@globalarbtrader Have spent the past two weeks trying to replicate all of the signals from AFTS. Am struggling with a few of the signals and was...
I was working on some relative momentum rules (defined simply as the difference in forecast vs. asset class median); and noticed that some of the...
One quick follow up question. If AFTS you estimate vol using a 0.3 weight on 10 year vol. Do you still use $ differences for the 10 year vol...
Much appreciate the quick reply. I think I misunderstood what was written in AFTS. Will take a closer look at the post and fix accodingly.
Quick question regarding vol scaling when prices are very close to zero. The isssue is that volatility expressed in % leads to huge notional...
In my static system, (per Rob's work https://qoppac.blogspot.com/2016/03/diversification-and-small-account-size.html) I have a rough heuristic to...
I'm guessing your filter to exclude instruments with low volatility and/or high trading costs lead to the exclusion of the shorter term bond...
Thanks for updating this. I'm (almost exactly) at the $250000 system level, and it is interesting to see how the systematic selection compares to...
Fair points. I guess what I am looking for is a rule of thumb about adding more contracts. In the past that rule has been: If I can hold two...
Hi @globalarbtrader, just finished listening to your excellent interview on (https://thealgorithmicadvantage.com/podcast/033-rob-carver/). Lots of...
Any obvious downsides to create a ladder along the term structure? I do this (for instruments that have several liquid contracts) when holding...
Had a question/looking for help regrading an issue I am having. I'm running a non-dynamically optimized system. As a robustness check I keep...
After a few weeks of reading, made it through the whole thread (what a resource); on top of my reading of AFTS (and halfway through Systematic...
Not sure if this is a private message or public. But per your post about instrument weights I have a kinda hacked together way to give more weight...
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