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trendmanagement / tmqrexo_alexveden

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Why is this trading so much #178

Closed spickering-git closed 7 years ago

spickering-git commented 7 years ago

Is it the delta value or the rehedging frequency?

https://10.0.1.2:8888/notebooks/smartexo/VanillaEXO_DeltaTargeting_template.ipynb

alexveden commented 7 years ago

Obviously: image

image

I haven't spotted any 'delta > X' messages, so the reason in business days limit. You can comment them out or increase the value.