Comments (5)
robcarver17
commented on July 16, 2024
Removed from reconcile
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robcarver17
commented on July 16, 2024
I won't remove from slippage. Reason: this already contains a lot of instruments that are not actually traded.
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robcarver17
commented on July 16, 2024
I'm not seeing them in the strategy report at all?
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oldlore
commented on July 16, 2024
I think perhaps the changes you made fixed that already? I pulled up your strategy report from 7/6 and LUMBER and EDOLLAR are still there, for example, but not in your report from 7/10.
********************************************************************************
Strategy report for dynamic_TF_carry backtest timestamp 20230706_222536 produced at 2023-07-06 22:49:53.715762
********************************************************************************
==========================================================================================================================================================================================================================================================================================
Optimal positions
==========================================================================================================================================================================================================================================================================================
dont_trade reduce_only weight_per_contract position_limit_weight optimum_weight start_weight maximum_weight minimum_weight previous_weight optimised_weight optimal_position position_limit_contracts previous_position optimised_position
dynamic_TF_carry FED False True 0.86 0.00 -0.48 0.0 0.000000e+00 0.000000e+00 0.00 0.00 -0.55 999999999.0 0 0
dynamic_TF_carry US2 False False 0.44 0.00 -0.24 0.0 8.900000e-01 -8.900000e-01 0.00 0.00 -0.55 2.0 0 0
dynamic_TF_carry JGB False True 2.26 0.00 -0.18 0.0 0.000000e+00 0.000000e+00 0.00 0.00 -0.08 0.0 0 0
dynamic_TF_carry BB3M False True 0.52 0.00 -0.16 0.0 0.000000e+00 0.000000e+00 0.00 0.00 -0.30 999999999.0 0 0
dynamic_TF_carry US3 False False 0.45 -0.45 -0.15 0.0 9.100000e-01 -9.100000e-01 -0.45 -0.45 -0.33 2.0 -1 -1
dynamic_TF_carry EDOLLAR False True 0.53 0.00 -0.15 0.0 0.000000e+00 0.000000e+00 0.00 0.00 -0.29 0.0 0 0
dynamic_TF_carry SOFR False True 0.53 0.00 -0.14 0.0 0.000000e+00 0.000000e+00 0.00 0.00 -0.27 999999999.0 0 0
dynamic_TF_carry GBPEUR False False 0.30 0.00 -0.12 0.0 6.000000e-01 -6.000000e-01 0.00 0.00 -0.39 2.0 0 0
dynamic_TF_carry KR3 False True 0.17 0.00 -0.11 0.0 0.000000e+00 0.000000e+00 0.00 0.00 -0.63 6.0 0 0
dynamic_TF_carry TWD False True 0.21 0.00 -0.11 0.0 0.000000e+00 0.000000e+00 0.00 0.00 -0.52 999999999.0 0 0
dynamic_TF_carry GOLD_micro False False 0.04 0.00 -0.11 0.0 2.900000e-01 -2.900000e-01 0.00 0.00 -2.56 7.0 0 0
dynamic_TF_carry VIX False False 0.04 -0.04 -0.09 0.0 4.000000e-02 -4.000000e-02 -0.04 -0.04 -2.30 1.0 -1 -1
dynamic_TF_carry SHATZ False True 0.25 0.00 -0.09 0.0 0.000000e+00 0.000000e+00 0.00 0.00 -0.38 4.0 0 0
dynamic_TF_carry US5 False False 0.23 0.00 -0.09 0.0 7.000000e-01 -7.000000e-01 0.00 0.00 -0.37 3.0 0 0
dynamic_TF_carry V2X False False 0.00 0.00 -0.07 0.0 6.000000e-02 -6.000000e-02 0.00 0.00 -17.03 14.0 0 0
dynamic_TF_carry JPY False False 0.19 -0.38 -0.07 0.0 3.800000e-01 -3.800000e-01 -0.38 -0.38 -0.39 2.0 -2 -2
dynamic_TF_carry RUBBER False False 0.01 0.00 -0.06 0.0 1.440426e+07 -1.440426e+07 0.00 0.00 -4.35 999999999.0 0 0
dynamic_TF_carry EURCAD False True 0.30 0.00 -0.06 0.0 0.000000e+00 0.000000e+00 0.00 0.00 -0.19 999999999.0 0 0
dynamic_TF_carry ALUMINIUM False False 0.12 0.00 -0.06 0.0 1.200000e-01 -1.200000e-01 0.00 0.00 -0.55 1.0 0 0
dynamic_TF_carry CHF False False 0.31 -0.31 -0.06 0.0 3.100000e-01 -3.100000e-01 -0.31 -0.31 -0.19 1.0 -1 -1
dynamic_TF_carry VNKI False True 0.00 0.00 -0.06 0.0 0.000000e+00 0.000000e+00 0.00 0.00 -21.44 0.0 0 0
