Challenged by a young CEO I wrote a terse CTA (Commodity Trading Advisor) investment strategy. I discuss the somewhat quirky background of my code fragment. Convex Programming opens the door to deeper insights into the 10 line strategy. I will boost the Sharpe Ratio and control both Kurtosis and trading costs.
I will rely on Python and Binder.
You can run the software underlying this talk using docker
docker run -p "8888:8888" tschm/cs:latest
on your local machine.
You may not have access to docker. In this case run the software by launching the Binder service.