benkan45d6.hashnode.devImplementing 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 read
benkan45d6.hashnode.devRob 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 read
benkan45d6.hashnode.devRob 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 read
benkan45d6.hashnode.devRob 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 read
