rolling_beta
method from the SigTech signal_library
to compute the rolling beta of nq_rfs
to es_rfs
. The rolling window
is set to 60
days:NQ
to ES
is mostly above 1. This is due to the higher level of volatility generally associated with NQ
.1.0
to the strategy to be hedged, nq_rfs
, and − beta
to the hedging instrument, es_rfs
.SignalStrategy
building block to create a beta hedged version of a strategy: