- 05/31/2022 at 4:26 pm #83473
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?06/01/2022 at 1:59 am #83481
I will look at this today
Regards Frank06/01/2022 at 11:23 am #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.06/01/2022 at 9:39 pm #83504
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.06/02/2022 at 10:54 am #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.06/03/2022 at 7:28 am #83524
Thank you Frank06/18/2022 at 8:42 am #83564hiker360Participant
Can you please make this available to me as well? thx06/20/2022 at 4:24 am #83565
Here is a QT version with updated strategies. We will use these versions by next month06/22/2022 at 7:41 am #83605hiker360Participant
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