GAT , out of curiosity , how's the equities LS part of your portfolio ? (I'm an EM equities LS guy ) Thanks !
It's not exactly the same time period but over the last 6 months I'm up 6% overall of which around 10% is equities plus hedge. GAT
Sorry for the lack of updates recently. Trying to get redraft my second book is taking up a lot of time. Anyway if you're based in London and free tommorrow I'm doing this panel discussion: http://www.meetup.com/London-Systematic-Traders/events/235411047/
Only in as much as I use Kelly, i.e. scale my positions according to my account size. So position size is proportional to (max capital at risk - drawdown) GAT
I'm just doing the last bit now, connecting the whole lot to IB. Thanks so much for all of this, I've learnt so much from you, and genuinely enjoyed every minute of it. I have a few q's: Do you make use of IB's streaming data? My current working plan was to calculate positions based on Quandl data and just perform executions on IB. (tbc). Despite the fact that IB is 'realtime', I assume you run your scripts periodically, perhaps daily. How often do you schedule recalculation of desired positions? What time do you schedule orders, relative to trading hours? You mentioned on your blog that you manage the equities/hedges systematically; can you elaborate?