Hello Robert, Have you ever looked into Universa (Mark Spitznagel/Nassim Taleb) tail hedging fund? According to them you could beat the market by...
Thanks for the clarification. Have you considered that the seasonality patterns introduce increased turnover or is this something insignificant...
Pardon, is that for natural gas or crude oil?
It definitely has a seasonality pattern. Same goes for other commodities like grains. The problem is of course how to do carry trading, as per the...
How do you go about measuring carry for nat gas to generate the signal? As for crude oil, do you simply look at the difference between CLZ21 and...
Hello Robert, I've ran into some issues with regards to calculating carry. I'll try to show them with a couple of examples: WTI Crude Oil (CL)...
Hello Robert, Your forum username is "globalarbtrader". What does it mean? Do you do any sort of arbitrage trading? (statistical arbitrage perhaps?)
That's a double coincidence that you just gave me the link to the article that I was looking at today, because I remember reading it in the past...
Hello Robert, How would you go about adjusting returns for the costs? Suppose we have cost estimates in Sharpe ratio units "c" and returns series...
I've done the same with automatic clustering + improved interpolation technique: [ATTACH] The outcome was Sharpe ratio of 0.703. Basically the...
If all instruments are equal weighted, the following Sharpe ratios are achieved in the backtest: automated clustering 0.711 manual clustering...
Auto VS Manual clustering weightings turned out quite different. However when checking basic stats, I'm getting: auto clustering: mean = 5.6671...
Do you mean applying PCA to the correlation matrix? I did not do it. The clustering is hierarchical complete-linkage algorithm with max cluster...
Just did the first comparison: calculating weights (with diversification multipliers applied) for clustering generated by the algorithm...
Even with high correlations there is some, albeit very small, diversification advantage.
Yes, it's 90% intellectual curiosity and 10% need to construct a portfolio I could use in live trading. I'll do weightings of both clustering...
This is what I am looking at. If I run a clustering algorithm on pooled returns for rules, I get the following 9 clusters (3x3, I named the top...
They are not assets per se, but rule variations. If I recall correctly, they are ewmac 2x8, normalised momentum 2x8 and breakout 10. BTW I have...
Hello Robert, I've been looking at one particular example of correlations between 3 assets: 0.9976, 0.9417, 0.9333 (AB, AC, BC) A and B is...
With regards to 2 year rolling windows for correlation estimation, at first I looked at weighting the rules. I was looking at rolling 2 year...
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