I'm being lucky as well. My system is similar to Rob, but with just around 60 markets and less rules. My forecast and instrument weights are...
Hi all, Any of you know if it's possible to set some kind of limits in IB in order to make sure automatic executions don't do much damage if...
I think it's related to the vol attenuation and the carry. Rates volatility has increased a lot lately so vol atenuattion can be practically...
Hi all, was someone trading E-micro USD/JPY Futures? The IB symbol was MJY. It seems that it has vanished from IB few days ago! I see that there...
Exactly, I meant the one that accounts for the length of data history. I will try the previous version of the adjustment without the bootstrap to...
Hi GAT, I have a question regarding the adjustment you use to compute weights given different Sharpe ratios and correlation uncertainty. I...
I needed to address the problem in a slight different way so I could solve it with cvxpy. Actually the interpretation of the shadow cost changes....
Hi Rob, Have you tried this implementation with cvxpy? https://github.com/golforado/tracking-portfolio/blob/main/tracking_portfolio.py I didn't...
Hi all, I have created a github repo with a quick explanation of the idea and python and C# implementations:...
Hi Rob, Thank you (and Doug) for sharing the dynamic optimization post. It's really helpful as always. I had started to implement something very...
Hi Rob, as I've already mentioned I'm a big fan! Thank you for all your work!!! I was testing the Handcrafting method vs what I'm currently...
Hi all, Incredible thread you have here! I have read most of it during the last days and it has been really helpful, thanks! I'm a huge fan of...
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