Following this interesting discussion. Insufficient margin is the stuff that would keep me up at night. One thing that I didn’t quite follow is the bit about an override parameter ‘to avoid having to change instrument weights’. In your system GAT, I thought you only changed instrument weights annually? Probably have crossed wires on this...
Fully automated futures trading
- Thread starter globalarbtrader
- Start date
No basically position = natural position (which is a function of instrument weight, amongst other things) x override factor (between 0 and 1, normally 1). So if for some reason I have to cut the risk on an instrument I just change the override. You're correct in saying that I haven't touched my instrument weights for years; I only adjust them if I have to permanently stop trading an instrument (last example was Aussie bonds, because they changed the data fee).
GAT
Ahh, I see. Thanks.
It did indeed keep me awake the first times IB sent me those warning messages as I was afraid how they were going to mess up my account. I didn't know whether they would modify any position, and if so, which position they would select. But when you've been a few times in this situation it becomes more normal and doesn't affect the number of hours of sleep you get any longer.
I'm using the IB nomenclature here: Cash Balance divided by Net Liquidation is 27.6%. That seems about right to me as I hold about 70% of the account value in ETF stock.
Cantab Quant Hedge Fund Rebounds -- Market Talk
Today 9:14 AM ET (Dow Jones)
1314 GMT - A hedge fund run by Cantab Capital, based in Cambridge, England has bounced back from two years of losses to be one of the top-performing computer-driven funds this year. The Quantitative Aristarchus fund is up more than 20% this year, said a person who had seen the numbers. That comes after a loss of 1.1% last month, when many quant funds took bigger hits as central banks hinted at rate rises, causing reversals in bond and currency markets. Aristarchus, which was down 8.2% in 2015 and 7.4% last year, has recently made money from relative value positions in currencies and interest rates and long positions in equities, the person said.
Today 9:14 AM ET (Dow Jones)
1314 GMT - A hedge fund run by Cantab Capital, based in Cambridge, England has bounced back from two years of losses to be one of the top-performing computer-driven funds this year. The Quantitative Aristarchus fund is up more than 20% this year, said a person who had seen the numbers. That comes after a loss of 1.1% last month, when many quant funds took bigger hits as central banks hinted at rate rises, causing reversals in bond and currency markets. Aristarchus, which was down 8.2% in 2015 and 7.4% last year, has recently made money from relative value positions in currencies and interest rates and long positions in equities, the person said.
ICR274: Robert Carver, Smart Portfolios
Oct 16, 2017 | Posted by Martin Bamford | Interview, Podcast
Oct 16, 2017 | Posted by Martin Bamford | Interview, Podcast
Winton raises capital for event-driven fund
Systematic strategy managed by Sunil Sodha
Daniel Rzasa Tuesday 17th October, 2017 12:42 PM ET
Winton is raising external capital for a systematic event-driven equity strategy it has been running with internal capital since January last year, according to sources.
The Winton Equity Event Fund uses datasets from Hivemind, a data platform and consultancy owned by Winton. It was part of Winton’s research division before being incorporated as a separate company in July. (.. )
It returned over 8% in 2016 and was up 6.4% YTD through the second week of October, a source familiar with the performance said. (.. )
Winton trades large and mid-cap stocks in its $743m long-only program, which launched in 2009.
It started to add individual cash equities to the trading universe of its now $16bn Winton Diversified Program in 2011, having previously traded only stock index futures. (.. )
Systematic strategy managed by Sunil Sodha
Daniel Rzasa Tuesday 17th October, 2017 12:42 PM ET
Winton is raising external capital for a systematic event-driven equity strategy it has been running with internal capital since January last year, according to sources.
The Winton Equity Event Fund uses datasets from Hivemind, a data platform and consultancy owned by Winton. It was part of Winton’s research division before being incorporated as a separate company in July. (.. )
It returned over 8% in 2016 and was up 6.4% YTD through the second week of October, a source familiar with the performance said. (.. )
Winton trades large and mid-cap stocks in its $743m long-only program, which launched in 2009.
It started to add individual cash equities to the trading universe of its now $16bn Winton Diversified Program in 2011, having previously traded only stock index futures. (.. )