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Simple Flexible calendar-spread trade with VIX & gas contracts
Peter Bakker
edited Jul 23, 2017
Portfolio Optimization Futures

(credits to Jeremy Muhia for the first version)

I took the algo from Jeremy and made it a bit more flexible (add more futures) and configurable and I added the optimizer. I have not tried all combo's but somehow Vix and Gas seem to work well together except for the terrible drawdown half way, but in general the algo is quite reliable and can be traded from 50K onwards... when futures are allowed for trading.

I also added the scalping in the last 15 minutes somebody found, but that is more a remnant of a trial

just add a future and a reprentattive etf to the list of futures in the list and it will be picked up:

continuous_future("HG", offset=0, roll="calendar", adjustment=None):symbol('JJC'),

Needs some dollar neutral and hedging and expansion of contracts to be suitable for the strict criteria of the contest.

Would love to see what you guys can add/expand

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