You mean this: https://github.com/robcarver17/reports/blob/master/Static_selection_of_instruments Could do with an update, will do when I get...
Simplification The danger is if there is someone punting futures on a small account just trading a couple of markets with only enough cash for...
I think with more assets and not in a stylised example it's less likely that the first asset added will be the chunkiest position size (just...
I'm podcasting next week with @TopTradersLive Any questions ping them over to Neils at info@toptradersunplugged.com Don't forget to include your...
IBKR Rob
For those that aren't aware here is a list of all the instruments I collect data for:...
So I have this view that I've tried to articulate before that there are usually just a few big macro factors out there which our trend following...
I think what you are saying, you tofu eating DEI freak, is that your portfolio weighting to equities is too high? Rob
What a bunch of pussies. Unless your annual vol target is like 10% (in which case you're definitely pussies) you shouldn't be freaking out over...
Basically nothing... from fridays close I'm down maybe 0.20%, just noise. Rob
Email me at rob@systematicmoney.org Cheers Rob
I have used matlab in the past; it was the language AHLs equity market neutral strategy was originally developed in. Rob
Right, I have an announcement to make, and I'm also looking for a favour. The announcement is I've just signed a contract to write book #5. If...
Let's face it, it would be deeply ironic if I - a well known skeptic of AI and someone who thinks that Nvidia et al are massively richly...
-1% Sorry guys Rob
I often hold two contracts to smooth rolling (see AFTS 'tactics' chapters), but any more would make things too complicated from an infrastructure...
It would be an astonishing amount of work, and isn't even possible in many cases where there aren't liquid options markets. A fun thing to do is...
Thank you, that's kind Rob
This - diversification is the best risk management tool. Less polite response: I hope to god this isn't a discretionary limit, or you can get...
Yes this makes sense as the front has more roll down but also nastier skew which the roll down pays for and requires higher margin. Personally I...
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