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
Note
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
Clause de non-responsabilité
Les informations et les publications ne sont pas destinées à être, et ne constituent pas, des conseils ou des recommandations en matière de finance, d'investissement, de trading ou d'autres types de conseils fournis ou approuvés par TradingView. Pour en savoir plus, consultez les Conditions d'utilisation.
Clause de non-responsabilité
Les informations et les publications ne sont pas destinées à être, et ne constituent pas, des conseils ou des recommandations en matière de finance, d'investissement, de trading ou d'autres types de conseils fournis ou approuvés par TradingView. Pour en savoir plus, consultez les Conditions d'utilisation.