The BRE contract is "cash" rather than "physically" settled. This may say strange with currencies, but it means that you get debited or credited dollars based on the change in value at settlement (P&L). You don't get a contract-sized position of Brazilian Reals. You can check this up on CME's website, but I've let BRE contracts go to settlement and that's what happened. IB charges you the normal commission when the contract settles but you save on the spread (which for BRE is not a big concern).
)Hello Rob,
I have a couple of questions for you.
- In your AFTS on page 79, in the middle of the page where the Exponentially Weighted Standard Deviation formula is presented, does "r*t" refer to the "r*t" mentioned on page 78, or does it refer to "r*(λ)t" as discussed on page 79?
If it is from from page 78, which period would you recommend? (I put lambda as your suggestion- I'm curious about your thoughts on employing long-only strategies on specific product, such as US indices or Gold. Do you perceive this as potentially leading to overfitting?
, but did we just loose some money? I'm down about 5.5% in the last week or so (lost on UB, SEK, NZD, MHI), also the system dropped a lot of exposure., Right after things started to look up..Our systems seem to be synchronized. My account was looking up (as was yours), but lost last week some 10%. Exposure, as measured by margin requirement, has been substantially reduced during last week. It went down by about 40%.Seems I'm always starting the sad conversation
My system is down perhaps 1pct last week so not so dramatic. But it’s been choppy all the way from March this year for me. I blame the turbo charged risk on/risk off environment.
