Hi guys,
I'm trading several Vola algo's and I see a lot of other vola algo's but most of them have enormous drawdowns. I took 3 algo's (Thanks Charles Witt, Mirco Lamperti and myself) and combined them. I took those algo's as they seem to buy and sell at different moments but its easy to add others or change the weighting of an algo.
The algo has some preparation for Futures which worked in alpha but doesn't work now as Q excluded combining pipeline in Future calendars or Futures in Equity calendars... don't understand why as it worked fine in alpha stage.
Anyway: have fun with this ... looking forward to some improvements
cheers, Peter