As most of you know, one of the many projects / things I am involved with is the TTU Systematic Investor podcast series where I'm one of the rotating cast of co-hosts.| This Blog is Systematic
I've talked at some length before about the question of fitting forecast weights, the weights you use to allocate risk amongst different signals used to trade a particular instrument. Generally I've concluded that there isn't much point wasting time on this, for example consider my previous post on the subject here.| This Blog is Systematic
I recently upgraded my live production system to include all the extra instruments I've added on recently. I also did a little consolidation of trading rules, simplifying things slightly by removing some rules that didn't really have much allocation, and adding a couple from my new book. As usual I set the instrument weights and forecast weights using my handcrafting methodology, which is basically a top down method that involves clustering things into groups in a hierarchical fasion.| This Blog is Systematic