No good point in that case you should use a % difference. Best compromise is to measure the 10 year vol as a % then convert it into a $...
https://qoppac.blogspot.com/2023/02/percentage-or-price-differences-when.html Don't use % vol Rob
No I use the same method from strat 6 onwards; the cost for each contract traded adjusted for the change in price return vol between now and back...
Ok that would probably work, I guess the advantage of placing the initial bracket order is you'll effectively react quicker if the horizon is...
Yes that would work, but what if you didn't get filled and then price moved to a level where you'd be better off using the other price to generate...
https://github.com/robcarver17/pysystemtrade/blob/develop/sysquant/estimators/forecast_scalar.py
Multiplied by IDM
Partly IDM, but I'd have to look into the code more deeply to give you a full answer (in practice it's pretty meaningless to look at portfolio...
one instrument: traded contracts / average position (position with forecast of +10) multiple insturments: average or weighted average of turnover...
None of this use fixed capital
New tagline for my tombstone: Everything with fixed capital makes sense
No this is all with fixed capital so the returns are unaffected Rob
I've read this twice and I think I'm describing exactly the same method with slightly different words? Rob
I use the same weights as for everything else, because I'm not an overfitting monkey.... I don't use just momentum and carry, so a better way to...
That's relative momentum cross sectionally (and only in stocks FWIW). The OP is talking about absolute momentum (call it trend following if you...
Source?
No https://arxiv.org/pdf/2501.16772 "Across asset classes, we find that markets are in a trending regime on time scales that range from a few...
Coincidence, I didn't stop trading them because I am not a pussy. VIX is flat, but VSTOXX has a short -10 forecast so if I had the capital I would...
If you accuse me of in sample fitting on this thread again, you're out. Final warning :-)...
Awesome! Looks like it's Norgate. I'll definitely be PMing for you the script. Rob
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