I realized that when the difference between optimized-integer and current portfolios is only 1 contract (in some or all instruments) and...
I've been running Dynamic Optimization in Paper for a couple of weeks now and it seems to working fine, not trading too much, not crashing. CPU...
Recovered a bit on Saturday evening but now it's even more down than Friday
Maybe it's the dynamic optimization at work? My losses are also larger, in both prod and paper(where I have 2x more instruments), in prod maybe...
ohh, another one of these ouchy days :(
Awesome! :) So in the end you just used Shadow cost 250 and Buffer size 0.0125 based on common sense, checked that the results weren't crazy...
I finally implemented cost penalty and reran the backtest: with shadow-cost parameter adjusted to the same number of trades as the original...
I was finally able to run a backtest of my system with dynamic optimization, I haven't implemented any cost correction yet, and yeah, I can see a...
yeah, checked pandas does and it does seem that way: "return a.cov(b, **kwargs) / (a.std(**kwargs) * b.std(**kwargs))". This seems like a lot of...
This makes sense, but I still didn't get whether we should apply exp weighting to returns or correlations or both. And when calculating each new...
I see, but after you've applied the exponential weighting to the 5 years of weekly returns, do you calculate Pearson correlation on all the...
Just to confirm: in your correlation configuration you have these settings: using_exponent: True date_method: "expanding" rollyears: 20...
A C# solver is something I would be very interested in :) ., but your C# solution does depend on CPLEX right? I checked it out, seems like a...
I see., yeah, this dynamic optimization really seems like a great thing. Need to start implementing it in my system.. and onboarding new...
Listened to the last TTU, interesting stuff as usual, but regarding limiting any single position to 100% of the system's base-capital by the...
Oh, right, now I see that the variable is actually called "covariance_matrix_as_np" not "correlation_matrix_as_np" as I for some reason thought -...
So in this code: [ATTACH] The variables "weights" and "weights_optimal_as_np" also contain instrument standard deviations not just portfolio...
Actually I just realized, normally to calculate portfolio volatility we also need volatilities of each instrument, but in your optimization you're...
This is really cool, thanks Rob, I thought you gave up on the idea, but I guess the researcher's curiosity took over :) So as I understand,...
Aaaand now it's back to normal :)
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