You know we were talking about strategies with no negative years? I just noticed that Winton hasn't had any down years:...
I did that too; I built it all vectorised. I'm in the process of tidying it up to open source. When I think about how much work it would be to...
I have no issue doing this kind of work; I really enjoy it. The issue is, building the code around it all is a lot of work, and 95% of it is...
I know. It’s more of a thought experiment. Designing these things is very interesting.
Well that's exactly right. I'm trying to design portfolios have that perhaps have lower returns, but tend to post positive returns every year,...
Can I ask a potentially dumb question? Why is it not possible/not a good idea to go long-short on futures with differing expiries, and just earn...
I guess their business is to earn recurring management fees, and vol scares off customers!
From the FT today: "Trend-following quantitative hedge funds were among the biggest victims of the current market turmoil, wiping out much of...
Any idea which rule dominated that decision? My own rule weights are: rule_weights = {'carry': 1.0761308295764749, 'ewmac16':...
Did you manually take off equities or did the system do that? The reason I ask is because my system was staying very long for equities, and...
Honestly, I've never been so lucky in my life. Literally the last hour. Very, very fortunate indeed. -19% from HWM. System is cutting back, but...
Let me add that it looked like I closed out at literally the last hour. I bought back 14.3 this morning, VIX is at 17.3 now. Total saving £30k....
You're probably right. Well I'm glad I'm out today, otherwise I'd be another few £k down. From a purely academic argument, it doesn't add much...
Well, my position in VIX was -10 contracts, and about -40 contracts on VSTOXX. Taking VIX at 14, $1000 per point, that's $10,000 per point. My...
Following everyone's advice, and realising how quickly vol can spike on bad news, I realised that a '2008' style spike might result in my account...
Sorry, it was ~30%, my bad. In addition, a chunk of that came when I less diversified & more lucky (outcome of French election & CAC40 gapped in...
that sounds like we shouldn't trade it? Nothing's worth betting the house on.
I know... but really how much worse is it than going long equities?
I haven't checked, but I imagine I'd probably be more in line with GAT (who isn't trading vix/vstoxx). I'll add that the short sharpe of vol...
Yes. Although it's worth pointing out that @globalarbtrader has both a -10 and ewmac running, which is probably the optimal solution. Sadly about...
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