There is no direct link, but sure it's likely if we get a +ve forecast in NKY then we're more likely to go long VIX/V2X Rob
I generate a signal on it, but don't actually trade it. The beauty of dynamic optimisation. Rob
I have nearly 200 instruments in my config. So the average weight per instrument is 0.5%. The 5% total weight to vol is therefore pretty over...
Why doesn't it seem right? In what why is it not aligned with my instrument weights? Rob
Because DO doesn't know about rolls; it deals in notional instruments not individual contracts, and it's making a decision about whether to trade...
1) What is a system? 2) I don't know Rob
No this is good. That's the point of DO - more positions when you can afford them Rob
As I said about 4 posts ago: Personally I think the absolute minimum account size to trade futures is probably around the 50k mark Rob
Now that looks like a very nice idea... I may well steal it. Rob
Former is for the correlation of substrategy returns, latter is the correlation of the underlying instrument returns. So the latter is more...
Personally I think the absolute minimum account size to trade futures is probably around the 50k mark; I can't remember if I use that or 100k in...
I've come to the same conclusion myself and at some point was going publish a mea culpa blog post, but it's hard to find time to do something...
Yes because there is overwhelming evidence that TF performance is mean reverting Rob (That was sarcasm by the way)
Yes, as discussed in smart portfolios
1) Huh? 2) It's in the 55%, and it's about half of it. Rob
The theoretical optimal weight on the futures trading is probably somewhere between 50% and 75%, so yes if I didn't have these other issues I...
OK to be clear it's currently 40% and used to be significantly less. I've covered some of these reasons before, but: Having 80% of my wealth in...
er ... that's literally what I'm doing?
So this time, just for kicks, I fitted everything on a per asset class basis. One of the main reasons is that my fitting just broke with all the...
That's very fair; in fact it's only this year that I've trusted the fully automated fitting enough to use it, before I was manually handcrafting....
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