D-VaR position sizing - Discussion

2011/01/09 11:31 by jonludwig
D-Var on intraday trades
How does this possizer work on intraday trades? Does it rescale the data for daily returns?
2011/01/14 15:09 by Eugene
Re: D-Var on intraday trades
No, it doesn't scale data. It works on the native bar scale without rescaling to daily.