Disliked{quote} A pleasant 'problem' for a trader to have. {quote} It certainly beats Douglas Adams' answer of "42".Ignored
- Joined Aug 2012 | Status: Trends, Levels, Confirmation, Bayes | 1,834 Posts
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Reasonably uncorrelated basket trading 6 replies
Trend basket by linear regression of uncorrelated pairs 12 replies
Should I be concerned about uncorrelated markets? 7 replies
uncorrelated pairs for risk control and focus 3 replies
Uncorrelated pairs 1 reply
Disliked{quote} A pleasant 'problem' for a trader to have. {quote} It certainly beats Douglas Adams' answer of "42".Ignored
Disliked{quote} Ordered the book. Obviously with the limited number of pairs on offer there is bound to be some correlation but at least you can go with pairs that do not share any currency. Any correlation less than one is preferable to putting extra trades in the one currency. Thank you.Ignored
Disliked{quote} Haha this will work very well if there's positive serial correlation... hmm but what if the serial correlation is negative wouldn't you shoot yourself in the foot? just wondering, or am I not making sense. {image}Ignored
Disliked{quote} Stupid me! We don't need the trades to be serially correlated. We need the equity curve to be. Let E be the expectancy of the system. The equity Q[t] before MM will evolve as Q[t+1] = Q[t] + E + e. This is an AR(1) process with a positive coefficient.Ignored