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Then you can't be much of a fan of trend-following!

I guess it depends on whether you're talking about their flagship program, which is the program the original performance link was to at ctaperformance.com, as it is the only program they've been running since 1997. I know that this program started trading long/short cash equities in 2010 because...

From what I understand, Winton has only about 50-60% of their risk in trend following, about a quarter in carry and the rest in newer strategies, so they are becoming more and more of a hybrid trend-follower as opposed to a pure trend follower. They also trade long/short market neutral equities...

Fortuitous timing on your decision with spot VIX moving from 17 to 37 today! Hope everyone did well, or at least not too badly, after last night.

Hi everyone, I am comfortable with trend following, but am seeking to diversify through some mean reversion. I know strictly speaking carry is a form of mean reversion, but does anyone knows of some good sources or strategies for mean reversion on futures?

Most central banks have good historical data on exchange rates. Try https://www.federalreserve.gov/releases/h10/Hist/ This has daily data from 1971 onwards.

Hi GAT, The recent flattening of the US yield curve got me thinking that it might be worth trend following on the slope of the yield curve. To work out the ratio of say 2yr and 10yr, would you use a duration adjusted spread or look at the daily dollar standard deviation, or something else to...

Hi all, when evaluating trading strategies, I typically look at mean, variance, skew, kurtosis, among other things. When working with daily returns, it is easy to annualise these (*252). Same goes for standard deviation (*sqrt(252)). How about skew? Does anyone have any thoughts on annualising...

Hi all, Let's say you were using back-adjusted futures prices that had experienced so much cumulative backwardation that historical values were negative. Let's say you were computing a simple momentum system using the percentage change in price over say the last day and you were working with...

Hi GAT, Is there a way to dig out the information on trades in pysystemtrade i.e. to evaluate the distribution of trades (not the daily distribution of returns)?

Hi GAT, Why does Fundseeder use the Sortino ratio /sqrt(2) ? I understand the Sortino ratio, but I don’t understand why the multiply it by 1/sqrt(2). I also don’t see this documented that way anywhere else... I am guessing you have an idea why given your extensive knowledge and experience

Did you end up finding a solution? I am trying to do something similar, along the lines of a risk parity type portfolio...

From a data perspective it is a market that provides a diversification benefit, having a low correlation to most other markets, and has a lot of volatility. Liquidity may be an issue and that is what I will be looking out for. What is the major reservation you have on Bitcoin as it enters...

Hi GAT, Will you be adding Bitcoin futures to your portfolio when they list on the CME later this year?

Hi GAT, I'm working my way through your new book and experimenting with some of the techniques, such as bootstrapping moment estimates. I am having some trouble with bootstrapping correlation estimates in python. Any chance you could provide an example of how you do this or a post on your site...

Hi GAT, How can one insert a rule into pysystemtrade that results in a long position if greater than e.g., 5 day simple moving average and short if below? This is of course not what I am directly trying to test, but I found it embarrassing that I cannot seem to code such a simple thing into...

Hi GAT, What determines when you sample the market? I see in the above snapshot you've sampled the market and recorded prices at irregular frequencies. Also, is it possible to get pysystemtrade to work with intraday data as above? I assume that sampling the market intraday will lead to...

This is precisely what I meant. Thanks for the explanation

Also, do you have thoughts on why the mean square error for a trading system decreases by the inverse of the square root of the number of YEARS of data and not the number of DAYS of data?

Hi GAT, I'm still struggling with this. I noticed with my config that each time I fix the weights, the IDM always shows up as 1 over the entire sample period. How can I fix the weights but allow the IDM to fluctuate? My yaml config is as follows: forecast_weight_estimate: method: bootstrap...