[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

[amibroker] Aligning long/short around beta


  • Date: Mon, 21 Dec 2009 18:48:03 -0000
  • From: "droskill" <droskill@xxxxxxxxx>
  • Subject: [amibroker] Aligning long/short around beta

PureBytes Links

Trading Reference Links

Hey all -

I've got a system which is designed to be market neutral on a group of ETFs, but one issue that I've run into is you obviously need alignment in terms of the volatility of the instruments.  If you are long EEM and short SHY, you're not going to have much balance.

Now this can obviously be done with position sizing, sizing based on ATR to create larger positions in SHY and a smaller position in EEM, but I was wondering if anyone had tried to align the beta of different funds.  So you generate a list of trades and then filter them in some way to create a list that is balanced in terms of volatility.

Any thoughts appreciated.



------------------------------------

**** IMPORTANT PLEASE READ ****
This group is for the discussion between users only.
This is *NOT* technical support channel.

TO GET TECHNICAL SUPPORT send an e-mail directly to 
SUPPORT {at} amibroker.com

TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)

For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/

Yahoo! Groups Links

<*> To visit your group on the web, go to:
    http://groups.yahoo.com/group/amibroker/

<*> Your email settings:
    Individual Email | Traditional

<*> To change settings online go to:
    http://groups.yahoo.com/group/amibroker/join
    (Yahoo! ID required)

<*> To change settings via email:
    amibroker-digest@xxxxxxxxxxxxxxx 
    amibroker-fullfeatured@xxxxxxxxxxxxxxx

<*> To unsubscribe from this group, send an email to:
    amibroker-unsubscribe@xxxxxxxxxxxxxxx

<*> Your use of Yahoo! Groups is subject to:
    http://docs.yahoo.com/info/terms/