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I supoose spreads exhibit high negative skew, so even if it has higher SR, you probably don't want to leverage it up too much, unlike with positive skew strategies.

Seems the google drive file was not shared (it says "You need access Ask for access, or switch to an account with access.")

Oh no, I didn't mean that! What I meant is just the daily returns that were used to generate the chart.

Hi Rob, Would it be possible for you to share the dataset which was used to generate the daily return chart?

The reason is 2020 was a very good year for trend following and generally 2011-2019 period is quite "dead". So I wonder what it was like for your system. If it's still SR 1.0 then it's quite extraordinary.

Is it for the period [2010-2019] or does it include 2020 and 2021? I assume this is before costs?

Nice. Do you know what Sharpe ratio it achieved in the 10 year period starting on 2010 Jan 1st? It has been a challenging period for trend following but it looks quite nice on your chart. Or could you post numerical data of the backtest perhaps? Daily performance numbers? Backtest from the...

Yes, kind of anonymous forum therapy for traders. Hey! I never believed in the Gaussian return distribution. This volatility targeting is taken with a grain of salt. Most days it's a fine approximation but I expect abnormalities in the markets to happen occasionally.

Currently at -1.9% for today, which is nothing unusual. For me it's cotton (after being a good boy for such a long time) and gasoline that are hurting me the most. Interestingly, of the better performers at the moment are two shorts: cocoa and EUR/USD.

-8.55% on Friday +2.49% on Monday about -2.5% today so far

Markets are somewhat recovering today. +3.5% for the day so far, but of course, the day's not done yet.

Thanks for listing the rules. I see some new ones I haven't seen before. Do they add any significant improvement to the performance? Or is it mostly efforts of diminishing returns?

Robert, if I recall correctly, almost half of your futures allocation is to relative value? I suppose that part doesn't get hit that much by these shocks and therefore the impact on your portfolio was not as large as opposed to those that do trend following and carry mainly?

-8.55% for the day -7.86% for the week Running at 32% volatility daily at -4.3 sigma, but weekly only at -1.8 sigma. So far the worst daily loss but from weekly returns perspective I had worse weeks before.

You don't have to back adjust anything when calculating carry. For example nearest month in ES is December 2021. Next contract month is March 2022. So you take these two and get the price difference between them for a number of days. Then take into consideration that the contracts are 3 months...

Perhaps I'm misunderstanding something, but how can you calculate carry using backadjusted data? Calculating carry requires comparison of different month contracts (or a contract vs spot price).

Guys, the number after "/search/" is the ID of a search result and it is associated with a specific user session. We can't view other people's search results.

Of course it works for you as this search was done with your browser session. It doesn't work for anyone else. I am familiar with all he posted.

"Elite Trader - Error The requested search could not be found." Copy-pasting the URL of your search results doesn't work. What were you trying to show?

I took another look at the code above and noticed that daily data is enough to test it, so I quickly coded it up along with the edge test and ran it on SP futures continuous contract data. I've got the following edge test results: 1983 15% 1984 97% 1985 96% 1986 64% 1987 64% 1988...