Sounds reasonable I guess (btw I think it's a given that costs should be calculated to trade from the current to the proposed portfolio, not from...
Here's my Cocoa: Price with 2 trades, in and out: [ATTACH] PnL over this period: [ATTACH] forecasts (red line is combined) and volatility, yes,...
You do eventually receive all the prices after 15 minutes, so I guess if you want to analyze your slippage from the historical data you can still...
Snap Mid allows you to place a mid-price order without knowing the current bid and ask (when you don't pay for the real-time data and only know...
I'm not bothering with simultaneous leg-execution, the only thing I enforce when rolling is that I first close the old leg before placing order on...
1. isn't it only for stocks? anyway, I never bothered with that (maybe unwisely?) 2. I think pysystemtrade's roll calendar is a good start, but...
I use forecast grouping from the Rob's last book, 60\40 divergent\convergent, then mostly equal weights within them, although I think I gave skew...
IB has data quality issues (-1, 0, incorrect prices, it's been mentioned here before), not too often, and I think mostly temporary, i.e. IB will...
I think with handcrafting the top level weight allocation shouldn't really be 1\n, exactly because some groups have too few instruments in them...
I used to run full DO on every tick on ~100 instrument portfolio, but my server was choking on that and I didn't feel like upgrading it for really...
Our tracking errors could be different because mine is "daily" and maybe yours is "annual", I feed daily standard deviations into the...
hmm, interesting.. I reran my backtest, there was a small error, but the result didn't change much, still the number of trades and margin\notional...
Btw, how do you calculate tracking error in percentage? I normally calculate tracking error in currency, e.g. an actual value could be 1,077$, how...
Also, it seems that my margin usage and net exposure went up somewhat (I'll double check it just in case..): original DO with starting zero...
I've just ran a quick backtest where DO starts with the ideal rounded positions instead of zeros, the PnL and Sharpe stayed roughly the same, but...
I'm also trading this one, but never had an actual position in it, probably that's why IB didn't send me this email, thanks for sharing!
So what logic is currently included into the automatic rule-weight calculation, apart from dropping expensive rules? In the Strategy report...
Here it is, some weights are 0, or set to 'don't trade' for various reasons, e.g. repeating instruments with different multipliers.. There's...
The last couple of months were good for me too, not at HWM yet, but if things go the same way for a couple more months I might be..
Intuitively, though, it still seems strange that we're considering trading costs if we're not actually doing any trading with those very expensive...
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