"think you can squeeze a lot more out of mean reversion trades by anchoring on to some fundamental that is relevant to the price in that...
We're perfectly capable of asking chat-gpt this question ourselves if we wanted to. And for something that will change post training set (both...
No you don't do any of this. You don't multiply any prices by anything when backadjusting. I have no idea why you would do this? I have never said...
I avoid the contracts that change multiplier; but if I didn't then I'd just put the current multiplier in as a fixed number and then change it...
... and surely there must be another blogpost due: https://qoppac.blogspot.com/2025/03/very-slow-mean-reversion-and-some.html Rob
As requested, Updated: https://github.com/robcarver17/reports/blob/master/Static_selection_of_instruments Perforrmance:...
First, that's the variance of the estimate not the std. deviation. You need to square root it. The footnote says that. Second, N and SR need to...
You mean this: https://github.com/robcarver17/reports/blob/master/Static_selection_of_instruments Could do with an update, will do when I get...
Simplification The danger is if there is someone punting futures on a small account just trading a couple of markets with only enough cash for...
I think with more assets and not in a stylised example it's less likely that the first asset added will be the chunkiest position size (just...
I'm podcasting next week with @TopTradersLive Any questions ping them over to Neils at info@toptradersunplugged.com Don't forget to include your...
IBKR Rob
For those that aren't aware here is a list of all the instruments I collect data for:...
So I have this view that I've tried to articulate before that there are usually just a few big macro factors out there which our trend following...
I think what you are saying, you tofu eating DEI freak, is that your portfolio weighting to equities is too high? Rob
What a bunch of pussies. Unless your annual vol target is like 10% (in which case you're definitely pussies) you shouldn't be freaking out over...
Basically nothing... from fridays close I'm down maybe 0.20%, just noise. Rob
Email me at rob@systematicmoney.org Cheers Rob
I have used matlab in the past; it was the language AHLs equity market neutral strategy was originally developed in. Rob
Right, I have an announcement to make, and I'm also looking for a favour. The announcement is I've just signed a contract to write book #5. If...
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