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Suggestion for Christmas Trading - VaR going down due to lower volume

Hello hello,
I’m planning on trading normally till the end of this trading week, then my plan is to trade with a lower volume on 23rd, 27th, 30th and 3rd.
As I understand, VaR is calculated on active days, so it’s not a problem for the days I won’t trade, but I’m afraid of the days I will trade with a lower volume.
My concern is that they will bring the VaR down and will expose more my investors when I get back to my normal trading activity, on the second week of January.

Any feedback and suggestion is very very appreciated :slight_smile:

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In my opinion few days with lower risk profile should not be a problem for VAR and Risk Stability
These algos have a lookback of 45 days.

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Try it out - if you see that VaR runs out of your acceptance you could stop trading for these few days and nothing will become worse.

In my personal expectation I agree with @CavaliereVerde that the difference is not expected to be significant or huge if your Darwin is older than 45 days.

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My only doubt is that in the specific case of IRY the algo is still learning the target var because ther aren’t 45 trading days yet, so the calculation could be more sensitive.

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VaR calculation started on Oct. 20th so it will be about 40 days old until the 23rd of December. So I don’t expect massive moves in these few days as the VaR found it’s range between 5.75 and 7.47 until now, currently shown as 6.14 under the Rs attribute. If it raises up to 7.5 it is still in the current range, I would not expect an ecploding value if only the volume is truncated.

IRY has an average of about 3 trades per day and if that is not reduced to only one on each of the dates mentioned above I would expect only a moderate increase of the VaR replication.

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Right , there are already 45 days so VaR is accurate, but the channel is defined only since November 28th so RS score is still recovering and should become higher than 8.

BTW I think your var will stay above 4.5% even if you trade with half volume for less than 10 trading days.

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Thanks for all your comments, very very appreciated.
Does anyone know (or remember) if the VaR is a linear calculation on 45 days or a weighted one? It would help me to understand better how much it would vary if I halve the volume for those 4 days, so I can alert the two investors in my strategy.

Thanks!

I think it is linear, so the first days weigh as the last ones but I cannot find a confirmation on the documentation.

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