I don't know about PE, but if you're fine with Shiller's CAPE you can get historical data for major countries for free.
IB added Nifty50 (USD) future on SGX https://www.interactivebrokers.ie/en/trading/nifty-50-index-futures.php
I do the same, but only on the short side. We are usually long only after a spike, where trend and carry signals turn positive: in those...
That also depends on what your signal for VIX future was. I'm talking about worst-case scenario where you have strong short signal and we have a...
I use a mix of short term and long term, but still find it dangerous to use it to scale vol futures. Based on my calculations, in the 6 trading...
That is true, but if you trade also carry and/or skew, vol futures usually have higher (absolute) scores than their underlying indices, at least...
+1. These would be useful additions
I live in Europe and I was able to successfully simulate trading right after I updated trading permissions, so it's probably a US citizen restriction.
https://www.interactivebrokers.com/en/general/about/mediaRelations/8-6-24.php Crude Palm Oil Futures (FCPO) and FTSE Bursa Malaysia KLCI Futures...
There's a CPLEX Optimization Studio Free Edition, even though it has limitations (1000 variables/ contraints)
Rob, I'm curious about your beta portfolio: why the large risk overweight to stocks vs bonds? Is it tactical or strategic?
Yes, now they added the NSE contract and it has data, but it looks like it can't be traded. I was wondering if it was just me, since a few months...
Hi. Are you guys able to trade the new NIFTY50 future contract on NSE? TWS raises a trading permission issue, but I already have trading...
Hi @cholo Would you mind sharing the python code with the buffering technique, when you find the time? I'd be interested in that. Thanks a lot.
Hi Rob, I was taking a look at your reports and saw you are currently long JPY. This was quite surprising, since I'd say all CTAs are currently...
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