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Got it. What do you mean by robustness? It's probably possible to speed things up using Cython, but I reckon it's not worth it if you trade a system with long holding periods.

It's a pain whenever the exchange changes the contract specs. Ideally IB should notify its clients trading this. Pysystemtrade is great and it's extremely generous that you share this with the world. I learnt a great deal, thank you for that. Out of curiosity: on what aspects would think it...

Hi GAT, I think you mentioned that you trade relative value. Could you explain how that works (if not proprietary)? Seems like a great addition to a trend-following system (correlation-wise), but I'm not sure about the Sharpe ratio and consistency. Thanks!

Got it, thanks. Appreciate your insights, don't leave ET!

I meant that the VIX (spot) index is stronly mean-reverting. Is that a property that can be exploited trading futures?

GAT, any performance update scheduled? Eager to see how you've done year-to-date. Another question: it seems you're short VIX for its risk premium by default. Aren't you worried about spikes in low-vol enrvironments? And can the mean-reversion VIX be captured by trading futures? Thanks a bunch...

Best advice here: listen to GAT, everything he says makes sense. And he's a risk taker. His strategies run at 25% vol per annum (if I'm not mistaken). That's pretty agressive: DD scales linearly with vol, and for most (surviving!) CTAs that multiplier is 1.5. So I think he's looking at a maxDD...

Okay, thank you. Price data it is!

Understood, thanks.

That's a short summary after years of research, but all the more useful. I thought that FX and fixed income could perhaps be traded given the link of fundamentals with monetary policy.

I suspect that cross-sectional strategies and time-series strategies run at substantially different volatilities given same weights.

Is there information in low-frequency, supposedly lagging, macro data that can be exploited trading futures? Do you have ideas where to begin and how to do this?

And another one, fishing for your ideas: do you have a few pointers on how to design non-price, macro-based futures strategies? Thanks for your generosity & great insights this year again. Merry X'mas.

GAT, I've gone through your book and have a doubt. Weights are scaled to -20 : +20 for individual strategies, regardless of whether we are looking at time-series or cross-sectional strategies. You then combine them using weights between 0 and 100%. Doesn't this underweight cross-sectional...

That Your book is on its way, just ordered. How do people typically break down performance into different signals? It's not trivial, as you also say, but funds must do this, isn't it?

Understood, thanks. Adjusting the bootstrap this way makes sense, but is a bit ad hoc. Unless there is a way to get to the "overweight factor". Thinking of it, Bayesians probably have something more formal (prior = backtest, then add data). But would need to work that out. On your...

Brilliant, thanks a lot. Don't understand everything, but don't want to run the risk of being ignored either, so I'll count my blessings . One question, one remark: Q1: when giving weights to strategies, do you know of a way to take "actual track-record" vs "backtested-only" into account? I...

Hi GAT, Thanks for sharing! Really like your insights: to the point, honest, useful and, often, very funny. Love those little footnotes with dry, English comments! It's a privilege for all of us to interact with such an experienced quant veteran who is yet so humble. Now on to the questions...