Comment on Live Example -1

Pritam Shetty commented on 19 Jun 2018, 04:56 PM

Hello Sir,
I am confused as to, for tracking position after executing the trade, we will have to calculate the std_err by using the current price based sigma , beta and intercept (by doing regression by replacing the old with new data for past 200 look back period) or the initial values which we used to execute the trade?
Because, the beta, sigma and the intercept values will change the next day if we add the recent data in the 200 look back period and so will the std_err.
In the position tracker excel which you provided the beta, intercept and sigma are kept same for 14th and 23rd of May.
Please, help me clear this doubt.
Thank you, in advance.

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