I'm not there yet with confidence level. Since I'm typing, small update from me. I've just completed a big effort to add more markets, sort of...
I was checking out your strategy report Rob (https://github.com/robcarver17/reports/blob/master/Strategy_report) and I noticed that you don't...
Thinking about this some more, why is a bimodal distribution an issue? If we had a bimodal distribution, with peaks at, say, -5 and 5, would that...
Hey Rob, I was doing some digging into various rules and stumbled upon a weird thing. The raw and smoothed forecasts for breakout have interesting...
Have you lagged your equilibrium calculation? I've found that to be the big difference in results, I posted the details here...
(Edit time has passed for the above post, so making a new reply). I ran the entire optimization, and I get optimal positions as (0, 1, 3) for 5...
Also, regarding DO, I think there might be a minor bug in the book, in the example that walks through an iteration of the greedy algorithm. Page...
Thanks for the summary Rob! I see fast MR system mentioned, so wanted to see if anybody has success replicating that. I took a go a few months...
I’d be interested in this as well @cholo if you get a chance. Regarding positions, I use Rob’s DO, and similar capital and risk target, and...
I've been going thru Rob's new book, got to strategy 22 and I've now started to implement stuff from the beginning. Has anybody implemented basic...
Congrats on the book Rob! I just received my copy. We also got a shoutout in the acknowledgements section, thanks! So I see you left it on us to...
Thanks Rob! In that case, I'm lost :) I thought it would be passed in as `maximum_positions` argument to `objectiveFunctionForGreedy`, but I don't...
Right. I did find one thing a bit confusing though, you mentioned that those instruments that are too safe will still factor into the DO, and eg....
Hey folks, long time no type. Down 4% here over the last 3 days. In other news, here I was wondering how come Rob doesn't have more shorts in...
Hey folks, I've been running with fairly primitive execution algo since early August, and decided to take a look at how that's going, so sharing...
An update on this one. If this sounded too good to be true, it's because it is. TL;DR - seems like you can't get the snapshot data through the API...
Yeah, same, was also looking forward to that one. I think at some point on TTU podcast Rob mentioned the idea of trade netting and that that's how...
Almost exactly like Rob. HWM on 27th, now 7% DD. I run Rob's DO and similar capital, so that's somewhat expected, though much less markets.
Was just reading Kernfusions post from early August and thinking about trading without market data. I'm not sure how this wasn't brought up more...
Small update from me, August just closed as my best month so far, 8.3%. Mostly because of that "bug" I'm still looking for but can't find and a...
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