Search results

Hi all, I have created a github repo with a quick explanation of the idea and python and C# implementations: https://github.com/golforado/tracking-portfolio After reading Rob's post I thought I probably should try to pose the problem in a different way, but I think is similar enough to...

Hi Rob, Thank you (and Doug) for sharing the dynamic optimization post. It's really helpful as always. I had started to implement something very similar in my system inspired but the previous posts, but Doug was faster! However, instead using the greedy algorithm, I have modeled the...

Hi Rob, as I've already mentioned I'm a big fan! Thank you for all your work!!! I was testing the Handcrafting method vs what I'm currently using, and I think I've found a bug in candidates matrix method you used before. I know you don't use it anymore. It's at the end of the function...

Hi all, Incredible thread you have here! I have read most of it during the last days and it has been really helpful, thanks! I'm a huge fan of Rob's work since I read Systematic Trading 3 years ago. I was head of a Quantitative Trading desk in the Proprietary Trading division of a bank back...