Macro regime and risk assets qualified clearly
This is art not just research
For your 2-day ES strategy, Do you open a 1-lot trade every day and hold for 2 days regardless of next day's signal? So there is sometimes overlap of bull/bear skew?
Yes
The reason for this is because of how returns function on these types of timeframes.
Stupid question:
What function you use on BBG Terminal to create your ML model?
2D Model: When the two positions have opposite bias the strategy should be considered flat?
In a sense but recognize one position is going to be closed before the other. So it’s more like incremental exposure
Thanks!
This is art not just research
For your 2-day ES strategy, Do you open a 1-lot trade every day and hold for 2 days regardless of next day's signal? So there is sometimes overlap of bull/bear skew?
Yes
The reason for this is because of how returns function on these types of timeframes.
Stupid question:
What function you use on BBG Terminal to create your ML model?
Stupid question:
2D Model: When the two positions have opposite bias the strategy should be considered flat?
In a sense but recognize one position is going to be closed before the other. So it’s more like incremental exposure
Thanks!