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D-VaR position sizing

D-Var on intraday trades2011/01/09 11:31 by jonludwig
How does this possizer work on intraday trades? Does it rescale the data for daily returns?
Re: D-Var on intraday trades2011/01/14 15:09 by Eugene
No, it doesn't scale data. It works on the native bar scale without rescaling to daily.

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