tag:blogger.com,1999:blog-261139923818144971.post8108818910055836701..comments2024-03-29T07:20:07.753+00:00Comments on This Blog is Systematic: Mr Greedy and the Tale of the Minimum Tracking Error Variance [optimising portfolios for small accounts dynamic optimisation testing / yet another method!]Rob Carverhttp://www.blogger.com/profile/10175885372013572770noreply@blogger.comBlogger50125tag:blogger.com,1999:blog-261139923818144971.post-69402198194266670392023-05-17T12:43:13.566+01:002023-05-17T12:43:13.566+01:00Essentially he argues that in the literature of tr...Essentially he argues that in the literature of trend following the expression “risk parity” is often used for approaches that use vol targeting. “True risk parity” takes the (ever changing) correlations into account and adapts the portfolio accordingly. Risk parity is only defined for long portfolios. Therefore he adapts the formula so it can be traded long and short. Overall very similar to your writings. Merely the way of incorporating the correlations is different to yours though I can’t say whether the results would differ significantly. <br />(slide 16 on page 17 gives a good overview in case you should ever come back to the question whether another way could push the boundaries of diversification even further…)<br />I might try it out. In case I do I would be happy to share the backtest results if you think it is worth your time…<br />Timohttps://www.blogger.com/profile/00047508105298202270noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-52657259733352676712023-05-16T15:34:06.360+01:002023-05-16T15:34:06.360+01:00I wish I had the time to read and understand the p...I wish I had the time to read and understand the paper but I don'tRob Carverhttps://www.blogger.com/profile/10175885372013572770noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-54618728978765533552023-05-16T15:28:04.079+01:002023-05-16T15:28:04.079+01:00Mr. Carver,
love your books! I am learning a grea...Mr. Carver,<br /><br />love your books! I am learning a great deal and I would like to thank you for that!<br /><br />Trying to wrap my head around dynamic optimization and tracking errors.<br />The issue of dynamic optimization reminds me of a promising solution by Nick Baltas. It is an equal risk contribution approach that dynamically adapts not only to changing volatilities but also to changing correlations. The strength of the solution becomes clrearly visible in times of rising correlations.<br />The original paper:<br />https://deliverypdf.ssrn.com/delivery.php?ID=708020093087023090084074073094096109059004061032064017118121013005088091031084097089101045036122006102119119113116026116002090060018059064034114125004087015069090062048016111072087030019006100115122021121127125084004071064087025080030089088093110098&EXT=pdf&INDEX=TRUE<br />Neatly summarized as ppt presentation: https://pdfs.semanticscholar.org/c96d/3a49be9b92da6bec20aecb7ed7c10a190fd5.pdf<br /><br />Using that approach would allow to disregard the less precise instrument diversification multiplier. We could still use forecasts to deduce signal strength but scaling into positions wouldn’t work as the weight is defined by the marginal risk contribution. <br />Precisely measuring the risk contribution of each asset while factoring in the correlations seems really conveniant. Even more precise would be to measure the MRC of the trading strategy and not the MRC of the underlying asset. We know trading a trend following strategy can change the properties of the distribution of returns compared to the return distribution of the traded asset.<br />Somebody was nice enough to code all strategies mentioned in the paper and put it on github:<br />https://github.com/MasterFinHEC/ASSET_PROJECT<br /><br />As far as I understand the goal of the greedy algo solves a different issue namely the problem of fractional positions. <br />This approach could still add value, right? <br />It sounds different than what you have tried but maybe I am missing something.<br />Timo<br />Timohttps://www.blogger.com/profile/00047508105298202270noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-49984527776585391162022-01-29T21:45:06.318+00:002022-01-29T21:45:06.318+00:00Rob Ignore previous comment I found it.
