Small short in oil and portfolio up 5% today. Crisis alpha? I am not celebrating because it is tiny consolation for the real crisis.
I am not setting any of the weights manually. Only algorithmically redistributing extreme weights if they crop up.
I had the same situation in my own backtester where cost filtering was giving extreme weights to certain rules for instruments which could not be...
Weirdly, I am also long 7 cts in MXP, and therefore truly fearless. I am also in 4.5% drawdown (6.5 pct if you exclude the discretionary...
sorry... do you mean vega as opposed to gamma? Market has only gone one way.
Also flat but I cheated :). If I hadn't put on a discretionary trade of a structured short (futures plus options) around the time the market was...
You are right. NG and WTI are actually very different markets for a number of reasons. Not least because NG supply is landlocked via domestic...
So this raises another question. Which Star Wars character would you trust most with your money? Yoda is clearly high on the list (Jabba and Han...
This is the sort of scientific analysis I was fishing for. I hadn't quite equated the 'risk of disappointment' with the 1 - edge of the system,...
I am mulling over the following decision. I want to increase the capital allocated to my system and had planned to do that this year around now...
CORRECTION. Belatedly just checked again and my gross from Jul 1 19 - Dec 31 19 was more modest 7% (I thought I started mid year when in fact I...
I had to really bite my tongue to stop myself from posting 'lets not jinx it' :). I guess I am still superstitious (and like mixed metaphors). Is...
Looks quite diversified to me but there is a big lean towards agris, although I don't know the weights. Also out of GAT's biggest performers last...
For me BTP was also the standout (~5% for 1/2 year). Lots of little contributions elsewhere (I couldn't trade palladium as instrument was too...
Actually nor me (contributed 6.5 bps)
Hey no, despite it being an excellent option, I didn't. I am very poor at reading other people's code so I wrote my own which actually took me...
OK well I think I have the same vol target (25%) but I won't gloat as you would be the first to point out that 6 months proves nothing :) and half...
This is an awesome result GAT, congrats!. I went live middle of last year and achieved +12% gross (10% net - not annualised - I have expensive...
-2sd day for me
Hi Gat, I don’t know if you have explored this in the past but it should possible for you to run a paper and live gateway with the help of IBC as...
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