2020-06-10 EOD Rebalancing (Today PnL: +1.09%)
Güncellendi
Unweighted Portfolio - shown as the unwt study in the chart:
Total Long Value: $86,022
Total Short Value: -$94,353
Weighted Portfolio - shown as the wt study in the chart:
Total Long Value: $100,695
Total Short Value: -$58,041
I felt uncomfortable to allocate twice as much long as short for tomorrow, so the unweighted portfolio was set up at the end of today's session.
Difference between Weighted and Unweighted portfolios:
All signals are generated by the same set of models for both portfolios, but allocation is done differently.
The unweighted portfolio is close to market neutral as capital is evenly allocated among signals.
The weighted portfolio is not always market neutral as allocation is managed by a position sizing model.
Colors in the chart:
Longs are in green and shorts are in red
The darker the line color is the heavier the position is.
Ideally, I like to see greens are at the top and reds are at the bottom.
Real-time chart
tradingview.com/chart/OrJoZSAk/
2020-06-09 EOD Rebalancing
PnL: $2,528 (+1.09%)
Total Long Value: $86,022
Total Short Value: -$94,353
Weighted Portfolio - shown as the wt study in the chart:
Total Long Value: $100,695
Total Short Value: -$58,041
I felt uncomfortable to allocate twice as much long as short for tomorrow, so the unweighted portfolio was set up at the end of today's session.
Difference between Weighted and Unweighted portfolios:
All signals are generated by the same set of models for both portfolios, but allocation is done differently.
The unweighted portfolio is close to market neutral as capital is evenly allocated among signals.
The weighted portfolio is not always market neutral as allocation is managed by a position sizing model.
Colors in the chart:
Longs are in green and shorts are in red
The darker the line color is the heavier the position is.
Ideally, I like to see greens are at the top and reds are at the bottom.
Real-time chart
tradingview.com/chart/OrJoZSAk/
2020-06-09 EOD Rebalancing
PnL: $2,528 (+1.09%)
Not
EOD Update:PnL: -$90
Feragatname
Bilgiler ve yayınlar, TradingView tarafından sağlanan veya onaylanan finansal, yatırım, işlem veya diğer türden tavsiye veya tavsiyeler anlamına gelmez ve teşkil etmez. Kullanım Şartları'nda daha fazlasını okuyun.