Let's face it, it would be deeply ironic if I - a well known skeptic of AI and someone who thinks that Nvidia et al are massively richly...
-1% Sorry guys Rob
I often hold two contracts to smooth rolling (see AFTS 'tactics' chapters), but any more would make things too complicated from an infrastructure...
It would be an astonishing amount of work, and isn't even possible in many cases where there aren't liquid options markets. A fun thing to do is...
Thank you, that's kind Rob
This - diversification is the best risk management tool. Less polite response: I hope to god this isn't a discretionary limit, or you can get...
Yes this makes sense as the front has more roll down but also nastier skew which the roll down pays for and requires higher margin. Personally I...
The term structure might mean revert (which you'd profit from with a calendar spread trade), but there is a systematic bias towards an upward...
VIX generally goes down, because of the futures roll down. So it's great for trend following but mostly you are short GAT
https://github.com/robcarver17/reports/blob/master/Instrument_list Yes it's Rotterdam ICE It doesn't currently meet my minimum of 100 contracts...
A level shift in prices as done in Panama back adjustment should not affect the calculation of ema, or vol scaling if done in price difference...
I haven't done much this year, so this will be a post that is quite brief in terms of new stuff, and will be a bit of a copy / paste from last...
This is a known problem with German bund futures and a couple of other European ones. TLDR: the CTD changes every 6 months because of the auction...
I did. Can I give you some feedback? You're coming across as a bit of a pestering pain. Slack off. Rob
I will do, the podcast normally comes out on Sunday Rob
I'm appearing on TTU this week (recording on Thursday). Please send your questions to info@toptradersunplugged.com Rob
OK, and apologies if you think I am bullying you (but trust me - I do know about statistics), but consider the following two return streams: +1,...
I thought Z-score was just mean/standard deviation, and thus does not use autocorrelation, and thus can tell you nothing about when a loss is more...
I prefer to decompose into correlation and standard deviations, then shrink correlations but not std. dev., then recompose - standard deviations...
Any such service would basically be allowing you to break the law. You *might* be ok if you were managing the money for free - I would imagine a...
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