Recent content by Elder

Having kept quiet, so as not to jinx the nice run up in P&L a couple of weeks ago, doesn't seem to have curried any favour with the systematic gods. Since then I have gone through a sharp and stomach churning drawdown and now am about flat to slightly down on the year. Anyone else experience...

Brilliant thanks - forgot about CLT!

Another question on your excellent ST framework for rule development. I don't know if you have played around with non-linear/non-gaussian rules but this is what I am currently attempting. I am trying to backtest a couple of such rules but the issue I am facing is because of the non-normal...

Ok got it. thanks.

A thought. On idm's I assume the main purpose behind the cap is to take a haircut on the theoretical max correlation benefits (even after flooring correlations at zero) for reasons not dissimilar like not taking full kelly seriously? If this is the purpose, one thought I had is modify the...

Thanks Rob. Eu based currently but not a limited company.

Just had my gateway blocked from trading. To unblock it I was required to fill in a questionnaire on the level of automation in my system - apparently to satisfy regulators who according to the survey may contact me. Is there some new sinister clampdown on automated futures trading at the retail...

There is a side business for someone here… How much are you willing to pay?

My system is down perhaps 1pct last week so not so dramatic. But it’s been choppy all the way from March this year for me. I blame the turbo charged risk on/risk off environment.

Would anyone here include a MR type rule (which I have constructed) in their system which has a SR of .3? This is based on a backtest using pooled returns of 40 instruments. I am tempted to throw it out but....

Interesting so forwarding a link may no longer work

Yup. Not all brokers differentiate between MIFID retail and data retail which IBKR does. Saxo will automatically reclassify you as professional for data purposes if you reclassify as a MIFID professional client and charge extra.

Ha! Crypto regulations are clearly absurd on many levels. However your inability to trade crypto futures must be an FCA bar as I am allowed to trade crypto futures despite being a retail client (in the Irish entity). Speaking of regulatory absurdities, I am classified as a big swinging (retail)...

Hello all. A question for those who have either reclassified as a MIFID professional as opposed to retail client (or have researched it). I am thinking of finally making the change so I can trade many of the US ETFs which come without KIIDs. Apart from the loss of protection and retail...

I see the flaw in my thinking now. A risk snapshot is based on CURRENT posns. Historic risk is not. Please ignore this last comment, nothing to see here.