globalarbtrader's Recent Activity

  1. globalarbtrader replied to the thread Fully automated futures trading.

    I don't store or use margin data GAT

    Jan 17, 2018 at 9:18 AM
  2. globalarbtrader replied to the thread Fully automated futures trading.

    Fixed and closed GAT

    Jan 15, 2018 at 11:45 AM
  3. globalarbtrader replied to the thread Fully automated futures trading.

    The chart isn't vol normalised: breakout had a higher allocation. But we're talking about two different things: the SR of a single...

    Jan 15, 2018 at 11:44 AM
  4. globalarbtrader replied to the thread Fully automated futures trading.

    This makes sense (to me at least) GAT

    Jan 15, 2018 at 11:43 AM
  5. globalarbtrader liked Xela's post in the thread Brokers that are doing badly.

    I'm guessing that the OP must be talking about spot forex (given where he's posted, and that this is kind of The Big Issue with spot...

    Jan 12, 2018 at 4:43 PM
  6. globalarbtrader replied to the thread Fully automated futures trading.

    I'd certainly only calculate carry on end of day prices, since these are synchronised, and having synchronised prices is essential. GAT

    Jan 11, 2018 at 11:11 AM
  7. globalarbtrader replied to the thread Fully automated futures trading.

    I just added this comment to that thread, as I've now re-read Lo's paper: "Incidentally you made a mistake with Los formula - you are...

    Jan 11, 2018 at 9:51 AM
  8. globalarbtrader replied to the thread Fully automated futures trading.

    IMHO with listed options you're not trying to do 'pricing model' arbitrage as you describe. Instead you're trying to better predict the...

    Jan 11, 2018 at 4:06 AM