globalarbtrader
Joined:
Feb 9, 2015
Posts:
2,869
Likes:
2,510
Gender:
Male
Home Page:
Location:
Essex, UK
Occupation:
Self employed systematic trader,
    1. andyAmazing
      andyAmazing
      Please feel free to use my EA gpt4_ea_fld_sub as I have tested it many times and it performs very well, if you have some questions please contact me: andyJJAmazing@gmail.com
    2. nb979797
      nb979797
      Hey Rob,

      So if a reader of SP has 100k to invest and has come to a portfolio allocation that suits them based on some of the teachings in that book... would you suggest a lump sum investment into that portfolio, or DCA'ing into it to reduce market timing uncertainty?

      Thanks!
      1. globalarbtrader
        globalarbtrader
        I wouldn't want to retread the many arguments for and against DCA. If you believe markets go up and have a long enough investment horizon don't use DCA and that is all there is to it.
        Feb 21, 2024
    3. brian304
      brian304
      I really struggled to get your results to reasonably match my version. In your strategy six and seven google sheets Accounting SP500 references a cell 3 rows (days) ahead in the TrendSP500 sheet. In spreadsheet7, Accounting SP500 sheet cell F14 contains ='Trend SP500'!L14*$C$1*$C$5*$C$3*$C$4/(10*$C$2*D14*I14*E14) for January 10 1997. 'Trend SP500'!L14 is January 15 1997.
      1. No.Emotions.Trader
        No.Emotions.Trader
        Also EMA formula is not right too..
        Feb 25, 2024
        brian304 likes this.
    4. peacefulscenery
      peacefulscenery
      Hi Robert,

      I can't find an option to send you a private message. Can you please PM me or how can I contact you? I found you by reading many comments on several topics on here.

      Thank you,
      Tina
    5. gchao
      gchao
      Hello! I've just read "Systematic Trading" - thanks very much for writing it. I'm a software engineer but don't have a background in finance, and I'd like to learn enough technical analysis to follow the breadcrumbs in your thread (for example, implementing a trading rule for breakouts.) Do you recommend any books/resources in particular?
      1. Zodiac4u likes this.
      2. globalarbtrader
    6. itb
      itb
      1. Zodiac4u likes this.
    7. quidsinken
      quidsinken
      Hi - I bought and read your book - impressively thorough, thank you. Time for me to start looking at correlations between the intruments I currently trade... I understand there's some Python code on your website to get me started on this (I was intending to look at weekly data)?

      Best, Andrew
      1. globalarbtrader
    8. oneloop
      oneloop
      Hey, I got your book. You talk about how to combine forecasts and I wanted to see this with a regression. I regressed (price.shift(-30)-price)/vol against EWMAC_16x64 and get p-value=0 but R^2 tiny (between 0.01 and 0.001 depending on instrument).

      But what really confuses me is that when regressing against the combined forecast the R^2 almost always gets worse. What am I missing?
      1. globalarbtrader
        globalarbtrader
        It's pretty common when forecasting in financial data to get really poor R^2. I prefer to look at performance. Even if you do this it's still possible by luck that you'd get worse performance with multiple trading rules rather than just with one, if that one rule just happens to be the best. But I'd personally still rather have multiple rules as it's more likely to do better out of sample.
        Mar 20, 2018
    9. epimetheus
      epimetheus
      good evening! i registered myself at fundseeder. under leaderboard, I guess you are currently listed as #13 with an FS Score of 81 with a cumulative return of 121% after 4 years and a max DD of approx. 9%. one trader is listed at #4 with an FS Score of 87. this account is being tracked for 9 month, having a cumulative return of 9% and a max DD of approx 3%. how does this come? thank you in advance
      1. globalarbtrader
        globalarbtrader
        My FS account is 4483751. The FS score algo takes a number of factors into account, including return, drawdown and time spent trading.
        Nov 10, 2017
    10. Devashish Choudhry
      Devashish Choudhry
      I just got your book. Is there something in the system that you post about in your automated thread that cannot be found in that book. Please let me know. PS- I read the first few chapters already. It's a nice and straightforward read. Thanks.
      1. globalarbtrader
        globalarbtrader
        The automated thread goes into a lot more detail about my system. If you have the time it might be worth reading through, perhaps once you've finished the book.

        PS thanks for buying it!
        Mar 9, 2016
        Zodiac4u likes this.
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  • About

    Gender:
    Male
    Home Page:
    http://www.systematicmoney.org
    Location:
    Essex, UK
    Occupation:
    Self employed systematic trader,
    I spent a couple of years working as an options trader at an investment bank, then seven years as a portfolio manager / researcher in a large systematic HF. I now manage my own capital from home, and do a little writing. My main portfolio is trading about 40 futures on a fully automated basis, using mostly trend following signals.

    Areas of (some) expertise:

    - systematic and automated trading
    - trend following (not high frequency)
    - futures
    - fixed income
    - fundamental, global macro
    - python
    - linux
    - Interactive brokers API

    I wrote some books on trading.

    You can read my blog here:
    http://qoppac.blogspot.co.uk/

    Interact

    Content:
    Twitter:
    investingidiocy
    LinkedIn:
    http://uk.linkedin.com/pub/robert-carver/27/75a/132Robert Carver
    Google+:
    https://plus.google.com/u/0/112639816429191915042/posts