Recent content by AlexCh

Is it possible to test a simple filter using pysystemtrade: do trades only if they have the same sign as the ewmac (1,4) rule forecast?

I suggested that you could wait for a relatively low expected risk before adding capital. Smaller positions, lower trading costs, less chance of adding at the end of a trend.

1) When you increased your futures account, did you pay attention to the low expected risk level of your portfolio? Or low level of leverage? 2) How do your UK shares fit into the 40/5/55 allocation? Is this part of "55"? What part?

Hi, Rob! In the fifth chapter of AFTS you give an example of long only trend following strategy. You note that risk targeting misses the target. In your test for the Jumbo portfolio, with a 20% target, the realized risk is 14.8% (table 20). The reasons are obvious, since the system periodically...

Hi, Rob! As you blogged repeatedly in your April annual reports, you have a long only portfolio of stocks and ETFs in addition to systematic futures trading. What do you think about hedging this portfolio by short selling of index futures on some trend signal? As I know you do not hedge. I...