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Entertaining article: https://www.winton.com/davids-views/October-2017/in-memoriam-1987-a-year-that-shook-finance-to-its-foundations A good week here, up 14% (still in DD though).

For any daily strategy, you need to backtest many years on many instruments to achieve statistical significance. It's too hard to tell from a demo account if the strategy is working.

I'd certainly rather follow my own system than a random one on website! Having said that though, I could totally see myself give my cash over to another quant fund if I understood the strategy, as there's some hassle to running it yourself. I would never download a strategy from the internet and...

It's Eurodollar. Just to add my thoughts- I trade this ~40 months out, and the VIX/VSTOXX 2nd contract, to try and minimise whipsaws. On the topic of HDF vs Arctic. HDF in Pytables mode is really the fastest solution, I recommend this for running a trading system on your PC. Arctic has roughly...

What are your thoughts on dynamic allocation to trend following? I'm following the lead from the last chapter of the Kaminski book. I'm going to swap the equity part of my portfolio to a Vanguard 60/40 fund, but the book proposes capitalising on the mean reverting nature of TF's performance...

Fair point; I've seen it mentioned in a number of other places that TF works best when blended with a standard 60/40 portfolio (not sure any of these are statistically significant, but I can believe it). It's been on my mind to write some other strategies that should be complementary (market...

I programmed something similar; where VAR was inversely linked to drawdown (that is, as the system drew down, it backed out of the market). Cut a long story short, you make more money by taking risk and doing the uncomfortable thing.

This is what I thought too. The flat is a nightmare anyway, so I'm really looking for an excuse to sell it. I don't live off my investments at all. I'm surprised you mentioned only 20-30% in a TF strategy. Surely the expected Sharpe of a TF strategy exceeds that of all other investments...

The greatest speed up came from switching from storing price data in CSV to using HDF5 in pytables mode. I calculate the position for a notional capital amount (500k) for each instrument separately and then combine them, and finally rescale the entire portfolio based on a moving average of the...

I appreciate this is off topic, but I learnt pretty much all I know from this thread, so thought I'd ask here. I trying to come up with a systematic argument to answer this question. I own a London flat * Market value £480k * £250k mortgage. * The net income is 7.2k after taxes, costs and...

I came across this paper, interesting read. https://www.ahl.com/documents/download/HLWLA-gGdBO-hOVmb-ihuFi/Man_AHL_Analysis_Dissecting_Investment_Strategies_in_the_Cross_Section_and_Time_Series_English_01-12-2015.pdf

@globalarbtrader that's a very low drawdown from hwm, considering I'm almost twice that at the same vol with 46 instruments. That said, I am very equity market heavy. With regards to holidays etc, I'm in the process of moving everything to Google Cloud now; I hired a docker expert on upwork to...

Not great, currently sitting on a 22% drawdown from HWM.

What's your target volatilty?

I'm just curious to see how everyone else is doing? I'm now in an 18% drawdown from HWM, which has happened really very quickly. Still @ 25% vol, but gotta say it's a little uncomfortable.

Here's some things I learnt for anyone else trying to implement this with Python: Working with data on one machine? Try HDF5 in tables mode. Working with data across many machines? Try Arctic (AHL's ticker plant). Try concurrent.futures.ProcessPoolExecutor().map() for backtests. My first...

For vstoxx, do you trade the front contract? (On vix, I trade 3 months out, and compare the nearer contract for my carry). Sometimes, for some of my carry forecasts, I get this oscillating behaviour (this is bobl, trading front contract, carry to next quarterly contract). I'm including a 90...

Does it make sense to include a 'sticky-coin-toss' rule or buy-and-hold rule into the bootstrap? Anything that gets weighted (significantly) above gets to stay, and anything below gets thrown away?

I'd encourage you to add carry - it will make a material difference.

So, to say this another way, all those hundreds of indicators that people have made are probably quite pointless, because there's no statistically sound way to prove them? I guess people are attracted to the hocus pocus idea of edge (me too!). Do you submit any stop-loss type orders, or do...