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Hello Robert, First I'd like to point out a couple of issues with the code examples. In the new correlation article in order to run the provided examples one needs a couple of additional imports: from collections import namedtuple from scipy.stats import norm (at least I had to add them, using...

This is awesome, thanks! I quickly did an initial scan and I see that you ran into the same issue as me - "how many data points to use" to calculate the stdev of correlation estimate (after Fisher transformation). In my research I found that only values around 4-6 came pretty close to the...

Would you mind giving a brief hint in the meantime? I tried many things. Priors as average correlation, priors as corr of 0.5, none seem to show any order, still shrinkage factor is all over the place.

Hello again Robert, This time I have checked your code and found out that the shrinkage method is right there, so I reverse engineered it a bit and tried to reproduce the handcrafting candidate weights. What I found is that it is not the weights that are shrunk towards equal weights vector...

I had an idea that it was something like this. I tried taking the mid-point between the optimal weights set and [0.333 0.333 0.333]. However it turned out it is not that simple. For instance there are three sets of correlations (the usual AB, AC, BC ordering): 0.5 0.0 0.5 0.9 0.0 0.9 0.9 0.5 0.9...

Hello Robert, I have a question related to the handcrafting method. How did you come up with the weights for the candidate correlation matrices? They definitely didn't come from a straightforward optimisation, as for example the optimal weights for 0.0 0.5 0.0 are 28.5% 43% 28.5% but in your...

Hello Robert, I have read the post on the new and improved Sharpe ratio adjustment method, gave it some thought and came up with a couple of questions regarding it. Likely nothing major, but out of sheer intellectual interest I'd like to hear your opinion. 1) The Sharpe ratio difference...

Yes! One of the best comments on the nature of markets.

"The markets are the same now as they were five to ten years ago because they keep changing - just like they did then."

Thanks for the link. I think that blog post addresses the exact problem I had in mind. I understand the fastest EWMAC is mostly untradeable (due to cost threshold). But even with the slower one, the Sharpe difference is quite large, e.g. EWMAC 4x16 vs EWMAC 64x256 is 0.32 vs 0.70 My main worry...

Hello Robert, I have a question related to the handcrafting method. I see that the main input for the handcrafting is just the correlation (assuming all items are volatility normalised). Apart from the slight Sharpe adjustment scheme where we know Sharpe differences with great certainty (i.e...

Hello Robert, In one of your blog articles you have a link to your presentation called "The Myth of the perfect trading system". The link was https://www.mta.org/video/the-myth-of-the-perfect-trading-system/ and currently at...

My strategy in summary: slow trend following, diversified over 40 markets, about one trade per market per year on average (3/4 of the trades' duration between 3 and 11 months), very wide initial stop, position size is determined by ATR at the time of entry (no volatility targeting afterwards)...

I don't want to come off as nit-picky, but looking at yearly data there are two consecutive periods 16/17 and 17/18 that had -14% and -3.7% respectively. That's 17.2% based on yearly data. I believe on monthly and daily it would be even larger? Likely somewhere in the range of 18-20%? The...

I wonder what was your max drawdown over the whole 6 years period. Specifically for your futures trading, excluding the hedges. Do you happen to have monthly performance data? Or perhaps even daily?

I think mark to market for futures value is missing.

Ah yes, forgot to add some context. Breakouts usually have around 35-40% win rates if trades are managed in a trend-following way (i.e. stop is trailed), provided the stop is not too close (or you'll get even lower win rate). It seems you are doing everything!

Breakout trades usually have a win rate of around 35-40%. How do you pull it up to 70%? (if I'm not mistaken)

How would you describe your method in a few statements?

I consider fees and other trading costs as inseparable part of trade P&L.