I do the two normal things: Forecasts do their thing, and obviously reduce a position if the forecast is weakening. If I loose money, I...
Don't jinx it! :) I've already given almost half of it back in the last couple of days (7.2% DD from HWM @ 25% vol).
Well I'm trying to build an HFT market making algo based on the paper here https://arxiv.org/pdf/1105.3115.pdf (using the results at the bottom of...
How? I think the issue might be related to this: https://en.wikipedia.org/wiki/Multi-armed_bandit
Yes exactly, but where you can only use live trading to inform you of the parameters. I'm conscious of using a naive method that may overfit. I...
@globalarbtrader is there a preferred method for learning parameters in an online fashion, where a backtest isn’t possible?
Isn’t that vol is the std deviation of returns? So for example, I expect a Sharpe of 0.8 on vol of 25%. So my expected 1std profit and loss for...
These stocks are more likely to have a drawdown when risk normalised, aren't they?
Is that a mathematical thing or a psychological thing? Would a regular coupon from your trading capital hamper you in the long term?
I've thought long and hard about this problem. Here's what I've tried: * @globalarbtrader 's method - bootstrap portfolio weights to optimise...
Hahaha I hope so! But I really think the backtests are flawed, or otherwise, a lot of the overall uptrend of crypto is leaking into the results....
Actually, the backtests are currently coming out with a Sharpe of 8, so I'm inclined to think there's something wrong with them. It's quite...
I think once you approach a Sharpe of ~1, there isn't much you can do to really improve things on a daily strategy (correct me if I'm wrong!),...
I think this chart could be easily misinterpreted. The performance is very strong for the first five years. Rebase the graph at 1990, what would...
It's not statistically significant. I also added the rule, and saw that there wasn't the statistical evidence to include it, so removed it. I did...
Seems sensible, good choice of instruments. For eurodollar, can I check you're trading many contracts away (I trade 900 days out)? and for v2tx,...
Definitely. What instruments are you trading?
Just those two. I got around 0.7 as well, with equal weights in the portfolio. Then I bootstrapped the portfolio to find better weights, and that...
I did some work on this. Two of the obvious options are: Mean reversion over shorter time scales. Trends tend to work on periods of more than a...
@globalarbtrader what are your thoughts on doing 'sell and hold' on VIX/VSTOXX, instead of EWMAC? This produces significantly higher Sharpe on...
Separate names with a comma.