For now - I am going to the use the total SR cost from here (thanks Rob!): https://github.com/robcarver17/reports/blob/master/Costs_report as a...
I feel your pain... I keep a chart on my desk of a certain trend following funds live performance from the mid 70s to the present time with all...
Looks like it's all a bit random with the IB Algo orders. I noticed Malay Palm Oil because it actually warns you. I dont have any data...
At least we are not alone... At a factor level, both carry and trend sucked so no place for me to hide. I went live 1 October 2024 and this move...
Also I hope you guys had a better Feb than me - I ended up with a nasty -9%. Lots of reversals - oj was particularly savage. By the end of the...
I would recommend holding off on adding ATW. I did a test single contract trade on it yesterday using IBs adaptive algo and got a terrible fill. I...
Adding the buffer or any notion of portfolio distance from optimal to trigger a rebalance will help
As someone wise once said "no solutions, only tradeoffs"
That sounds fair. I guess you can always come up with examples where substitutability of instruments in the risk space does not agree with...
Some Dynamic Optimisation observations... Assume you have just 2 very similar assets: Sp500 & Nasdaq, with optimal weight say 22.3% and 11%. Both...
Very interesting. Thanks!
Thanks for sharing this!
Sorry - yes IBKR shows me lower volumes as well. I dont have a proper data subscription on IB though, but by the looks of it the avg volume for...
This makes sense - just because you have 10x the equities relative to bonds doesn't mean you should have 10x the risk in that group. But.... while...
This is what I am using in UA: [ATTACH]
Sorry for my non standard nomenclature - by C1 contract I mean the nearest/most liquid contract i.e. the one you trade. That would be the march...
Thanks. This is so helpful. I haven't got any trades on at the moment on this but CSI tells me the avg C1 contract volume now is ~200+ Yes - I...
I spent the last week retooling my database. I finally took the plunge and bought a NUC PC (ewww) so that I can switch to CSI UA - so I now have a...
100%. So many ways for equity like risk to creep in from other assets - FX Carry, Short VIX etc. FX trend right now looks just like a carry...
A related question you could ask yourself is - if this were true why isn't your portfolio construction/risk framework picking this up? Do you...
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