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Thanks, that is reasonable, I suspected you would recommend that. Maybe grouping instruments into synthetic vs non-synthetic and imposing constraints might also help besides pre-filtering. I'm worried about robustness of instrument weights. I have noticed you trade some signals where the...

GAT, in your system how would you allocate instrument weights if your position in one instrument was dependant on your position on another? For example butterflies, spreads etc. You could create synthetic instruments I suppose, but for something like a pairs trading strategy you would have way...

Why do you think Winton has very low skewness compared to other CTAs? Too much carry?

Hey there.. I was looking at your code and I have a question about what's in this yaml file. At the very bottom, you define what looks like some sort of custom groups (rule_groups, style_groups etc) which could be presumably used for grouping subsystem p&l's OR constraining forecast or...

Thanks, I like your approach, makes a lot of sense. You let the correlation benefit decide the asset class sharpe. One final question: would you equalize market sharpes within an asset class or within the portfolio? Two approaches would result in different asset class sharpes, might be worth...

Thanks, the last method makes sense. It would require a two step optimization process, first to calculate instrument weights within an asset class, then second step for asset class weights if i understand correctly. Would you equalize sharpes when calculating asset class weights or not? Also...

GAT, just looking at your code, I am trying to understand how one could go about applying risk limits to various asset classes. your code applies instrument weights to all markets in one go without any regard to which asset class a given market belongs to. This approach may end up with increased...

This is interesting. Do you think there are more trend following opportunities in the faster / intraday space, or would you consider employing a different strategy such as mean reversion? Would you be worried about competition with HFT algos? I'm guessing fundamental strategies are not cut out...

Thanks for the prompt reply. I think I get what you mean. Choosing which trading rules to include is your decision, optimizer decides the proportions. Do you intend to discuss what those other trading rules are at some point, or is that the "secret sauce"? I am curious as to what made you...

Hi GAT, i was looking at one of the earlier posts on this thread and it looks like you allocate more to the breakout system than the traditional momentum if you were to consider the ewmac as that. How come? Is this driven by the optimizer or is it driven by you/your gut? :) Great thread by the way.