Search results

You know we were talking about strategies with no negative years? I just noticed that Winton hasn't had any down years: https://ctaperformance.com/wntn I'm not sure what they're doing that makes such a big difference. Here's the result of my constant capital back test from 2000: As you can...

I did that too; I built it all vectorised. I'm in the process of tidying it up to open source. When I think about how much work it would be to move to an intraday strategy, I start to get the shakes. It's such a pain integrating data from different sources/timezones etc. I'm also not sure what...

I have no issue doing this kind of work; I really enjoy it. The issue is, building the code around it all is a lot of work, and 95% of it is building 'stuff' and not actual strategy. Guess I should just get on with it and build it! :)

I know. It’s more of a thought experiment. Designing these things is very interesting.

Well that's exactly right. I'm trying to design portfolios have that perhaps have lower returns, but tend to post positive returns every year, while softly limiting myself to futures as an asset class. The only options I've got so far are: Shorter term trading (though I haven't been able to...

Can I ask a potentially dumb question? Why is it not possible/not a good idea to go long-short on futures with differing expiries, and just earn the carry? You'd need to lever up to earn a return, but I expect said return would have a very low volatility. Do people do this? Where's the unseen risk?

I guess their business is to earn recurring management fees, and vol scares off customers!

From the FT today: "Trend-following quantitative hedge funds were among the biggest victims of the current market turmoil, wiping out much of their 2018 gains in two torrid days of trading and undercutting their status as risk-mitigation tools. Surging global share prices during January lured...

Any idea which rule dominated that decision? My own rule weights are: rule_weights = {'carry': 1.0761308295764749, 'ewmac16': 0.94565802638498464, 'ewmac32': 0.97404151565516006, 'ewmac64': 1.037272611390585, 'ewmac8'...

Did you manually take off equities or did the system do that? The reason I ask is because my system was staying very long for equities, and finally I had enough & shut them all myself. re: Vix/Vstoxx, I concluded it wasn't fair to lump these in with trend following, as the return distribution...

Honestly, I've never been so lucky in my life. Literally the last hour. Very, very fortunate indeed. -19% from HWM. System is cutting back, but still strongly long equities.

Let me add that it looked like I closed out at literally the last hour. I bought back 14.3 this morning, VIX is at 17.3 now. Total saving £30k. Thanks everyone! Still did -6% today, total drawdown 14.5% from hwm last week.

You're probably right. Well I'm glad I'm out today, otherwise I'd be another few £k down. From a purely academic argument, it doesn't add much diversification to my already ~40 futures, but yep, could probably have a couple of contracts & be OK! Having said that, I've been running it at full...

Well, my position in VIX was -10 contracts, and about -40 contracts on VSTOXX. Taking VIX at 14, $1000 per point, that's $10,000 per point. My account size is about £550k - totally conceivable that it could have a one day jump of 20-30 points, which combined with likely falling equity indices (I...

Following everyone's advice, and realising how quickly vol can spike on bad news, I realised that a '2008' style spike might result in my account being bust. I'm not sure if it would have affected me (I trade the contract three months out), but some risks aren't worth taking. I exited all my...

Sorry, it was ~30%, my bad. In addition, a chunk of that came when I less diversified & more lucky (outcome of French election & CAC40 gapped in my favour). January was still great though.

that sounds like we shouldn't trade it? Nothing's worth betting the house on.

I know... but really how much worse is it than going long equities?

I haven't checked, but I imagine I'd probably be more in line with GAT (who isn't trading vix/vstoxx). I'll add that the short sharpe of vol futures is ~1.

Yes. Although it's worth pointing out that @globalarbtrader has both a -10 and ewmac running, which is probably the optimal solution. Sadly about 60% of today's losses were attributable to my short position on vix & vstoxx, so now down 12% on HWM. HWM was up 40% on 12 months though so it's not...