Recent content by rbrtdr

Hi Rob, I have a question on pysystemtrade and pairs trading. I would like to trade pairs within the same asset class using z-scores and percentile rank as a signal. Is there a way to use the same rule structure to define the pairs and call the rule using the same logic you've devised for all...

Hi Rob, Thanks for all your great work. What are your thoughts on using hybrid optimisation methods and mixing handcrafting (old style) with your new way of clustering? I mean that since correlation matrices are noisy, clustering is not always superior to naïve allocation methods (1/N, for...