New futures data and next-to-front contracts

news-quantiacs

Hello quants! We released 3 new assets you can use for developing your algorithms:

F_NH, the Nifty Futures. This contract is the most liquid contract in the Indian derivative markets and its underlying is the Nifty Index, the benchmark for the Indian stock market.
F_DE, the MSCI Emerging Markets Index Futures. The underlying index is the MSCI Emerging Markets Price Return Index denominated in USD.
F_QT, the Renminbi Futures, tracking the exchange rate between the Chinese Renminbi and the US Dollar.

In addition, so far we provided you with continuous contracts built using front contracts (those whose expiration date is the closest). Now we added next-to-front contracts and next-to-next-to-front contracts which can be loaded as follows:

data = qndata.futures.load_data(min_date="1900-01-01", offset=2)

With the choice offset=0, front contracts are loaded. With the choices offset=1 (offset=2) next-to-front contracts and next-to-next-to-front contracts are loaded.

As we focus on liquid assets, only front contracts are relevant for the contest, but contracts with other maturities can be used as indicators.

magenta.grimer

@news-quantiacs Fantastic news ! Might I ask you to clarify me some aspects of these new instruments and in general the contest / capital allocation?

So I wanted to ask....
Basically now we have like 30-40 futures (remember to update it with these new ones) https://quantiacs.com/documentation/en/user_guide/data.html#futures.
One can choose for every trading day for the future contest to allocate capital even to one only (for instance let's say the new F_NH) of the instruments, right?
Or can allocate to every one of them even on evenly, right? Maybe even longing some and shorting some on the same trading day, right?

So a good way to build a strategy should be using various of them every day, also as a way to lower volatility and increase sharpe VS SP 500, right?

But in theory I could code a strategy trading only the new F_NH or F_DE or whatever and win the future contest and get the allocation, right?

THNX

magenta.grimer

@magenta-grimer @support

support

@magenta-grimer Hello, we updated the documentation.

Now there are 78 futures contracts. Yes, we allow allocating to only 1 asset. If you trade more assets, then you can go long on some of them and short others.

Using more assets helps in increasing the Sharpe ratio, as the mean return grows linearly with the number of assets, and the volatility in the denominator with the square root of the number of assets if there are no correlation terms.

Using uncorrelated assets would then lead to a scaling of the Sharpe ratio with the square root of the number of assets. In practice, however, correlation terms are decreasing this growth.

Stated more simply, it is a good idea to avoid putting all your eggs in the same basket...