System position is calculated from formula in book, instrument weight being one of the variables.
It's primarily because of volatility...
I checked intermediate stages for JPY and realised a couple of things:
There isn't carry data at the beginning so forecast weight is set to 0 for...
does anyone know why actual positions are really wild at the beginning of historical period? (See JPY below)
I wouldn't want to hold 100...
I'm wondering about 2 issues in bootstrapping forecast weights using chapter15.futuresestimateconfig.yaml
1. carry weight seems to be...
Thanks for sharing your thoughts, very interesting style you have
What is your profit factor?
How can your stop loss be so tight when you are...
Isn't the SPY one of the most efficient instruments? How do you handle the situation when a big player suddenly shows up and moves the market in...
Can you show one chart example, it will be much clearer that way
Hi GAT and all other fellow traders,
say we want to estimate the 1 month volatility ahead, a good method will be to use the implied vol of traded...
Why choose only metals? I think based on your methods, other markets are also tradeable
Bitcoin has a lot of good applications for its tech. you have to look deeper
Do you trade based on fundamentals or use price trends?
What is statistically based momentum?
Is it smart contracts with oracles?
How do we invest in you?
Can you roughly describe your source of alpha?
Does your strategy go short GBTC?
Does your strat use order book data?
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