No expert, but this is the way I see it. The following should be obvious:
Negative correlation is GREAT if you're running a long only strategy,...
Correct. Could do it on a rolling basis of course
Of some relevance to discussions about performance expectations, todays blog post...
1) In theory yes, but you'd need to write your own code to do it. Adding it to the package is on my (long) to do list
2) No, they are used even...
Well carry for a start
In futures momentum seems to stop working for holding periods of less than a couple of weeks.
I'm currently working on code for all this stuff, hopefully will commit soon.
The roll would mean you would consistently lose money
No, a bad use of time IMHO. I'd be surprised if you could get significantly better out of sample performance from the ragtag bunch of simple trend...
Yes a geeky point here is that because this thing will always blow up the expected final wealth is always zero and Kelly optimal bet size is also...
A good reason to trade further out on the curve for the cold futures and eurodollar is that the changes in vol are much smaller
Which language is this?
Other people have done this but I've never thought it worth the effort myself.
It's nowhere near as bad as CHFEUR... if you look at the daily volatility of CHFEUR during the pegged period (ATR around 0.001 per day); and then...
It's a fair point, but I then I guess if you want to carry on doing the trade afterwards you are a bit stuck, unless there is an endless supply of...
Winton risk target is famously low; around 10% target and 8% realised. They cut it in 2008; basically shat themselves in the turmoil, regardless...
There is nothing wrong, in principal, with consistently selling vol* to capture the roll - if you are aware of the risks and manage them. The...
I don't have the diagnostics to easily check, but my weights for SP500 are:
The system took them off.
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