Search results

Taleb dynamic hedging GAT

I don't know what anyone does currently but I can tell you what has been done in the past and / or researched. Firstly it's not obvious what you mean. Do you mean (a) trend following, where a short option position is the underlying market? or (b) using options to do trend following rather than...

In practice I don't put the full 12.5% in eurodollar. I can't remember if I put this in my book or posted on it, but basically you adjust your weights according to the inverse of the diversification multiplier for that asset class. So an asset class with loads of members, and/or a lot of...

What you have to bear in mind that there are an almost equal number of times when you get filled at a better price than if you'd traded immediately - but of course you don't notice them. If I test this, by delaying the trading in my system by 1,2,3... days, I find that on average I have to delay...

It's a good question, and the answer is - it depends on how different the relative correlations are, and the distribution of assets in groups. Let's take my portfolio; to make the numbers easier pretend I have 40 instruments over 8 asset classes (bonds, stir, equities, fx, vol, metals...

I have the same problem because I changed my risk target after the first few months of trading, and I'm always taking money out of my account. The basis for my calculation is adding up the % profit I have made each day over the notional capital employed at that time. That gives me an account...

Performance since I started trading, April 2014. Keep the faith :-) GAT

Hope everyone is surviving the current turmoil. I'm currently looking something like this: 16.1% drawdown, calendar YTD performance -4.9%, fiscal YTD performance that I normally look at +2.4%, total performance 101.1% If you're based in the SE of the UK I'm speaking at 3 events over the...

Don't waste your money https://www.tradingschools.org/reviews/pristine-trading/ GAT

Poorly designed poll with many options that have no clear definition and/or aren't distinct from each other. You only need 4 options: Mechanical Discretionary Delegate to someone else Buy & Hold I do a mixture of 1 and 4. GAT

No I don't restart the Gateway daily (which I can't do with cron as I have fancy 2 factor authentication on my account), just the 'client' python sessions. They all restart at around 5am UK time to trade Korea. GAT

I think this only affects TWS? The gateway remains connected all the time. GAT

See my book or anything I've written on portfolio construction in my blog. GAT

Probably easiest to paste in a quote: How does this book different from my first book, “Systematic Trading”? If you read the “About the Author” section you’ll have noticed that I wrote another trading book a few years ago, “Systematic Trading”. Perhaps you are browsing on-line and trying to...

On a nice run at the moment. +8.4% YTD, +14.8% for the tax year that I normally look at, 3.8% drawdown from the HWM set in late January. Hope everyone else is okay. Sorry I've been so slack in posting recently; finding book 3 hard going. GAT

The raw data will be for each individual contract, they aren't getting the continuous data from the CME. Then quandl or their provider do the stitching themselves. I'm not sure you can actually get individual contract prices on the CME website but there are plenty of places you can get it for...

It might help if you were a little more precise in your questioning and said why you want the answer to this question. Perhaps you could give a more specific example? Are you interested in factor investing? Or do you just want to know the theory? Theory is theory; it states a bunch of...

Yeah sure. But thread title was 'CAPM' and under the assumptions of CAPM there is no alpha. So my answer is 'Under CAPM if my beta is 1 my expected return is the risk premium'. In fact the trade mentioned (long high beta, short low beta) will probably lose money since the empirical evidence is...

Same as the market: 5% equity risk premium (return over riskfree rate). Assuming you can borrow money and stock at the same interest rate, blah blah blah GAT

That, contrary to my expectations, they're not ludicrously overfitted and/or liars. GAT