@globalarbtrader Hi Rob, in AFTS Strat 9, to calculate FDM, you are using the correlation matrix derived using capped forecasts, right?
https://qoppac.blogspot.com/2016/05/optimising-weights-with-costs.html I found the post here but the associated file is missing on github...
I completely understand you have other priorities, and I appreciate you taking the time to answer all the questions in this thread. :) No, costs...
Also block bootstrapping will be done on the substrategy returns and not the asset returns since substrategy returns are themselves like assets in...
@globalarbtrader Hi Rob, I came across https://qoppac.blogspot.com/2015/10/a-little-demonstration-of-portfolio.html and...
@globalarbtrader In AFTS Strategy 5 you subtract costs adjusted for volatility ratio whenever we change the position. Do you follow the same...
@globalarbtrader For Strategy 7, to dynamically estimate forecast scalar, we will create a dataframe indexed by dates and columns will be...
So basically for all the strategies in the book, we run them on an individual instrument, get the turnover and then the portfolio turnover for...
Why for Strategy 4 in the book,turnover of jumbo portfolio 10 times the median instrument if portfolio turnover is average of turnovers of...
@globalarbtrader How do you calculate portfolio turnover? Total number of traded contracts across all instruments/Total Quantity HELD yesterday...
One follow up question, In the backtest, at any point if equity becomes less than starting equity, then for sub strategy returns calculation and...
Got it thanks! Everything with fixed capital makes sense! Thanks!.
My confusion comes from the returns that will be calculated. So in the first example(4 separate backtest for 4 symbols) let's say we do those 4...
@globalarbtrader Hi Rob, I have a question regarding IDM and Weights in Chapter 4 of AFTS. From Appendix B - Use weekly returns for the...
For strategy 3, for the blended volatility estimate, for the first 10 years, do you use in sample fitted estimate for the entire dataset? Or...
Have you seen this? https://firstratedata.com/
@globalarbtrader Hi Rob, In AFTS Strategy 2 and strategy 3, you use the actual price of the contract to calculate position size and the...
Let's say we have OHLC prices of all contracts throughout history. How should we adjust Open,High,Low? One easy way I followed is to apply the...
Thank you Sir.
I shouldn't care about the historic position sizes being wrong? You mean this only right? Well, in the contracts I am allowed to trade legally...
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