Using Python and Pandas to Create Continuous Futures Contracts

Re:Using Python and Pandas to Create Continuous Futures Cont... by jstauth on Wednesday January 29, 2014 @09:47AM (#7144078)

Very cool. I have revisited the WTI/Brent spread trade a few times in the last few years - actually wrote a simple algo using Quandl data for USO and BNO, two ETFs linked to the WTI and Brent futures. I would love to update it to use this continuous futures contract logic and see how it does. https://www.quantopian.com/posts/brent-slash-wti-spread-fetc...

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Re:Using Python and Pandas to Create Continuous Futures Cont... by shogunmike on Wednesday January 29, 2014 @10:00AM (#7144168)

A nice algo with a good Sharpe. Although I'm not sure I could stomach a 37% drawdown!

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Re:Using Python and Pandas to Create Continuous Futures Cont... by jstauth on Wednesday January 29, 2014 @10:05AM (#7144201)

Thanks. The drawdown is not ready for prime time indeed, I haven't traded it for that (among other) reasons. But I like the idea a lot and the futures linked ETFs seemed like an easier place to start that the contracts themselves.

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Re:Using Python and Pandas to Create Continuous Futures Cont... by shogunmike on Wednesday January 29, 2014 @10:28AM (#7144361)

Futures linked ETFs in general are a great approach that have really helped "retail" traders get access to a previously difficult market.

Ernest Chan provides some good examples re GLD/GDX spreads, for instance.

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