Rory Mac...Rob Ignore previous comment I found it. <br /><br />Rory MackayUnknownhttps://www.blogger.com/profile/15473222315772493516noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-15813933387448020952022-01-29T21:38:48.156+00:002022-01-29T21:38:48.156+00:00This comment has been removed by a blog administrator.Unknownhttps://www.blogger.com/profile/15473222315772493516noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-33882455772560599392022-01-18T09:27:32.279+00:002022-01-18T09:27:32.279+00:00https://qoppac.blogspot.com/2021/02/so-you-want-to...https://qoppac.blogspot.com/2021/02/so-you-want-to-be-quantsystematic-trader.html<br /><br />I can't recommend specific courses or unisRob Carverhttps://www.blogger.com/profile/10175885372013572770noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-88801793480617450782022-01-18T09:26:27.940+00:002022-01-18T09:26:27.940+00:00Hi Mr.Rob Carver. My name is Nanthawat Anancharoen...Hi Mr.Rob Carver. My name is Nanthawat Anancharoenpakorn. I read several of your book and I realized that I have a hugh room to learn. May I kindly ask you for some advice :)<br /><br />Here are the situations:<br />1) I'm 24 year old and going to do Master for leverage my knowledge.<br />2) study Finace and basic programming<br />3) My purpose is clear : To be systematic trader. (just like you or similar)<br />- or To have similar skill set or experience <br /><br />Here are the questions :<br />1) Which Master degree faculty is most suitable for systematic trading skill set (any advice for University or faculty)<br />2) what you would like to tell yourself if you were 24 <br />3) Any advice for those 24 who want to be systematic trader. <br />4) Any advice about life (would be nice)<br /><br /><br />*If you already post about this please let me know where to go :)<br /><br />Thank you! <br />I'm Really Appreciated <br /><br />Chimhttps://www.blogger.com/profile/15872358015965435042noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-41632227772092807922021-11-11T02:19:55.243+00:002021-11-11T02:19:55.243+00:00No prob, I will use your spreadsheet for FX Spot.No prob, I will use your spreadsheet for FX Spot.John Nashhttps://www.blogger.com/profile/05952452533199336693noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-14151857278575540992021-11-10T14:47:27.063+00:002021-11-10T14:47:27.063+00:00pysystemtrade is only for futures so I'm reluc...pysystemtrade is only for futures so I'm reluctant to start adding any non futures instruments, and I also wouldn't want to add anything I don't trade myself. Also the way that position sizing works for FX is completely different than for futures, and depends on what you're trading, so there is much more to this than just changing a single number in a spreadsheet.<br /><br />Also bear in mind that using the AUDUSD future as a proxy to generate a signal for AUD spot involves a huge number of approximations...Rob Carverhttps://www.blogger.com/profile/10175885372013572770noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-61900497705746431352021-11-10T11:17:52.894+00:002021-11-10T11:17:52.894+00:00Understood! I've been papertrading the AUD spo...Understood! I've been papertrading the AUD spot using your spreadsheet and I'm thinking of using pysystemtrade to check the results. <br />Is there a way to make a config change to report the AUD position as FX and not futures?<br />Will it be possible to add a new non-futures instrument for AUD Spot in rollconfig.csv, instrumentconfig.csv, ib_config_futures.csv for this purpose?John Nashhttps://www.blogger.com/profile/05952452533199336693noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-42368275925767355312021-11-10T09:42:59.678+00:002021-11-10T09:42:59.678+00:00Because I only trade futures.... 'FX' in t...Because I only trade futures.... 'FX' in the configuration means the underlying asset is FX, but it's still a future.Rob Carverhttps://www.blogger.com/profile/10175885372013572770noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-15306096778161135202021-11-10T09:42:00.655+00:002021-11-10T09:42:00.655+00:00Sorry, a bit confused, AUD is an FX pair according...Sorry, a bit confused, AUD is an FX pair according to instrumentconfig.csv. Why would the position be in futures coontracts?John Nashhttps://www.blogger.com/profile/05952452533199336693noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-36502883274250721052021-11-10T08:22:50.353+00:002021-11-10T08:22:50.353+00:00All positions are reported in futures contracts.All positions are reported in futures contracts.Rob Carverhttps://www.blogger.com/profile/10175885372013572770noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-18921805449378819232021-11-10T07:34:04.473+00:002021-11-10T07:34:04.473+00:00When I ran system.portfolio.get_notional_position(...When I ran system.portfolio.get_notional_position("AUD").tail(5), I got some output like this:<br /><br />2021-09-30 -0.210896<br />2021-10-01 -0.208213<br />2021-10-04 -0.204689<br />2021-10-05 -0.205964<br />2021-10-06 -0.208951<br /><br />Should I multiply -0.208951 * 100000 to get the actual FX position?John Nashhttps://www.blogger.com/profile/05952452533199336693noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-32485620363010862612021-11-08T14:19:08.994+00:002021-11-08T14:19:08.994+00:00VS Code is Visual Studio Code, the IDE that I used...VS Code is Visual Studio Code, the IDE that I used to run the pysystemtradeJohn Nashhttps://www.blogger.com/profile/05952452533199336693noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-10023705278183044652021-11-07T18:04:56.664+00:002021-11-07T18:04:56.664+00:00Also, what's 'VS' code???Also, what's 'VS' code???Rob Carverhttps://www.blogger.com/profile/10175885372013572770noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-79104593797668890942021-11-07T18:04:31.618+00:002021-11-07T18:04:31.618+00:00Optimising for one instrument makes no sense... if...Optimising for one instrument makes no sense... if you were only trading one instrument the optimal position is the rounded position of that instrument.