yep... even in Jan PnL was bouncing around all over the shop.
I know it's an imperfect measure but have you measured what your daily VaR is and whether your observation in line? I have setup my system to...
77bps down for me overnight. It was a very volatile day though - at one stage before bed time I was up more than 1.5%. I am heavily long USD esp...
Done. Thanks.
That's really interesting - MATLAB is still popular in many older quant firms but their obscene pricing model means almost everyone is either...
There are many variations of what can be considered as a good approach. I use the big ideas from various places (I have Clenow's book as well and...
I used the full portfolio. In my view that was the 'optimal' positioning based on my latest (continuous) forecasts.
First post. I read both Systematic Trading & AFTS - Thanks so much to Rob for being so open and sharing all the insight. I built my own trend +...
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