Posted by DigiNomad on 11th of Jul 2022 at 03:31 pm
System on Matt's Systems? I'm thinking to build a VAR
based model that allows for an allocation to these models. Anyone
already have one? It would be a bit complex and would probably have
to backtest the number of signals generated by the various systems
over the years. For example, if you allocated 30% of a portfolio to
system trades, including option trades, how would you maintain that
average on a VAR basis over time? Maybe 7 or 8% of 30% per system
in order to allow for times when multiple trades are in play?
Just off the top of my head...
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System on Matt's Systems? I'm
Reversion to mean systems basket
Posted by DigiNomad on 11th of Jul 2022 at 03:31 pm
System on Matt's Systems? I'm thinking to build a VAR based model that allows for an allocation to these models. Anyone already have one? It would be a bit complex and would probably have to backtest the number of signals generated by the various systems over the years. For example, if you allocated 30% of a portfolio to system trades, including option trades, how would you maintain that average on a VAR basis over time? Maybe 7 or 8% of 30% per system in order to allow for times when multiple trades are in play? Just off the top of my head...