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I'm really looking forward to reading another book by you. Your first book honestly revolutionized how I view trading and dramatically helped me refine my own strategies. What is the topic of your new book? Is there any more information you're able to share? I'd be happy to help with...

Hi GAT, I’ve been using pysystemtrade to backtest several strategies, that I would now like to try to track in real time. I am not sure exactly how I should proceed here in terms of pysytemtrade. Please correct me if I’m wrong or if there is a better way to do it, but the steps I am thinking...

Hi GAT, Do you have any thoughts on what can be done to limit drawdowns, apart from running on a lower vol target?

Hi Rob, I have tried numerous variations to get around the high correlation between the EWMAC and breakout systems, but to no avail. Do you have any insight you can provide? I basically use: from systems.provided.futures_chapter15.basesystem import * with my config. I don't seem to be able...

Hi GAT, I have included your breakout rule with several parameters ranging from 20 to 320 in pysystemtrade as well as ewmac (parameters from 2 to 256) and carry, and applied the optimization process to these. I have used the same sample set of instruments as you include with pysystemtrade. For...

Hi GAT, Do you vol standardise your breakout rule?

Hi, just wondering if anyone has a link to the video? I have the presentation, but it is a little difficult to intrepret without the video/GAT's explanations. Thanks

When I simulate the breakout formula, I see the way you have defined it means it is bound by +2/-2. If I multiply this by 10 it fits nicely with the rest of the scaling. As the method is bound, it is normalised. Can I correctly infer from this that you do not calculate a forecast multiplier...

Hi GAT, is there a reason why you use a value of ws/4 for the EWMA of the breakout? Why 4? I see you have also multiplied the denominator in min_periods function. What sort of values do you look at for breakouts? 10, 20, 30, 40, 50 etc?

Hi GAT, Great post. Your posts to date have focused on your futures portfolio, yet your equity portfolio seems to be significantly contributing to your returns. Can you offer more insight into your equity portfolio? Does it have a value/momentum/etc bias? What sort of strategy is it and how does...

Hi GAT, In your backtesting, do you assume you execute at the closing price (plus slippage and transaction costs), at the next day at the open or at some other price? Also, in your EWMAC rule, is there a reason why the span of your slow EWMAs are 4x longer than your faster EWMAs? Did you test...

Hi GAT, What is the historical max drawdown for your system running at an annual vol target of 25% and the Sharpe Ratio?

Hi GAT, in your optimisation techniques, are you seeking the global minimum variance portfolio (minimised standard deviation for given level of return) or the 'tangency' portfolio (best Sharpe ratio) assuming risk-free rate is zero?

Hi GAT, for your use of Sharpe ratios, are you excluding the risk-free rate in all of your calculations and just dividing returns by standard deviation, or are your dividing excess returns by standard deviation? If you are including the risk-free rate, what are you using? Also, are your returns...

I understand that this approach makes sense for comparing your expected slippage vs actual. How do you sample the bid/ask spread for the input into how costs affect your trading rules during the construction/bootstrapping phase?

Hi GAT, when estimating costs as per chapter 12, how do you estimate bid/ask spreads? Do you download time series of very short frequencies of the bid and ask (say every 5 minutes) over a couple of years to get an average? Can you provide any pointers on estimating the bid/ask spread? Thanks!

Hi GAT, I noticed that the links on {http://www.systematictrading.org/resources} relating to EWMAC in Chapter 7 are linked to the wrong pages. Would you be able to fix these? Thanks!

Hi GAT, Looking at your above formula, it is not clear to me what you mean by L/4 smooth - can you elaborate? Why 4 and where does the L/4 smooth enter the EWMA? I assume you then volatility standardise this EWMA. Also, in order to obtain forecast scalars that are on average equal to the...

Hi GAT, On page 254 of your book you mention to use trading capital to calculate the cash volatility target. On page 151 you mention that trading capital includes profits and losses. Is the included capital from profit/loss only for closed positions or also open positions? i.e. do you used...

Hi, I have been calculated a covariance matrix using 10yrs of historical data for various instruments. I have noticed that the length of the price series for different instruments varies considerably, meaning that one does not have equal time series to calculate correlations. How do you...