3 ms·
A nice algo with a good Sharpe. Although I'm not sure I could stomach a 37% drawdown!
by shogunmike 13y ago
A nice algo with a good Sharpe. Although I'm not sure I could stomach a 37% drawdown!
- jstauth 13y agoThanks. The drawdown is not ready for prime time indeed, I haven't traded it for that (among other) reasons. But I like the idea a lot and the futures linked ETFs seemed like an easier place to start that the contracts themselves.
- shogunmike 13y agoFutures linked ETFs in general are a great approach that have really helped "retail" traders get access to a previously difficult market. Ernest Chan provides some good examples re GLD/GDX spreads, for instance.