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Only if inflation is low GAT

No hedge versus stocks today or yesterday... I hit a HWM on Thursday night, but then gave back 1% yesterday and 4% so far today. Ouch. On the upside book is going well. As some of you may have seen on twitter, I found a fast mean reversion straegy (the logic of which I've touched on before eg...

I guess one way of ruling out (2) is if it's a 'slow' market when the price doesn't change very much. Have you tried Snap to Market? That's one I had considered myself for this scenario, as it automatically submits an order at the current best bid or offer without needing to know what that is...

Non linear relationship so maybe correlation not the most appropriate figure. EDIT except for short time frames then obviously linear approximation is fine GAT

Account still there I can see the numbers just not included on the leader board. I haven't asked them about it as it doesn't personally bother me. GAT

Wish I knew... mine is one of those accounts GAT

I'm on https://www.toptradersunplugged.com/podcasts/systematic-investor/ this Saturday. Any questions? Rob

8 years for this account CAGR 20.8% Dd 17.6% In line with backrest GAT

Looking at my list of minimum capital requried to trade everything (https://github.com/robcarver17/reports/blob/master/Minimum_capital_report) I'd personally want to have at least $500k in my account to (final row, column 6 is £400K), regardless of what the margin was, assuming that was the only...

Sorry for the late response, been on holiday and writing a very long blog post. What you would do is estimate the cash VAR of Crude oil. Let's use some up to date figures from here. I will also use a slightly different formula for risk scaling, which makes things easier to translate into VaR...

My guess is sector allocation. YTD I have lost money in the financial but gained in commodities. Rob

https://qoppac.blogspot.com/2022/04/trading-and-investing-performance-year.html Rob

I don't know about maximum mathematical, it will be close to infinity but the very best hit firms on the planet make about 75% a year, 0.3% a day...

"Why won't this dumb algo, designed by professional finance people tested on millions of data points, lend money to my home made amateur trading algo?" FWIW I have borrowed money from family members, but to only bridge real estate transactions over short well defined time periods. I've also...

Dear God no.... GAT

Would make sense in futures GAT

We used to wind up desk juniors by telling them to make sure they bought the VIX futures on a physically settled basis. If any of them asked, we said we stored the volatility we had been delivered in the basement. GAT

Standard position = 21.60 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 2242.05 Max position with leverage = 47.14 (47) = Max exposure / Notional per contract = 387387 /...

Note the maths in the original post was wrong, as it doesn't account for the risk target of 25%, plus if I use a 15% maximum concentration risk it should have been: "So for example if I take Heating oil, I think the current $ risk is $78K per contract, if I use 15% of $500k * 25% = $18.75k as...

.... This is also a much better way than emailing these reports to myself every day (starting to get spammy, although I will probably keep emailing a few key reports) or viewing the output files on my trading server (slightly more hassle to view them). Rob