The way I remember this post's conclusion is that basically throwing all instruments with all the rules into the DO and letting it automatically...
I've been thinking, so when some rules are too expensive to trade for an instrument, we assign 0 weight to those rules for that instrument, and if...
https://www.cmegroup.com/markets/interest-rates/us-treasury/3-year-us-treasury-note.calendar.html I'm not trading this one, but on CME it says...
I finally tried the 70\30 volatility estimation in my system (only took me a couple years :) ) [ATTACH] [ATTACH] These are 'Australian Dollar...
yeah, that's probably the best, but it will require more changes in my system, so at first I'll just try it with my current execution algo, but...
I'm thinking to try this (backtest\paper first) with my regular execution algo (i.e. without limit orders).. The weird part about my system is...
no, no emails, but will check..
Great stuff, I'm still being lazy about it :) Have you tried backtesting it at all to see how it behaved historically ?
Hi Rob, Sorry, I actually meant "smallest" in this sentence: "We want the "smallest" instruments to be able to trade as many of them as we can to...
After finishing the latest book, I still can't get the Fast mean reversion (or the safer 'buy the dip') out of my head (thoughts of enormous...
Thanks Rob, I already tried to run a backtest with this way of shrinking and the negative variances went away and the performance didn't suffer...
So I added some logging and yeah, I do get quite a lot of these negative variances.. I want to try to shrink my correlation matrix, but I don't...
I'm not using pandas, (just a matrix multiplication library for C#), but I have a check in my code before taking square root of portfolio variance...
possibly, but we still need to use spread for estimating costs so the relative instrument cost differences will remain the same..
I was thinking.. DO takes costs into accountant therefore will probably never actually trade expensive contracts, even if they have great trends,...
Seems I'm always starting the sad conversation :), but did we just loose some money? I'm down about 5.5% in the last week or so (lost on UB, SEK,...
Found it in the original source :) Instrument value volatility: The expected daily standard deviation of returns of owning one instrument block,...
If for each instrument I multiply it's current RawUnroundedTargetPosition by it's InstrumentValueVolatility will I get a value comparable across...
yep, around the same time for me, from March 9 to 13 it dropped quite a bit (~10% ?) and since then no major action, maybe +2%..
For me the situation is not as good - in a drawdown since last October, and not much movement in general since March, a bit up\a bit down.. but...
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