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Brexit Thread
7 responses

My thoughts are in the link above

I'm very curious to see how all the algo's in the open respond

Black swan events like this are what separate the the great from the good traders.

I'm curious if anyone thought it was a better idea to shut their live trading algo down for the event.

I left my live trading on, but it helps if the algo doesn't hold positions overnight ;)

I had some friends that liquidated yesterday just to make sure they didn't take on extra risk.

I guess there will be some good times coming up for volatility traders :D

Mohammad brings up a great point....less liquidity due to some participants avoiding the volatility, yet SPY has already doubled its average volume.

Brexit was a good opportunity to stress test our models in real time. Here is the one day performance of my risk parity portfolio beta portfolio. Another example of why it pays to be diversified.

https://www.quantopian.com/posts/risk-parity-slash-slash-all-weather-portfolio#576bd538000f66c2b60008d2

Clone Algorithm
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Backtest from to with initial capital
Total Returns
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Alpha
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Beta
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Sharpe
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Sortino
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Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 576e7cd63f1b91121fe2490a
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