Implementing Monte Carlo Simulator - Normal Distribution and BootstrappingRecently, I'm reading the Positional Option Trading (2020) by Euan Sinclair. There is a section evaluating and comparing the performance of option structures such as straddle, strangle, butterfly, condor, etc. Euan performed the analysis with the sim...Oct 28, 2023 · 6 min readbenkan45d6.hashnode.dev
Rob Carver's Systematic Trading Framework 3. Volatility targeting and position sizingIt comes to the final stage of the trading system - setting a target risk for the portfolio and deciding an appropriate position size. Over-leveraged may blow up an account in one day, while the power of compounding will not be utilized efficiently w...Aug 4, 2023 · 9 min readbenkan45d6.hashnode.dev
Rob Carver's Systematic Trading Framework 2. Trading rules and variationsThis is probably the most exciting part as a trader but I'm not going to examine complex rules here. I will use one trend-following rule and one mean reversion rule with two variations each to forecast. The forecast is a multiplier to the exposure. A...Jul 24, 2023 · 8 min readbenkan45d6.hashnode.dev
Rob Carver's Systematic Trading Framework 1. Choosing instrumentsInspired by Rob Carver's Systematic Trading (2015) and Advanced Futures Trading Strategies (2023), this series recorded how I demonstrate the trading / back-testing framework from Carver. Plan I will use Python and Jupyter Notebook for this project....Jul 21, 2023 · 6 min readbenkan45d6.hashnode.dev
