Search results

And the winner of the most technical first post on ET goes to... Seriously, no idea. Hope someone else can help though. I wonder if stackexchange might help if not. GAT

I remember doing this calculation recently, and the commissions are so tiny that except for a very small amount of money held over a very short period of time it's always worth converting. GAT

Thanks. I love the "Thirty years..." quote. GAT

Yes to negative balance. Yes to interest. Is this better than converting? It depends on future FX movements, relative interest rates, and the spread charged. Personally, if it was me, I'd do the conversion. GAT [Not an IB rep. Do they exist on here? If you want an answer from IB, probably...

Extremely horrific negative skew. And in general, I like to use the second contract if it's liquid, so I can use the correct formula f(second - first) to calculate carry. GAT

There have been other charts, though I think the last one was in April 2017. I'll try and post one at the weekend GAT

No. You must never trade the front contract for a vol index. The carry of bonds is discussed a few messages ago in this thread. GAT

Making some money GAT

You're welcome GAT

Here are some ideas, from easy to hard: Putting a floor on volatility estimations (to stop too much leverage being piled on when vol gets unusually low). Worrying about correlation shocks (what is my risk if all correlations go to +1 or -1 in the wrong direction?) Putting a ceiling on...

Those are all excellent ideas. You are on exactly the right track. GAT

Actually it doesn't make any difference which method you use: you end up with the same result (I've checked it- in my previous job we had to use peak to valley on certain guaranteed products). I think we can agree that any such method will (but might not) reduce drawdown but always at the cost...

You aren't missing something and you haven't done anything wrong. Although if you're interested the effect is caused by the issuance of new bonds and the change of the CTD, not the interest payments (the 'clean' pricing of bonds removes this effect from the futures price). This is a real...

This doesn't work https://qoppac.blogspot.co.uk/2015/11/random-data-evaluating-trading-equity.html GAT

I used to work for a large CTA, AHL, so I might be able to help. The stats sound plausible (such a refreshing change on ET). What's your target annualised volatility? Looking at your drawdown you should probably cut the risk by one third, or one half, to get something more in line with typical...

I was once asked this question by Rob Engle (sorry for the econometrician name dropping) a few years ago. My short and pithy answer was "It's the wrong kind of volatility". True story. More seriously: 'it depends what you mean by volatility'. Markets can zig zag or trend, and they can have high...

Five people - read the story. "They would not be closing it if it were profitable." Not necessarily. Businesses often close things that are doing just fine if they have strategic reasons for focusing on other things. It's an incubator. Wouldn't have had any outside investment. GAT...

Yes the name the publisher has made me use is much snappier than that. GAT

The one who understands the Kelly criteria. GAT

Systematic Trading is my first book. The second book, if it was a textbook, would be called "Heuristic methods for portfolio optimisation in the presence of uncertainty and costs". But apparently that wasn't snappy enough... It's more long only investment than trading. And out later this year...