Recent content by KCOJ

@wopr I just saw your post from a while back relating to “Strategy twenty-seven: Safer fast mean reversion” from the AFTS book I agree, there is most definitely a lookahead error with the equilibrium calculation whereby we are using today’s close in order to calculate order levels for earlier...

Yes, email received Feb 21st

Price Display for ICE Derivative Classes: CT, SB, SO, SF, KC, KO, OJ Prices for these products are currently displayed in dollars on IBKR trading platforms. To be consistent with exchange quotation, we will change the display from dollars to cents. The change affects product quotes and API...

If you search you will find that all of the below recommended markets are available via IB. I have at some stage traded all of them so well aware that some do have liquidity challenges but none more so than your inclusion of the SGX Straits Times Index!! In addition it’s important to look at...

I appreciate that with your current portfolio constraints you may not be able to trade large bond contracts such as the Buxl, Ultra US, or big JGB’s, but even with a small portfolio you should certainly be able to afford 1-lot allocations to 10yr Australian and Korean bonds as well as the...

My understanding is that you're considering including these markets within some form of a longer term trend-following (LTTF) strategy. If that’s the case then imo (providing your account size is sufficient) you should absolutely add them to your portfolio. I’ve always found a key tenet of...

Even better ... FANG+ https://www.theice.com/fangplus

You may like to have a read through the below post and then feel free to make contact if you can see some benefit … https://www.elitetrader.com/et/threads/do-you-have-less-than-5-years-trading-experience-then-you-need-to-talk-with-me.333583/ btw the deal you’re proposing is of no interest, but...

This chart I’ve made shows 36-month forward curves (every 10 days) over the last 30 odd years. The simple graphic allows you to observe levels of contango appearing briefly in 2009 that are similar to today’s. But otherwise these levels are indeed historic.

Nope, that’s my son Wow, very kind, thankyou Hilarious Couldn’t agree more … wise words Looking for the humour here but not quite getting it Not so much, as there’s a huge variance in these metrics depending on strategy type, so I’m normally more focused on some measure of risk adjusted...

Apologies upfront for the blowhard post title but I sincerely believe that to be a true statement. I’ve been trading exchange traded futures, both professionally and for my own account, for almost 30 years now and really do wish that I had had the benefit of a more experienced trader to bounce...

Nice point … also of interest, they are asking for … These guys are certainly not alone in using minimum Sharpes as a pre-requisite for recruiting traders but imo chasing glittering past track records has always been a fools game. In fact if you take a look at Ferguson Hyams website they...

I’m interested in meeting and talking with investors here in HK who have an interest in developing and trading quantitative and systematic investment strategies. Just to be clear I’m not looking to start an investment club, meetup group or raise new money … nothing formal at all … just a chance...