Daily VaR approach with stocks
Im using Daily VaR to decide when to get into a basket of stocks that have a PSR of 85%+. I wait for violations to occur then I enter long.
If I get multiple signals for the next trading day, I will optimize said basket to maximize its sortino ratio in order to minimize downside variance and increase volatility skewness.
If I get another violation for that day, I will stay in the trade until there isn't a violation of daily VaR. My exit is essentially when there isn't a violation.
I currently have an entry at $183.24
If I get multiple signals for the next trading day, I will optimize said basket to maximize its sortino ratio in order to minimize downside variance and increase volatility skewness.
If I get another violation for that day, I will stay in the trade until there isn't a violation of daily VaR. My exit is essentially when there isn't a violation.
I currently have an entry at $183.24
Catatan
get out now. this is a winning trade. but I posted this as a mistake anyway. take the small win because i wasnt even supposed to get into this trade
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Pernyataan Penyangkalan
Informasi dan publikasi tidak dimaksudkan untuk menjadi, dan bukan merupakan saran keuangan, investasi, perdagangan, atau rekomendasi lainnya yang diberikan atau didukung oleh TradingView. Baca selengkapnya di Persyaratan Penggunaan.