Problem
1. Fit the time series of dollar bars of E-mini S&P 500 futures to an O-U process. Given those parameters:
(a) Produce a heat-map of Sharpe ratios for various profit-taking and stop-loss levels.
(b) What is the OTR?
2. Repeat exercise 2, this time on a time series of dollar bars of
(a) 10-year U.S. Treasure Notes futures
(b) WTI Crude Oil futures
(c) Are the results significantly different? Does this justify having execution traders specialized by product?
Exercise 2
Fit the time series of dollar bars of E-mini S&P 500 futures to an O-U process. Given those parameters:
(a) Produce a heat-map of Sharpe ratios for various profit-taking and stop-loss levels.
(b) What is the OTR?