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Dunn capital uses VAR risk metrics to scale in and out of position. If you think of it, the expectation of whether a commodity or indices will go up or down is based a continuous distribution. Hence it will be more optimal to have dynamic position sizing that correspond to forecast or...

AQR wrote a paper on it

Systemize your trading

Use Kolmogorov–Smirnov test

@globalarbtrader yes I saw that on Fundseeder too and joked to my friend that he could be from Ren Tech haha

Argh. I never figured out IB controller. But logging in just once a week to restart my IB gateway seem to deter me from figuring IBC out.

Wow this is such an efficient use of capital.

I believe it's a headless set up. He probably just need to SSH in.

I backtest using python. And fully automated the execution too using the tech stack IB gateway - Python - Ubuntu. Just read up anything written by Robert Carver and Ernest Chan and you will uncover gems along the way. Have fun.

Short VIX when at contango (90+% of time) and long vix at backwardation. Can do a simple comparison of spot vs future. Or do a regression across the futures to get the slope. Long svxy and Long vxx more efficient because you can avoid borrowing fee. But match the leverage in position sizing. I...

You can easily do a backtest. Point of entry when vix structure flips, there's still some room to run. Most of the time, you should short vix instead. Such a strategy would bring you Sharpe of 0.9 with 0 correlation to broad markets.

Buy only when term structure flips

Is 50-100 million risk capital (net liquidation value) or underlying asset value?

And leveraged trading too. Which is easier to comprehend and internalise.

Wealth compounds I guess which results in widening gap

Automated trading probably have higher average but lower spread/variance in results relative to discretionary trading (not talking about chart reading day traders). In discretionary trading, you can create and execute trade plans with outsized profits potential (talking about hundred to few...

I sold 2 puts at the lowest price level just for fun. With the implied vol at 400%, thought there's some margin of safety there. Betting on theta and vega decay.

@HobbyTrading

It doesn't matter if you are not not buying futures. The futures market is not predictive for spot prices. I suggest that you look up investopedia or some other places to understand how futures work.

I'm sure all the statistical arbitrage (I presume? Mix of interday and intraday) stuff you are doing is not trivial either - mathematically, programming wise.