Recent content by jordanchan934

Hello GAT, I was wondering how you determine in IB if a market is closed? What specific things do you look for. For example when I query the BBO for a closed market it gives me negative prices. Is this consistent for a closed market? Is it a reliable?

Can you elaborate on how you do relative carry?

Question for carry: Why are you using 30 for forecast scalar? Wouldn't it be better to determine this via rolling window?

I thought I'd provide some more pictures with their underlying forecasts. I agree that forecast should be proportion to its risk contribution but only after a certain point. Before that point it should be risk reducing if the correlation of the underlying market is negative compared to the rest...

Thanks so much Rob for the detail answer. Another following up question I would like to ask is risk management in trend following. Do you or any big firms look at risk contribution as a risk measure? For example something that I look at in my portfolio is the risk contribution of an asset group...

Thanks for the reply. You mentioned in your profile that you mainly focused on fundamental strategies during your tenor at AHL. How do these strategies usually work (ie what variables do they look at)? There's a lot more about price based systematic trading compared to fundamental based macro...

You mentioned you own cash equities too and trade that with a hedge on? How are you trading stocks? Value related? I'd love to hear how you (would?) approach equities in general as big CTAs like Winton are running some sort of value momentum strategy. The last time I did some research, stocks...