nikolas-joyce
commented
7 years ago i have constructed these Es specific Smart risk reversal. 1) https://10.0.1.2:8889/notebooks/Kelt_Risk_Reversals/SmartEXO-RiskReversal-ES-KeltnerChannel-SemiFuture_10_60wputs_longs.ipynb 2) https://10.0.1.2:8889/notebooks/Kelt_Risk_Reversals/SmartEXO-RiskReversal-ES-KeltnerChannel-SemiFuture_80_20_for_shorts.ipynb these are the universal keltner put and call spread. 1) https://10.0.1.2:8889/notebooks/Kelt_Risk_Reversals/SmartEXO-RiskReversal-ZN-KeltnerChannel-PutSpread_40D_20D_for_longs.ipynb 2) https://10.0.1.2:8889/notebooks/Kelt_Risk_Reversals/SmartEXO-RiskReversal-ZN-KeltnerChannel-CallSpread_15D_30D_for_shorts.ipynb We can look to deploy these after stabilize the other stuff
1) do the migration including retirements of production v1 campaigns 2) add messaging to determine when V2 alphas are calculated in real time. 3) make the ES campaign include Smart risk reversals 4) make universal keltner put and call spreads. 5) include the Dollar ATR concept in the position sizing logic so we can establish how many dollars 1 delta of each product is worth and reduce the exposures to alphas with an above average range. target $1000-800 per product per unit of delta.
6) Add milk to V2 make sure updated in V1
7) Create a V2 dashboard of status using Jupyter