Not so fast Tom, there are in fact a couple of qualifiers. I see now why we have been reaching different conclusions … I have been comparing ATR...
Well I agree that they’re both very straightforward formulae, but I don’t see why that negates any profitability. That said, I definitely need to...
Yes indeed … fair evidence that for your specific market in that particular time frame, ATR and SD do line up. And there are also many times for...
Yes I agree, of course … but in this instance I’m not testing/training anything. The point of the chart was simply to illustrate that contrary to...
Not too sure about the above comments … here’s the S&P 500 over the last several months using a 100 day lookback for both measures … [ATTACH]
Well as expected there’s been a wide variety of opinions as to the merits or otherwise of IB’s Exposure Fee. As the OP perhaps I can summarize...
Yes Tim I agree, there are always two sides … however I’m not sure what else I can add to my experience … feel free to ask further questions if...
This post concerns Interactive Broker’s Exposure Fee as it applies to clients holding positions in equity index futures … eg. E Mini S&P, EURO...
Ahhhh of course. Now re-reading your original question … …you are absolutely correct, my research proves nothing of the kind … my bad.
That wouldn’t be difficult to test and is certainly worth considering. In fact I currently do something similar with a volatility measure that I...
So you mean, using the above testing portfolio and just simply go long all markets with a negative skew and vv? Sure, I guess you could do that...
Yes I also like the diversification plus of this strategy but losing money for more than 30 years … that’s a bit of an ask for me Interesting, I...
Actually sorry to say it’s simply the former … not so careful :sneaky: Based on the disparity in results between the two strategies it seemed...
Bang on … longer-term trend following does indeed suffer from some big down days despite a positive skew when viewing monthly returns and as GAT...
Thanks I appreciate that. As to why I arrived at such a different outcome from the referenced research paper, I’ve already hinted at a few...
Results time … Below is a chart from the authors’ research showing the performance of their Skewness portfolio vs a few other commodity...
The final issue I have prior to carrying out the back-test is one that applies to any rotational strategy … how frequently should we rebalance?...
A number of the commodities included in the testing portfolio don’t have an active underlying options market so I’ll be using historical...
Another important point that I think needs to be addressed correctly is the allocation of capital made to each commodity. The paper says … “The...
The next potential issue I have concerns the construction of the return series used in calculating the skewness of each market. The authors...
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