Thanks, that is reasonable, I suspected you would recommend that. Maybe grouping instruments into synthetic vs non-synthetic and imposing...
GAT, in your system how would you allocate instrument weights if your position in one instrument was dependant on your position on another? For...
Why do you think Winton has very low skewness compared to other CTAs? Too much carry?
Hey there.. I was looking at your code and I have a question about what's in this yaml file. At the very bottom, you define what looks like some...
Thanks, I like your approach, makes a lot of sense. You let the correlation benefit decide the asset class sharpe. One final question: would you...
Thanks, the last method makes sense. It would require a two step optimization process, first to calculate instrument weights within an asset...
GAT, just looking at your code, I am trying to understand how one could go about applying risk limits to various asset classes. your code applies...
This is interesting. Do you think there are more trend following opportunities in the faster / intraday space, or would you consider employing a...
Thanks for the prompt reply. I think I get what you mean. Choosing which trading rules to include is your decision, optimizer decides the...
Hi GAT, i was looking at one of the earlier posts on this thread and it looks like you allocate more to the breakout system than the traditional...
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