Carry trading rule example
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This spreadsheet forms part of additional material for the following book:
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Systematic Trading: A unique new method for designing trading and investing systems
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Written by Robert Carver 2015 (www.systematictrading.com). Published by Harriman House. ISBN 978-0-85719-445-9
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This spreadsheet is copyrighted, Robert Carver, 2015; under the GNU General public license (http://www.gnu.org/licenses/gpl.html). You may copy the sheet; and modify it providing you follow the guidelines in the license. In particular this front cover sheet must remain intact and unchanged. It is provided for personal educational purposes only. No warranty is included or implied. Nothing in this spreadsheet constitutes investment advice.
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Sheet name: Carry trading rule example (Chapter seven)
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Instructions: This sheet illustrates how the Carry trading rule would have done in crude oil futures around the financial crisis. The data sheet shows the calculations, and you can see the relevant values plotted on the 'pictures' tab. For simplicity this calculation has been done with two fixed contracts. The results are different from those in chapter seven where I rolled on to different contracts over time. However the calculations are still valid. Optionally you can vary the lookback for price volatility calculation, and the forecast scalar.
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Front Cover
Data
Pictures