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Need to refine strategy in correlation trader #2

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andrew-impell opened this issue May 11, 2020 · 0 comments
Open

Need to refine strategy in correlation trader #2

andrew-impell opened this issue May 11, 2020 · 0 comments

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@andrew-impell
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Currently returns are following a -1/threshold curve and optimizing brings it asymptotically to zero. Need to fix signals so it produces non zero returns.
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@andrew-impell