work for this week is to reduce turnover.


there's 2 levers I can try to smooth.
a) the actual signal
b) the volatility forecast
I am starting off with the signal because as we can see it's pretty bouncy even on a portfolio level. I've done some work in the past to smooth it over but truth to be told I haven't looked at this with the detail I should've.
signal still pretty bouncy and I am sure I can make it a bit better without giving too much of what the signal provides.
the volatility estimate is an option too, but its something I haven't thought carefully about the drawbacks of making it smoother or with a longer horizon. so grain of salt there, but it's a variable in the equation and it needs some attention.
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