This Blog is Systematic

Also hydromatic, automatic: "It's Geeks Enlightening" Rob Carvers blog about quant trading, investing, and economics.

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Friday, 6 December 2024

Taking an income from your trading account - probabilistic Kelly with regular withdrawals

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Programming note: This post has been in draft since ... 2016! One question you will see me asked a lot is 'how much money do I need to b...
7 comments:
Tuesday, 19 November 2024

CTA index replication and the curse of dimensionality

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Programming note:   So, first I should apologise for the LONG.... break between blogposts. This started when I decided not to do my usual an...
4 comments:
Wednesday, 6 March 2024

Fitting with: exponential weighting, alpha and the kitchen sink

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 I've talked at some length before about the question of fitting forecast weights , the weights you use to allocate risk amongst differe...
16 comments:
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