The term structure might mean revert (which you'd profit from with a calendar spread trade), but there is a systematic bias towards an upward...
VIX generally goes down, because of the futures roll down. So it's great for trend following but mostly you are short GAT
https://github.com/robcarver17/reports/blob/master/Instrument_list Yes it's Rotterdam ICE It doesn't currently meet my minimum of 100 contracts...
A level shift in prices as done in Panama back adjustment should not affect the calculation of ema, or vol scaling if done in price difference...
I haven't done much this year, so this will be a post that is quite brief in terms of new stuff, and will be a bit of a copy / paste from last...
This is a known problem with German bund futures and a couple of other European ones. TLDR: the CTD changes every 6 months because of the auction...
I did. Can I give you some feedback? You're coming across as a bit of a pestering pain. Slack off. Rob
I will do, the podcast normally comes out on Sunday Rob
I'm appearing on TTU this week (recording on Thursday). Please send your questions to info@toptradersunplugged.com Rob
OK, and apologies if you think I am bullying you (but trust me - I do know about statistics), but consider the following two return streams: +1,...
I thought Z-score was just mean/standard deviation, and thus does not use autocorrelation, and thus can tell you nothing about when a loss is more...
I prefer to decompose into correlation and standard deviations, then shrink correlations but not std. dev., then recompose - standard deviations...
Any such service would basically be allowing you to break the law. You *might* be ok if you were managing the money for free - I would imagine a...
Relax, as long as: - they aren't a massive part of your portfolio OR - you have loads of them and they are relatively uncorrelated (central limit...
That isn't how I think of the IDM cap, for me it's a limit on peak leverage. (You could argue this is better dealt with by the dynamic leverage...
Pure slavery: hah, it is tedious yes, but on the upside you only have to do it once. No you can't trade INR FX which means you can't trade the...
I don't allow negative correlations when computing IDM. My IDM in production is 3.0 which is capped, but in practice it's probably 3.5 without the...
OK I just got this (no email interestingly, but alert when i logged in). So it's universal and probably IB driven. Rob
I am on TTU this week, please send questions today to info@toptradersunplugged.com Please send loads - otherwise I have no idea what I can...
Are you EU, UK or US based? There is a MFID regulation around automated trading, it's been around for a few years but I guess they are enforcing...
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