Search results

OK, and apologies if you think I am bullying you (but trust me - I do know about statistics), but consider the following two return streams: +1, +1, +1, +1, -1, -1, -1, -1 +1, -1, +1, -1, +1, -1, +1, -1 Both will have the same Z score, but the first has positive autocorrelation (positive...

I thought Z-score was just mean/standard deviation, and thus does not use autocorrelation, and thus can tell you nothing about when a loss is more likely to happen after a series of gains; or not. GAT PS oh look it's a naughty stealth vendor @Baron

I prefer to decompose into correlation and standard deviations, then shrink correlations but not std. dev., then recompose - standard deviations are more predictable than correlations. GAT

Any such service would basically be allowing you to break the law. You *might* be ok if you were managing the money for free - I would imagine a limited company trading account would be the easiest way to do this and a few brokers offer it. GAT

Relax, as long as: - they aren't a massive part of your portfolio OR - you have loads of them and they are relatively uncorrelated (central limit theoreom) ... it's fine Rob

That isn't how I think of the IDM cap, for me it's a limit on peak leverage. (You could argue this is better dealt with by the dynamic leverage limit used in the risk overlay, and you'd be right.) Also the IDM isn't measured on eg realised Sharpe Ratio from diversification benefits, rather an...

Pure slavery: hah, it is tedious yes, but on the upside you only have to do it once. No you can't trade INR FX which means you can't trade the futures as there is no way of getting margin in and out of the exchange. In expectation it will go up by 41.4% eg from 1 to 1.414 but that's...

I don't allow negative correlations when computing IDM. My IDM in production is 3.0 which is capped, but in practice it's probably 3.5 without the cap. I'd rather undershoot my vol target than gear up a lot, but that's your choice. More here...

OK I just got this (no email interestingly, but alert when i logged in). So it's universal and probably IB driven. Rob

I am on TTU this week, please send questions today to info@toptradersunplugged.com Please send loads - otherwise I have no idea what I can possibly talk about. Rob

Are you EU, UK or US based? There is a MFID regulation around automated trading, it's been around for a few years but I guess they are enforcing it more now... not sure if the UK will do the same (have we found the one advantage of Brexit?!)... probably more of an issue if you trade through a...

Backfilled with barchart, so a one off cost to get the historic data. Rob

The diminishing returns here arrive very quickly. Unless you are trading very slow systems, or have a very limited number of years of data, you only need a few instruments to get stable estimates of these things. Rob

260 to be precise, IB data only Rob

Correlation is a linear measure. So I don't mind holding things that are 99% correlated if there is a good reason one of them will do something weird. 20yr and 30yr bonds are an example. Happy to have both of these. But an instrument trading on different exchanges; the correlation there will...

Aussie rates. Nightmare- either manually update the multipliers or don't trade. Rob

I don't trade etfs in this account Rob

Discussed before on this thread. There is a tiny amount of tax efficiency in seperating my income from dividends and interest, but mostly it's a reduction in my perceived IB facing counterparty risk (I say perceived because plenty of people have pointed out I'm wrong). Rob

Yeah it's probably because I have these 'cash' like ETF's instead of having all my money in actual cash; my futures margin usage is only 32% which is much more what I would expect. And about a third of that (so 11% of my account balance) is just VIX. Rob

I think about it differently. Prior to 2014* I had to create backadjusted prices with some assumption about how I would have rolled had I been trading at that time. Post 2014 I can use the times when I actually did trade. I use the same prices for production and backtesting. * or later...