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 compile a Jupyter Book that will allow you to run experiments online using Binder.
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Dr. Thomas Schmelzer created all material in his personal capacity. The views stated are his own and do not necessarily represent the views of neither ADIA nor Stanford University. The opinion expressed is based on the prevailing market trends and is subject to change.