.

Any tips and pointers for this process? Would it be possible to give the
contracts which forms each of the price series files?

When reconstructing the carry files should I be rolling them on volume for the
carry contract or price contract? This sould be easier to check as I have the
source contracts in the file by construction.

Kind regards,
D
 
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