I'm not sure I'm understanding exactly what you mean. When you mention the 'allocation % in your factors', are you speaking of the entries of the...
I've considered using a rolling window, but it seems that one must be careful about recalibrating the cointegration vector too often or else the...
the latter - I have, for example, a strategy that was profitable in-sample, but fails out-of-sample. by 'fails', I mean that the amplitude of the...
hypothetically, the model trades 'at the close' because I'm only using daily close prices in my backtesting. in the future, my aim is focus on...
anyone else struggling with cointegration vectors that break down quickly in out-of-sample backtests? I'm currently backtesting a stat arb...
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