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On the face of it this sort of pure arbitrage should be impossible, but it might make sense if for example you can do a trade that others can't because of constraints. With that in mind, let's run the numbers. VXX is invested in the first two months of VIX futures, with some kind of gradual...

They are both actually special cases of the more general case. If the lines overlap, then b=1 If a ratio line reverts, then b=ratio Rob

I don't recognise eithier of those definitions. The first isn't bad, but the second is completely wrong. Correlation is a measure of contemporaneous linear co movement. If two things are positively correlated, then yes they will tend to move in the same direction. But we normally talk about the...

When you've read those, read Ernie Chan's books. Rob

Do a scatter plot over a longer time period (the website seems to be using like 30 observations, which is ridiculously tiny. This is quite a large and complex subject. You're going to need to do some reading. The ultimate work A bit lighter Rob

No, lower p-value is better. Also VIXY/SPY is a poor choice of pairing, since their relationship is likely to be non linear. GAT

Google cointegration and VAR models with drift GAT

There's been discussion about trying to interpret the output of the dynamic optimisation. I've done a quick and dirty graphical report that for me at least helps with the intuition: https://github.com/robcarver17/reports/blob/master/Dynamic_Optimisation_Graphical.pdf Rob

I just did a report from 1st April (since I haven't made any serious changes) https://photos.app.goo.gl/RzTuwxLh5n873YVPA ******************************************************************************** Trades report report produced on 13/09/2022 08:57 from 01/04/2022 00:00 to 13/09/2022...

Blimey. Have you tried other solutions? I use vnc. Otherwise I guess a different distribution? Rob

A month is hard to draw any conclusions as you say, but I haven't personally noticed anything. Rob

That's actually pretty cool - makes you feel like a major player, doesn't it? I've never had one of those, but I do remember when I was working in hedge funds buying a reasonable whack of a bond ETF for my personal account; think it might have been 100 grand worth. Anyway it turns out this ETF...

Now fixed. Here's a correlation matrix without shrinkage ============================================================================================================== Correlations...

https://jpm.pm-research.com/

I guess so, although fundseeder stopped me from sharing the performance details, which was daft because it was free publicity for them. I guess their compliance person got stressed out. The whole project seems to be moribund now anyway, the site still runs but nothing else happens. Well for a...

Let me ask a different question. To anyone who reads *my* books, and is reading this thread, why should you believe anything *I* say, given I have no verifiable trading track record? Rob

I count 3 books on trading: Following the trend Stocks on the move Trading evolved (Plus one fiction book) What are the 5 books you are seeing??? He hasn't written that many articles. Bearing in mind he's a low frequency systematic trader, he has plenty of free time Rob

3 books is tons? I wouldn't trust that trend following works just because one guy has made money doing it. That's a sample of one. Insufficient data. Rob

I also sell books to the public. You can verify my background quite easily. But you can't verify my performance. Does that matter? It is clearly better if someone has proper financial experience with serious firms, something most dodgy gurus don't have. But ultimately the tone and quality of...

No, but this is true for many people, they work for closed funds or run a sub funds, but they're still bona fide. A quick Google shows that Andreas is clearly not one of those dodgy 'Trading gurus' that don't actually make money as professional traders or fund managers. Also his work is...