I trade KOSPI but uk based Rob
What are the AUMs? 6bp is not really here or there. GAT
I think this is the key point. I'm biased in favour of futures, and have had the bad experience of trying to shoehorn ETFs (and individual stocks)...
This isn't completely stupid - depending on the reasons for trading ETFs. 1- Can't trade futures? Then ETF's might make sense. The universe will...
I trade with a continous forecast rather than discrete positions with a stop loss. That means I would automatically reverse the trade when the...
Not neccessarily wrong, but you are making unfounded speculation without empirical evidence... Rob
What does volume have to do with the profitability of this specific strategy? Rob
Why is it weird? Out of 100 or so futures tested, not all will be profitable. Rob
In theory this would be better (minimal loss from not diversifiying across countries versus factor exposure return pickup) but I doubt the slight...
Graphs here answer your question for SR https://qoppac.blogspot.com/2023/03/i-got-more-than-99-instruments-in-my.html (they're for trend following...
With a large and interesting enough set of assets like my portfolio of futures, you don't really get much of a departure from 1/n with clustering,...
I don't actually use % of instrument returns when calculating returns; I only mention them in the book as some people prefer to use them when...
Seems like a stack exchange issue since it's clearly a debugger config that is at fault (I assume that if you run it without the breakpoints it...
Do you have a link? Rob
No it should be shift(1) Not quite. Unadjusted prices are a series of futures prices without accounting for carry. Not the same as spot prices...
Sure, could be current_price.shift(1) It's because we're trading futures which we have to roll. Reread the whole of chapter one, carefully. No...
Not specifically Rob
Why? I wouldn't find it interesting at all. Rob
Originally I hadn't really thought about doing a year end post for once (as you will see, I haven't really done much of interest), but I've been...
Hi this is quite a nice idea and along the lines I had been considering - but the genuinely novel idea you have come up with is allowing the DO to...
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