Recent content by stt

That's a very good argument. With more data you certainly have to put more time in making sure it is clean/accurate/adjusted etc. I guess if the extra data gives you benefit in overall sharpe/reducing drawdown etc, some may argue it is worth spending that time (or paying someone else to do it)...

True. position sizing based on equity value (kelly's way) reduces the need. and in theory makes it impossible to go bust (asymptotically goes to 0 but never 0). Thanks for the insight into margin needs. One more question - since you are doing it outside large organization, what data sources are...

Thanks a lot for this. It gives a good idea on what margin (and thus capital requirements) one can expect. if max DD is 25% and margin requirement is 20-50%, this still gives 25% extra cash in the account. Have a good day!!

Hi globalarbtrader, nice thread and blog. I found your blog last week and this thread now. i have CTA experience (similar to yours). I have a question about the margin you need to post to run your strategies.. what percentage of the account value gets tied up in margin (range). if you are...