Yes this makes sense as the front has more roll down but also nastier skew which the roll down pays for and requires higher margin. Personally I...
The term structure might mean revert (which you'd profit from with a calendar spread trade), but there is a systematic bias towards an upward...
VIX generally goes down, because of the futures roll down. So it's great for trend following but mostly you are short GAT
https://github.com/robcarver17/reports/blob/master/Instrument_list Yes it's Rotterdam ICE It doesn't currently meet my minimum of 100 contracts...
A level shift in prices as done in Panama back adjustment should not affect the calculation of ema, or vol scaling if done in price difference...
I haven't done much this year, so this will be a post that is quite brief in terms of new stuff, and will be a bit of a copy / paste from last...
This is a known problem with German bund futures and a couple of other European ones. TLDR: the CTD changes every 6 months because of the auction...
I did. Can I give you some feedback? You're coming across as a bit of a pestering pain. Slack off. Rob
I will do, the podcast normally comes out on Sunday Rob
I'm appearing on TTU this week (recording on Thursday). Please send your questions to info@toptradersunplugged.com Rob
OK, and apologies if you think I am bullying you (but trust me - I do know about statistics), but consider the following two return streams: +1,...
I thought Z-score was just mean/standard deviation, and thus does not use autocorrelation, and thus can tell you nothing about when a loss is more...
I prefer to decompose into correlation and standard deviations, then shrink correlations but not std. dev., then recompose - standard deviations...
Any such service would basically be allowing you to break the law. You *might* be ok if you were managing the money for free - I would imagine a...
Relax, as long as: - they aren't a massive part of your portfolio OR - you have loads of them and they are relatively uncorrelated (central limit...
That isn't how I think of the IDM cap, for me it's a limit on peak leverage. (You could argue this is better dealt with by the dynamic leverage...
Pure slavery: hah, it is tedious yes, but on the upside you only have to do it once. No you can't trade INR FX which means you can't trade the...
I don't allow negative correlations when computing IDM. My IDM in production is 3.0 which is capped, but in practice it's probably 3.5 without the...
OK I just got this (no email interestingly, but alert when i logged in). So it's universal and probably IB driven. Rob
I am on TTU this week, please send questions today to info@toptradersunplugged.com Please send loads - otherwise I have no idea what I can...
Separate names with a comma.