I use the same weights as for everything else, because I'm not an overfitting monkey.... I don't use just momentum and carry, so a better way to...
That's relative momentum cross sectionally (and only in stocks FWIW). The OP is talking about absolute momentum (call it trend following if you...
Source?
No https://arxiv.org/pdf/2501.16772 "Across asset classes, we find that markets are in a trending regime on time scales that range from a few...
Coincidence, I didn't stop trading them because I am not a pussy. VIX is flat, but VSTOXX has a short -10 forecast so if I had the capital I would...
If you accuse me of in sample fitting on this thread again, you're out. Final warning :-)...
Awesome! Looks like it's Norgate. I'll definitely be PMing for you the script. Rob
Thanks Micro silver doesn't seem to be in psystemtrade. Rob
"you use the actual price of the contract to calculate position size and the back-adjusted price to calculate volatility." actually I do this with...
What is a 'good amount of time'? GAT
Yes I'm hearing good things about Norgate. I think Andreas (Clenow) uses them as well. The fact the data is held in a 'walled garden' on your...
I have a data query for the hive mind. For my next book I'm going to be running some simple backtests of stocks. Something like: - every year...
Linear interpolation would be acceptable assuming the current price is available (if not you shouldn't be trading). But obviously don't use that...
Thomas Peterffy comes round to your house with a baseball bat
Roughly although some of the details are different Rob
Yes but I have a comfortable margin. My bad p&l day would need to be down like 25% or something. Rob
Let's start from the beginning. Apologise if this is retreading ground you are familiar with, but I think it's required as you're clearly in a bit...
Thanks for this post, it prompted me to check on my cash balances and I was overdue some FX trading! Not sure - I don't own T-bills. I have a...
Yes Rob
Equities generally have smaller contract sizes, and more volatility so lower minimum capital. This obviously overcomes the diversification penalty...
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