Practical Execution
Actual position size depends on capital and desired risk exposure even though the model is scale-free in log-return space. Daily bar closes should be evaluated at UTC midnight for a consistent reference time. The strategy can be executed m…
1 sources - 4 claims
Actual position size depends on capital and desired risk exposure even though the model is scale-free in log-return space. Daily bar closes should be evaluated at UTC midnight for a consistent reference time. The strategy can be executed manually or algorithmically. At UTC midnight, traders observe whether the just-closed daily bar was up or down to make the next-day decision.