Assume you have a bunch of different systems that trade stocks, equity index ETFs, bond ETFs, and some other alternative assets, eg commodity ETFs. All the systems take both long and short positions. What are the questions your portfolio optimization…
- I wonder who was buying XIV on the way down after the close yesterday. Huge volume, too...
- For posterity https://t.co/wkPtsQekWa
- I guess the short vol trade is no longer crowded, then...
- Earnings moves tend to be a bit crazy, but wow... Imagine being the guy who sold at 177. https://t.co/Q3wsxFfpWQ
alpha curves C# CAC40 DAX FTSE100 candlestick patterns cross validation CRTDR data mining DOTM DTW Dynamic Time Warping equal risk contribution ETN GTAA HangSeng IBS effect K Nearest Neighbor machine learning mean reversion minimum correlation minimum volatility momentum MultiCharts .NET NASDAQ100 new highs new lows Nikkei225 PCA portfolio optimization position sizing QQQ relative strength risk parity Russell2000 S&P500 seasonality SPY STI swing trend following UDIDSRI VIX VIXY VXV WVF XIV