dynamic_TF_carry US10 False False 0.24 0.00 -0.05 0.0 4.900000e-01 -4.900000e-01 0.00 0.00 -0.21 2.0 0 0
dynamic_TF_carry KR10 False False 0.19 0.00 -0.05 0.0 5.600000e-01 -5.600000e-01 0.00 0.00 -0.29 3.0 0 0
dynamic_TF_carry KRWUSD_mini False False 0.04 0.00 -0.04 0.0 4.205890e+07 -4.205890e+07 0.00 0.00 -0.90 999999999.0 0 0
dynamic_TF_carry LUMBER-new False True 0.03 0.00 -0.04 0.0 0.000000e+00 0.000000e+00 0.00 0.00 -1.30 999999999.0 0 0
dynamic_TF_carry BOBL False False 0.27 0.00 -0.04 0.0 5.500000e-01 -5.500000e-01 0.00 0.00 -0.16 2.0 0 0
dynamic_TF_carry USIRS10 False False 0.24 0.00 -0.04 0.0 4.900000e-01 -4.900000e-01 0.00 0.00 -0.17 2.0 0 0
dynamic_TF_carry KRWUSD False True 0.21 0.00 -0.03 0.0 0.000000e+00 0.000000e+00 0.00 0.00 -0.13 0.0 0 0
dynamic_TF_carry LEANHOG False True 0.09 -0.09 -0.03 0.0 0.000000e+00 -9.000000e-02 -0.09 -0.09 -0.40 2.0 -1 -1
dynamic_TF_carry IRS False True 0.59 0.00 -0.03 0.0 0.000000e+00 0.000000e+00 0.00 0.00 -0.06 0.0 0 0
dynamic_TF_carry SEK False True 0.40 0.00 -0.03 0.0 0.000000e+00 0.000000e+00 0.00 0.00 -0.06 0.0 0 0
dynamic_TF_carry BONO False False 0.29 0.00 -0.03 0.0 2.900000e-01 -2.900000e-01 0.00 0.00 -0.11 1.0 0 0
dynamic_TF_carry MSCIASIA False False 0.13 0.00 -0.03 0.0 1.300000e-01 -1.300000e-01 0.00 0.00 -0.27 1.0 0 0
dynamic_TF_carry OATIES False True 0.05 0.00 -0.03 0.0 0.000000e+00 0.000000e+00 0.00 0.00 -0.66 1.0 0 0
dynamic_TF_carry EUR False True 0.30 0.00 -0.02 0.0 0.000000e+00 0.000000e+00 0.00 0.00 -0.07 1.0 0 0
dynamic_TF_carry SILVER False False 0.05 0.00 -0.02 0.0 1.500000e-01 -1.500000e-01 0.00 0.00 -0.31 3.0 0 0
dynamic_TF_carry EURAUD False True 0.30 0.00 -0.02 0.0 0.000000e+00 0.000000e+00 0.00 0.00 -0.08 999999999.0 0 0
dynamic_TF_carry US10U False False 0.26 0.00 -0.02 0.0 2.600000e-01 -2.600000e-01 0.00 0.00 -0.09 1.0 0 0
dynamic_TF_carry EUR_micro False False 0.03 0.00 -0.02 0.0 2.978739e+07 -2.978739e+07 0.00 0.00 -0.69 999999999.0 0 0
dynamic_TF_carry EURIBOR False True 0.57 0.00 -0.02 0.0 0.000000e+00 0.000000e+00 0.00 0.00 -0.04 0.0 0 0
dynamic_TF_carry BBCOMM False True 0.02 0.00 -0.02 0.0 0.000000e+00 0.000000e+00 0.00 0.00 -0.67 3.0 0 0
dynamic_TF_carry NIFTY False True 0.08 0.00 -0.02 0.0 0.000000e+00 0.000000e+00 0.00 0.00 -0.24 3.0 0 0
dynamic_TF_carry US20 False False 0.27 0.00 -0.02 0.0 2.700000e-01 -2.700000e-01 0.00 0.00 -0.06 1.0 0 0
dynamic_TF_carry COPPER False True 0.21 0.00 -0.02 0.0 0.000000e+00 0.000000e+00 0.00 0.00 -0.08 0.0 0 0
dynamic_TF_carry MILKWET False True 0.08 0.00 -0.02 0.0 0.000000e+00 0.000000e+00 0.00 0.00 -0.23 0.0 0 0
dynamic_TF_carry MILKDRY False True 0.11 0.00 -0.02 0.0 0.000000e+00 0.000000e+00 0.00 0.00 -0.16 0.0 0 0
dynamic_TF_carry AUD False False 0.15 0.00 -0.02 0.0 2.900000e-01 -2.900000e-01 0.00 0.00 -0.15 2.0 0 0
dynamic_TF_carry FEEDCOW False False 0.27 0.00 -0.01 0.0 2.700000e-01 -2.700000e-01 0.00 0.00 -0.03 1.0 0 0
dynamic_TF_carry FTSEVIET False True 0.02 0.00 -0.01 0.0 0.000000e+00 0.000000e+00 0.00 0.00 -0.48 999999999.0 0 0
dynamic_TF_carry LUMBER False True
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robcarver17
commented on July 16, 2024
Status report done. Finished.
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Related Issues (20)
- using current python (3.11) and current everything else is possible HOT 2
- span or com? HOT 1
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- Production Docs: FX data: Initialise the spot FX data in MongoDB from .csv files; error in repocsv_spotfx_prices.py HOT 1
- Euribor Data triggering weird results HOT 4
- Clean install, PyYAML 5.4 error HOT 2
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- Bunch of new markets added create error on whatif orders HOT 1
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- Installation problems HOT 1
- plan succession of ib_insync
- Non-monotonically increasing timestamp in spread data
- Initialize Capital Fails if __global_capital.parquet Doesn't Exist
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