<br /><br />That's the instrument diversification multiplier (described in both LT and my first book, ST). It makes sure the risk of a portfolio of traded instruments hits your vol target; basically the bigger the number the more diversified your portfolio is, the more you need to scale up your risk.<br /><br />I had a default maximum of this value of 2.5, but a value closer to 3 is needed with the very large 100+ instrument portfolios I can now test with this method (I set it to 5 as an arbitrary maximum to make sure there was no capping here; but it could equally be 3)<br /><br />I'd dividing the bid/offer spread by two. The slippage if you can trade at the inside spread is the difference between the mid and the bid or offer; which is half the spread.Rob Carverhttps://www.blogger.com/profile/10175885372013572770noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-31412070231975650522021-11-07T13:29:05.577+00:002021-11-07T13:29:05.577+00:00If I run the script for the optimized system just ...If I run the script for the optimized system just for EDOLLAR (i.e. 1 instrument) using VS Code, it will crash after a few mins. Certain other instruments like US20 have the same problem as well. Any idea why? <br /><br />Also can you explain what dm_max means for the below line?<br />system.config.instrument_div_mult_estimate['dm_max'] = 5<br />Why is it value 5? Is this parameter same as the capped forecast +20/-20 as mentioned in your LT book?<br /><br />On page 294 of your LT book, why did you divide by 2 when calculating the transaction cost for FX?John Nashhttps://www.blogger.com/profile/05952452533199336693noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-65648840268653930162021-11-02T14:04:04.676+00:002021-11-02T14:04:04.676+00:00Awesome! Thank you.Awesome! Thank you.John Nashhttps://www.blogger.com/profile/05952452533199336693noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-25600534695338421202021-11-02T13:02:35.402+00:002021-11-02T13:02:35.402+00:00Yes. You can see it for everything here:
https://g...Yes. You can see it for everything here:<br />https://github.com/robcarver17/pysystemtrade/blob/master/data/futures/csvconfig/rollconfig.csv<br /><br /><br />No, NYMEX. Again all are here:<br />https://github.com/robcarver17/pysystemtrade/blob/master/sysbrokers/IB/ib_config_futures.csvRob Carverhttps://www.blogger.com/profile/10175885372013572770noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-18862207463707630312021-11-02T12:55:16.370+00:002021-11-02T12:55:16.370+00:00Thanks! Very helpful. For CRUDE_W, do you always t...Thanks! Very helpful. For CRUDE_W, do you always trade the Dec contract? For HEATOIL, is it the one traded on ICE?John Nashhttps://www.blogger.com/profile/05952452533199336693noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-80857168636252875602021-11-02T11:55:46.807+00:002021-11-02T11:55:46.807+00:00https://github.com/robcarver17/pysystemtrade/blob/...https://github.com/robcarver17/pysystemtrade/blob/master/data/futures/csvconfig/instrumentconfig.csvRob Carverhttps://www.blogger.com/profile/10175885372013572770noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-21766345809803885012021-11-02T11:54:20.224+00:002021-11-02T11:54:20.224+00:00Great! I will hop onto the elitetrader then.
Also...Great! I will hop onto the elitetrader then.<br /><br />Also, I'm new to futures trading. Can I confirm the following?<br /><br />BITCOIN => Bitcoin CME Futures<br />CRUDE_W_mini => E-mini Light Crude Oil Futures<br />EU-DIV30 => DJ Euro Stoxx Select Dividend 30 Index Futures<br />EUROSTX => DJ Euro Stoxx 50 Futures<br />NASDAQ_micro => Micro E-mini Nasdaq-100 Index Futures<br />OAT => French Govt Bonds Futures (FOAT)<br />REDWHEAT => KC HRW Wheat Futures<br />OATIES => Oat Futures<br />SP500_micro => Micro E-mini S&P 500 Index Futures<br />RICE => Rough Rice Futures<br />HEATOIL => NY Heating Oil (Platts) Futures<br />GASOILINE => RBOB Gasoline Futures<br />VIX => S&P 500 VIX FuturesJohn Nashhttps://www.blogger.com/profile/05952452533199336693noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-21542888640055051962021-11-02T11:03:34.741+00:002021-11-02T11:03:34.741+00:00I had to google "Discord", so that hopef...I had to google "Discord", so that hopefully answers that question.<br /><br />This is the forum I'm most active on https://www.elitetrader.com/et/threads/fully-automated-futures-trading.289589/page-296Rob Carverhttps://www.blogger.com/profile/10175885372013572770noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-53153062607050290772021-11-02T10:38:15.250+00:002021-11-02T10:38:15.250+00:00Do you have a Discord channel or forum where I can...Do you have a Discord channel or forum where I can ask you questions regarding your system?John Nashhttps://www.blogger.com/profile/05952452533199336693noreply@blogger.com