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Hi isotope, are you saying that you don't apply any other rules to Vix, you just keep the total forecast permanently at -10?

Hi truetype, would you argue that Vix should not be in a trend following portfolio?

I agree with the ranges you state. I was speaking in terms of average annualized returns. So, over a long timespan you will average out to 20% per year.

Hmm.... Before I got into trend following, I was a die-hard efficient-market-theory buy/hold vanguard-index-mutual-funds-type. I did well with that strategy, but of course the returns weren't that great (although I probably was doing better than the average Joe, who was buying actively managed...

True, but if you are able to endure that volatility, which I hopefully am, primarily since I know this money is for my retirement in 20+ years, it's a superior strategy.

So, if drawdowns are comparable to buy and hold, but upside is significantly higher (30% volatility times .8 sharpe means 24% average returns, versus about 10% for sp500), I think it seems like quite a good strategy.

Thanks for the clarification. I feel that I could endure a 60% drawdown (or maybe I am deluding myself). In any case I could do worse just buying and holding the S&P500, right?

I've been futures trend following for about 6 months at 30% volatility. I'm okay on your points 1 and 2, but can you clarify what is a "1-2 sharpe drawdown"? Thanks.

Interesting point. How do you think a max volatility threshold should be determined?

According to GAT's book, a good way to determine max volatility is to reduce your expected sharpe ratio by 25% (lets say its .8, so that gets you to .6) and then reduce that value by another 50% to arrive at a conservative half-kelly result, or .3. (This assumes a positive skew strategy). By...

Hmmm, maybe I'm thinking of this incorrectly. If a backtested sharpe of .92 is not statistically significantly different from .86, then I would think I should add the rule. My logic is: since I can be fairly certain that it will add a bit of diversification to my trading rules, and it doesn't...

@isotope1, I have a backtested sharp of around .9+ using 15 instruments, and using GAT's 3 slowest emwas and carry with bootstrapping. I recently added GAT's breakout rule, and my sharpe dropped to .86. I wonder if that's a statistically significant difference, and if I should keep the rule or not.

I made a program that I check every day. It gathers prices for all my instruments, cycling through one at a time. It keeps track of the standard roll schedule of each contract, and when one of those dates approaches, it shows me details of the contract I'm holding versus the next contract. Once...

Right, for trend signal generation use the continuous. For PL use the real price. For Carry calculation (if it's part of your system), you will need to use the difference between the real prices of the two different contracts.

I don't use the continuous price series from quandl, I use the ones that have true prices and contract dates. The reason for this is that I am creating my own continuous price series with the method I described before. I guess it doesn't make much difference which you use. My prices should match...

I usually do #3 because I don't understand how a spread trade works. If I choose the option "roll" on my tdameritrade account (which I assume is the same as a spread trade), it shows a screen which shows me exiting the old contract and entering the new one. What does the limit amount of 1.95...

This makes sense to me, @HobbyTrading . GAT, why do you consider NQ a better instrument than ES for smaller traders who are building up their list of instruments? On the other hand, I feel like I have to trade US2 every day with every little blip in the market, since my max forecast right now is...

Hi GAT, In your chapter 15 portfolio from your first book, you have multiple versions of EMAC rules and only one Carry rule, yet you still weight the Carry forecast at 50%. This seems different from how you are weighting trading rules in your own portfolio. Why is this? Thanks.

To roll, I use the past year's history of rolls as general guidelines. So, if an instrument rolled on March 15th 2017, on March 1st 2018, I will start looking at the volume and the ba spread of the logical next contract. Once the ba spread and volume of the next contract are fairly close to the...

Personally, I have found this post of GAT's very helpful: https://qoppac.blogspot.co.uk/2015/05/systems-building-futures-rolling.html?m=1