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Which language is this? GAT

Other people have done this but I've never thought it worth the effort myself. GAT

It's nowhere near as bad as CHFEUR... if you look at the daily volatility of CHFEUR during the pegged period (ATR around 0.001 per day); and then look at the move that occured when the depeg occured (0.2), the ratio was something like 2000:1. In comparision for VIX the ratio was more like 50:1...

It's a fair point, but I then I guess if you want to carry on doing the trade afterwards you are a bit stuck, unless there is an endless supply of people starting these ETNs after each market crash. GAT

Winton risk target is famously low; around 10% target and 8% realised. They cut it in 2008; basically shat themselves in the turmoil, regardless of whatever ex post justification you here. GAT

There is nothing wrong, in principal, with consistently selling vol* to capture the roll - if you are aware of the risks and manage them. The total return to shorting the VIX is still significantly positive - it's not like accidents such as those on Monday wipe out all your accumulated profits...

I don't have the diagnostics to easily check, but my weights for SP500 are: SP500 breakout10 0 breakout20 0.143 breakout40 0.1144 breakout80 0.0286 breakout160 0.02145 breakout320 0.05005 mrinasset80 0.02 mrinasset160 0.08 carry10 0.08 carry30 0.06 carry60...

The system took them off. GAT

Sometimes being lucky is better than being good :-) I've mulled various 'proper' ways of dealing with the skew/ kurtosis of the VIX in considering position sizes; keeping a relatively small allocation certainly helps, as does applying a vol floor, but I also wonder whether one should use some...

Now fixed (more comments on the github issue you opened) GAT

I'm down about 3.1% from HWM FWIW. GAT

Ah well that is a different problem entirely! GAT

There's no reason why in theory you shouldn't use the same methods you'd use for a backtest (bootstrapping, bayesian...), but of course your return history is much shorter (unless you've been live trading for donkeys years with an unchanged system), and hence you're extremely unlikely to be able...

What do you mean by 'online'? When you say 'learning' do you mean 'finding the optimal set of parameters according to some criteria'? GAT

The block value is the value of a 1% change in the value of a block. If you own $100K of USDJPY or EURGBP the block value is just $1K GAT

Not at all - it's a fascinating discussion. GAT

Ignoring the issue of whether the annual vol target is too high; The first issue is that 80K isn't going to generate much 'income'. I guess you could put it into money market funds and earn 1.5%, i.e. $1,200 a year. I have a mortgage, five kids and a cat to feed and I need more like a 100...

As a pedantic point even FX has carry. If you're trading forwards or futures it's obvious; if you're trading spot then it's the daily net interest. GAT

I'd need to refactor the code to remove this dependency, it's not a 5 minute job. GAT

The carry data also includes the current futures contract price (not the backstitched version) which is required to calculate volatility correctly. GAT