Hi Tom
As usual you are ever pushing the limit for improvement and moving the development at quite the pace.
Comments from a high level:
In a week of paper trading with quite a liberal folio rule of 0.50 cointegration I am only using about 18% of my margin. One can argue that this is prudent, but I would argue assuming that all instruments are not running correlations of 1 it isn't optimal use of my capital.
As a Long Short fund manager I am used to viewing the beta adjusted longs and shorts and therefore my net exposure in relation to a benchmark or broad market index (how else would I calculate my beta ).
The way GBot works, the way I understand it, is it has diverse instruments across multi-geographical (read: currencies) regions and therefore the correlation/cointegrations are only looking at exposures in terms of one to the other.
I guess my question is, are you in essence creating an exposure matrix by means of a global volatility expression. Let me try and express that more clearly. You will provide the "Captain" with the ability to dictate the absolute levels of volatility that the account wishes to tolerate? What is happening now is that all you control is a level of correlation you are prepared to tolerate, you are going to take us a step further and say based on the volatilities present and given the correlations present, this is your current $ volatility exposure for the entire Folio. Further if you have inputted thresholds of $% volatility it will either block or allow further trades. If in fact I am understanding this correctly, will all that you are proposing work at just the folio level for a particular instance. You cannot make the calculations "global" in the sense that it calculates across all open instances? Now that will be cool.
As usual you are ever pushing the limit for improvement and moving the development at quite the pace.
Comments from a high level:
In a week of paper trading with quite a liberal folio rule of 0.50 cointegration I am only using about 18% of my margin. One can argue that this is prudent, but I would argue assuming that all instruments are not running correlations of 1 it isn't optimal use of my capital.
As a Long Short fund manager I am used to viewing the beta adjusted longs and shorts and therefore my net exposure in relation to a benchmark or broad market index (how else would I calculate my beta ).
The way GBot works, the way I understand it, is it has diverse instruments across multi-geographical (read: currencies) regions and therefore the correlation/cointegrations are only looking at exposures in terms of one to the other.
I guess my question is, are you in essence creating an exposure matrix by means of a global volatility expression. Let me try and express that more clearly. You will provide the "Captain" with the ability to dictate the absolute levels of volatility that the account wishes to tolerate? What is happening now is that all you control is a level of correlation you are prepared to tolerate, you are going to take us a step further and say based on the volatilities present and given the correlations present, this is your current $ volatility exposure for the entire Folio. Further if you have inputted thresholds of $% volatility it will either block or allow further trades. If in fact I am understanding this correctly, will all that you are proposing work at just the folio level for a particular instance. You cannot make the calculations "global" in the sense that it calculates across all open instances? Now that will be cool.
)) ). In fact, it is totally possible that some traders/fund managers may come out with much better "games" than those i am currently using. (Clearly, they can also be tested in a "simulation system", using exactly the same engine which trades, also incorporated in the app, which i also improve continuosly.)