I’ve been going through Andreas Clenow’s Trading Evolved book, which I do recommend if you’ve not already checked it out. Lots of interesting strategies, with full zipline implementations.
I’ve been trying to replicate the futures trend following strategy backtest using futures data from Norgate (with a view to applying to to CFDs). I chose Norgate over CSI (used in the book) since Norgate provide a very nice zipline integration library: zipline-norgatedata · PyPI
The trouble I’m having is that my backtest results don’t match up with the results in the book very well. For example. in the first month of the backtest Jan 2001 the book records -4.6%, whereas I see a loss of -1.4%. For 2002 the book records +18%, whereas I see just 1.8%.
The code and settings are identical (different pandas version, but I think it’s unlikely this would have a material impact).
Has anyone else read the book, and tried to reproduce the results?