Typo in definition of carry rule for futures in "Systematic Trading" book
A thousand apologies but the definition of the bring rule for futures in Appendix B of my book "Systematic Trading" is wrong.
This only applies to books printed earlier than November 2019. Newer copies have this mistake corrected.
On web page 287 of the print edition (Heading: The deliver buying and selling rule )
For 'Futures: If no longer buying and selling nearest contract'
Instead of Current contract price minus nearer contract price
It should read Nearer contract price minus current contract price
For 'Futures: If trading nearest settlement'
Instead of Next contract price minus current contract price
It should read Current contract price minus next contract price
The spreadsheet here become also wrong and is now corrected.
My python code become already correct; that is a relief as I use this rule in my own trading :-).
The figures and factors of the rule of thumb in bankruptcy seven are nice, as are the calculations for different asset training in Appendix B.
I'd want to thank the reader (Raphael C) who pointed this mistake out to me.
