Seasonal behaviour of prices would suggest that assets show predictable behaviour during certain months, days of the…
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“ The rules of thumb of systematic modelling is that if one can’t generate profits with relatively simple models then more sophisticated models which do generate profits should be treated with extra scepticism” -Ewan Kirk
As i already investigate the futures inter-market correlation , lets investigate inter-market cointegration (since 01/01/2017) as per…
Beating SPX by miles, however Sharpe ratio only 0.85. Its quite difficult to get high Sharpe…
