Got it. What do you mean by robustness? It's probably possible to speed things up using Cython, but I reckon it's not worth it if you trade a...
It's a pain whenever the exchange changes the contract specs. Ideally IB should notify its clients trading this. Pysystemtrade is great and it's...
Hi GAT, I think you mentioned that you trade relative value. Could you explain how that works (if not proprietary)? Seems like a great addition...
Got it, thanks. Appreciate your insights, don't leave ET!
I meant that the VIX (spot) index is stronly mean-reverting. Is that a property that can be exploited trading futures?
GAT, any performance update scheduled? Eager to see how you've done year-to-date. Another question: it seems you're short VIX for its risk...
Best advice here: listen to GAT, everything he says makes sense. And he's a risk taker. His strategies run at 25% vol per annum (if I'm not...
Okay, thank you. Price data it is!
Understood, thanks.
That's a short summary after years of research, but all the more useful. I thought that FX and fixed income could perhaps be traded given the link...
I suspect that cross-sectional strategies and time-series strategies run at substantially different volatilities given same weights.
Is there information in low-frequency, supposedly lagging, macro data that can be exploited trading futures? Do you have ideas where to begin and...
And another one, fishing for your ideas: do you have a few pointers on how to design non-price, macro-based futures strategies? Thanks for your...
GAT, I've gone through your book and have a doubt. Weights are scaled to -20 : +20 for individual strategies, regardless of whether we are looking...
That Your book is on its way, just ordered. How do people typically break down performance into different signals? It's not trivial, as you also...
Understood, thanks. Adjusting the bootstrap this way makes sense, but is a bit ad hoc. Unless there is a way to get to the "overweight factor"....
Brilliant, thanks a lot. Don't understand everything, but don't want to run the risk of being ignored either, so I'll count my blessings . One...
Hi GAT, Thanks for sharing! Really like your insights: to the point, honest, useful and, often, very funny. Love those little footnotes with dry,...
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