Entertaining article: https://www.winton.com/davids-views/October-2017/in-memoriam-1987-a-year-that-shook-finance-to-its-foundations A good week...
For any daily strategy, you need to backtest many years on many instruments to achieve statistical significance. It's too hard to tell from a demo...
I'd certainly rather follow my own system than a random one on website! Having said that though, I could totally see myself give my cash over to...
It's Eurodollar. Just to add my thoughts- I trade this ~40 months out, and the VIX/VSTOXX 2nd contract, to try and minimise whipsaws. On the...
What are your thoughts on dynamic allocation to trend following? I'm following the lead from the last chapter of the Kaminski book. I'm going to...
Fair point; I've seen it mentioned in a number of other places that TF works best when blended with a standard 60/40 portfolio (not sure any of...
I programmed something similar; where VAR was inversely linked to drawdown (that is, as the system drew down, it backed out of the market). Cut a...
This is what I thought too. The flat is a nightmare anyway, so I'm really looking for an excuse to sell it. I don't live off my investments at...
The greatest speed up came from switching from storing price data in CSV to using HDF5 in pytables mode. I calculate the position for a notional...
I appreciate this is off topic, but I learnt pretty much all I know from this thread, so thought I'd ask here. I trying to come up with a...
I came across this paper, interesting read....
@globalarbtrader that's a very low drawdown from hwm, considering I'm almost twice that at the same vol with 46 instruments. That said, I am very...
Not great, currently sitting on a 22% drawdown from HWM.
What's your target volatilty?
I'm just curious to see how everyone else is doing? I'm now in an 18% drawdown from HWM, which has happened really very quickly. Still @ 25% vol,...
Here's some things I learnt for anyone else trying to implement this with Python: Working with data on one machine? Try HDF5 in tables mode....
For vstoxx, do you trade the front contract? (On vix, I trade 3 months out, and compare the nearer contract for my carry). Sometimes, for some...
Does it make sense to include a 'sticky-coin-toss' rule or buy-and-hold rule into the bootstrap? Anything that gets weighted (significantly) above...
I'd encourage you to add carry - it will make a material difference.
So, to say this another way, all those hundreds of indicators that people have made are probably quite pointless, because there's no statistically...
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