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Great kit! I am particularly envious you managed to get hold of R2D2's holoprojector....

Yup - I got exactly the same response. I guess there must be a lot of frustrated traders. I am not pushing it too hard, because I have perhaps misplaced confidence it will be resolved but clearly not in the timeframe we would all prefer.

Just had a response back saying the issue will be ‘resolved soon’. Let’s hope for the best!

Yup getting the same message, 'Commodity segment does not exist' after migration to IE. I am curious if others whi have been migrated to Luxembourg or Hungary are also facing the same issue or is it an Ireland specific problem?

Don't know if this website sheds any further light. On the one hand it talks about pooling of ETFs through nominee accounts but also about segregation of client assets. I guess I will have to start another Q&A thread with IB and plan to report back once I have further answers (hopefully this...

FWIW, if the accounts are linked you can use the NAVs from both accounts to determine the available capital without having to touch the vol target.

Ahh, I see. My understanding is slightly different. I have been under the impression to use your example, that although your ETF will be segregated from IB's own assets it will nevertheless be pooled with other clients' assets. In the event of default, you would only receive a prorata share of...

Thanks GAT, I agree IB going bust would be a major event. However if protection is available and the costs are reasonable (the second if is a big if of course these days) I believe it is still worth securing some of it. IB failure shouldn't after all impact repayments from sovereign borrowers...

I must admit I have never truly grasped the nature of credit risk at IB and how to manage it best. From the somewhat opaque responses I have received from their support desk, I reached the tentative conclusion that securities which sit in a margin account can be lent out by IB. Therefore any...

Happy New Year, all! Not as snappy as others to report, as my performance module needed a bit of work before I could be confident of my 2020 numbers, but here they are: TR: 27.79 ann_realised_vol: 14.22 annSR: 1.94 longest_drawdown_(yrs): 0.4 worstdrawdown: 11.03 calmar: 2.5...

Co-incidentally I have backtested trading the second dec for the oil market mainly because I was trying to find a way to mitigate the effects of the vol curve in oil futures. Since WTI Dec 1 yr out typically has a lower vol than 1st or 2nd nearby, the volscalar goes up with time and the optimal...

Usually I spend those days googling alternatives to IB. This reminds me of the bygone days when BT was a monopoly and phone lines would take three months to get fixed, because frankly the choice was between a phone line in three months or no phone at all.

A book on ETF/Factor investing for dummies will probably sell the most I think. I wouldn't read it myself, as you set a high bar with your first book (would definitely read the Talebian style treatise on uncertainty - but that was of course not your question :)). I would probably buy it to help...

My read is that it is a binary switch on long only portfolios. Would be interesting to see if it works on long/short portfolios given that its main goal is to reduce drawdowns when markets are falling, and a long/short approach tries to makes money by being short in a falling market so I wonder...

Sorry, just to be clear, are you saying that you can carry forward losses For 4 years even if you are subject to income tax and not cgt on your trading?

Thanks. I may attempt to code something up when I get time but it looks a bit more involved at first glance. The attraction of Garch is the relative ease with which you can estimate params using MLE.

So rough 'n ready results where perfect foresight is simply a shift function on ewm volframe. This suggests that vol forecasting may be not hopeless after all. SRs are lookbacks from today. My interpretation is there must be a forecasting sweet spot or local maximum for a given portfolio based...

I read this very good post by GAT with interest. Fwiw, I have tried playing with GARCH(1, 1), which was mentioned in the post, and had a similar (if not identical outcome). The vol forecasting (using full out of sample testing) improved (I used equally weighted vol 25 days forward as the test...

Great TTU episode! Thanks for airing this question, GAT. A quick follow-up: During your answer, you mentioned you allocate only 25% of your investable capital to TF. Did you mean the TF strategies in your futures system has a 25% of your capital allocated to them or does the 25% represent the...

So here is one, which I am not sure you have previously encountered during your stints on TTU, but it has been a hot topic on TTU in the past. One or two of the previous hosts have often argued that institutional investors should allocate a much higher percentage of their assets to TF. If memory...