You contribute yourself quite a bit, so here you go. Inverse of your covariance matrix times the vector of expected returns. That’ll give you the...
You’re fast! Pretty cool stuff.
GAT, I’d like to compliment you. The current situation in global markets is volatile and a lot of stuff is happening on a daily basis. There are...
Makes sense. On the clearing smoke: so you see anything particularly interesting to buy in the current environment. The time seems right to buy...
Hi Rob, I love the stuff you’re doing and sharing. Now that you’re getting less dividends your futures trading ATM is paying out, you gotta ‘love...
Thanks - interesting!
I’m intrigued by the ‘quirks in the SET50’ comment. What does this mean?
Yes - this could possibly guide the execution decision. In one-tick markets it might make sense to take liquidity. But looks like you have...
I’m still thinking about this... My original example was a market with a 2 tick bid-ask spread. It seems that this changes when the bid-ask is 1...
‘my slippage cost would have doubled’ - can I check my intuition? Suppose the market is 99-101 (ie, mid of 100) and you want to buy. You queue at...
A ‘spread combo order’ sounds like a ‘synthetic’ spread that still trades two individual legs. In most markets, calendar spreads actively trade,...
This is good news for us in ‘the community’, and I look very much forward to updates or anything you’re willing to share. I’m especially curious...
Is this futures-only, GAT? I think -4% YTD is actually ‘good’ - most trend followers are substantially below that. On statistical significance: I...
Interesting phenomenon, tx for explaining, although I’m surprised by the fact that ‘everyone is rolling short’ as futures are in zero net supply....
Yes, bid-ask is what I meant. On fair value: even if you think that the current contract you’re exiting is ‘too cheap’, the next contract you’ll...
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