Fixed and closed
The chart isn't vol normalised: breakout had a higher allocation.
But we're talking about two different things: the SR of a single curve, and the...
This makes sense (to me at least)
I'd certainly only calculate carry on end of day prices, since these are synchronised, and having synchronised prices is essential.
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 using an...
IMHO with listed options you're not trying to do 'pricing model' arbitrage as you describe. Instead you're trying to better predict the path of...
It's the price IB provide with the historical data function set to get daily prices. I think it's settlement, but not sure.
Try updating now
In this case pooling probably isn't appropriate.
Yes, it's wrong to delete those 'in advance' and it will inflate your likely realised SR.
The optimiser will only downweight to zero if there is...
'Tweaks' is perhaps an underestimate; certainly the adaptations required would require a blog post to explain properly (I'll add it to my list...)...
Glad you enjoyed it. Not my video (recording of a live presentation at QuantCon, so owned my quantopian) so I can't do that. Also some...
I'd strongly suggest watching the video (the New York one is easier as the slides are visible), and watching it all the way through. Then if you...
Crikey - I don't have time to walk you through in this much detail.
Are you watching the video (here or here) or just looking at the slides?
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