CROC DELISTED. GLDUSD

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  • #83473
    bachacha
    Participant

    Hello everybody, I would like to ask what criteria we should follow in the GLDUSD strategy since the ETN CROC has been delisted. Although we all know that you can emulate the position with a double short position in USDAUD, the problem is that the calculations of the Sharpe ratio and the modified sharpe ratio for the ranking would not be correct since they were made with the CROC returns. any suggestion to follow?

    #83481

    I will look at this today
    Regards Frank

    #83493

    There is no replacement anymore for the 2xshort CROC ETF. Best is to sell 2x the value of the Fx AUDUSD or sell 2x the value of the FXA ETF. Selling the Fx AUDUSD would be the better solution.
    I will have to make some changes to this strategy.

    #83504
    bachacha
    Participant

    Thanks Frank, I also realized today using the Quantrader backtest that if you remove CROC from the strategy and still don’t replace it with any, the results are pretty much the same. Of course, a better solution from you would be more than welcome.

    #83515

    Here is a new version of the strategy with Fx instead of CROC. You can try it if you copy these 3 ini files in the Quanttrader ini folder.

    https://www.icloud.com/iclouddrive/071bwGkPWsHqMm8WaLYbvS7GA#GLD_leveraged_new

    #83524
    bachacha
    Participant

    Thank you Frank

    #83564
    hiker360
    Participant

    Can you please make this available to me as well? thx

    #83565

    Here is a QT version with updated strategies. We will use these versions by next month

    https://1drv.ms/u/s!AlbnOmAnxNETgYWrcXiobaAMur7cxAY?e=c1OLK4

    #83605
    hiker360
    Participant

    Thanks!

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