oh yes there is
Optimal rounded seems to make sense, but personally I would want to investigate this in isolation before implementing it. Greedy search in both...
That doesn't count you need three physical versions if you are absolutely serious about trading, and you get a free kindle version with each...
Since most of your questions have been brilliantly answered by others I will limit myself to what new information I can add. 2. I am not sure...
As I've said I now use SNAP, and it will be interesting to see my execution figures for the last 12 months which I will get round to at some...
++1 for this. Circuit breakers are rare, and if you're trading slowly enough are irrelevant Rob
This is similar to what I do; pst has varous roll modes to support this: - passive as described above - actively closing the position in the...
There is no direct link, but sure it's likely if we get a +ve forecast in NKY then we're more likely to go long VIX/V2X Rob
I generate a signal on it, but don't actually trade it. The beauty of dynamic optimisation. Rob
I have nearly 200 instruments in my config. So the average weight per instrument is 0.5%. The 5% total weight to vol is therefore pretty over...
Why doesn't it seem right? In what why is it not aligned with my instrument weights? Rob
Because DO doesn't know about rolls; it deals in notional instruments not individual contracts, and it's making a decision about whether to trade...
1) What is a system? 2) I don't know Rob
No this is good. That's the point of DO - more positions when you can afford them Rob
As I said about 4 posts ago: Personally I think the absolute minimum account size to trade futures is probably around the 50k mark Rob
Now that looks like a very nice idea... I may well steal it. Rob
Former is for the correlation of substrategy returns, latter is the correlation of the underlying instrument returns. So the latter is more...
Personally I think the absolute minimum account size to trade futures is probably around the 50k mark; I can't remember if I use that or 100k in...
I've come to the same conclusion myself and at some point was going publish a mea culpa blog post, but it's hard to find time to do something...
Yes because there is overwhelming evidence that TF performance is mean reverting Rob (That was sarcasm by the way)
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