Dunn capital uses VAR risk metrics to scale in and out of position. If you think of it, the expectation of whether a commodity or indices will go...
AQR wrote a paper on it
Systemize your trading
Use Kolmogorov–Smirnov test
@globalarbtrader yes I saw that on Fundseeder too and joked to my friend that he could be from Ren Tech haha
Argh. I never figured out IB controller. But logging in just once a week to restart my IB gateway seem to deter me from figuring IBC out.
Wow this is such an efficient use of capital.
I believe it's a headless set up. He probably just need to SSH in.
I backtest using python. And fully automated the execution too using the tech stack IB gateway - Python - Ubuntu. Just read up anything written...
Short VIX when at contango (90+% of time) and long vix at backwardation. Can do a simple comparison of spot vs future. Or do a regression across...
You can easily do a backtest. Point of entry when vix structure flips, there's still some room to run. Most of the time, you should short vix...
Buy only when term structure flips
Is 50-100 million risk capital (net liquidation value) or underlying asset value?
And leveraged trading too. Which is easier to comprehend and internalise.
Wealth compounds I guess which results in widening gap
Automated trading probably have higher average but lower spread/variance in results relative to discretionary trading (not talking about chart...
I sold 2 puts at the lowest price level just for fun. With the implied vol at 400%, thought there's some margin of safety there. Betting on theta...
@HobbyTrading
It doesn't matter if you are not not buying futures. The futures market is not predictive for spot prices. I suggest that you look up investopedia...
I'm sure all the statistical arbitrage (I presume? Mix of interday and intraday) stuff you are doing is not trivial either - mathematically,...
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