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CTA index replication and the curse of dimensionality

qoppac.blogspot.com · published 19 November 2024

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https://github.com/robcarver17/reports/blob/master/Account_curve_report.pdf

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toptradersunplugged.com

Mr Greedy and the Tale of the Minimum Tracking Error Variance [optimising portfolios for small accounts dynamic optimisation testing / yet another method!] Read at the source ↗

qoppac.blogspot.com

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4990063

papers.ssrn.com

https://investresolve.com/lp/peering-around-corners-how-to-replicate-trend-following-managed-futures/

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https://blogger.googleusercontent.com/img/a/AVvXsEiDBPp7Zj2nMQrT5_dUxrwsaRzAVf_itgKOB7aR9PuU0lCEFxaInSY_MA9TSYD0fiMJPNPsIRdMtyBYljlz4vKoFTSA97q_Sqk0teugRbSjujW28IXtuF5TB7PxWISOJZPk_Ey1yLGKOp1SOXtiyeKvKDty5HNimEcpogri_AVOZF4wxIj_fmXuGnNoRaT3

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https://www.linkedin.com/feed/update/urn:li:activity:7248996675971616769/

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https://en.wikipedia.org/wiki/One_in_ten_rule

en.wikipedia.org

https://www.systematicmoney.org/advanced-futures

systematicmoney.org

https://investresolve.com/inc/uploads/pdf/peering-around-corners-how-to-replicate-trend-following-managed-futures-whitepaper.pdf

investresolve.com

https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhGtUbrtvMSPsrK-C5-yg44QdT6RV5cn6gq7O2ysf1QtGbXXn0BbyfvO_g_TZxBOQpSvjUEflh57kGpOzweLxRNlosyTBa2Ls9Sw14q4MAkMYv-kDmuEk-7hO__L4ZaiEt825-2OL2YROemOp1C9pm9PMd4QhxyyCQIqA9rS_Y_C-GkeBVUOZKHlNfse_6-/s640/Figure_2.png

blogger.googleusercontent.com

https://www.interactivebrokers.com/campus/ibkr-quant-news/creating-a-cta-from-scratch-ii/

interactivebrokers.com