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Interesting. I followed Ernest Chan pretty closely too and he advocates using ADF tests (related to AR) for mean reversion strategies. However, when I test them on a basket of seemingly economically viable pairs/ triplets spreads, not a lot of spreads are statistically significant (& if they do...

@HobbyTrading I read your journal with great interest. Just curious, any updates on this?

Just curious, has anyone tried integrating econometrics related concepts into a trading system? e.g. ARIMA. As an ex-economist, I've employed them in my work. But when real money is on the line, I prefer simpler systems (occam razor) like Rob's (difference between EWMAC, breakout). Are complex...

Ok thanks!

Hi @globalarbtrader From your systematic trading book, I understand that correlation matrix is required to calculate the forecast diversification multiplier. I have 2 questions, - In deriving your correlation matrix in table 19 for trading rules, how do you come up with this table? I would...

Could I check if anyone has experience developing Rob's system in Saxo using its API? I was looking at Saxo and it seems to be the only broker where I live (Singapore) that offers a wide range of dated CFDs (non dated are crazy expensive). Checked it out as per some of Andreas Clenow's posts...

Thanks for your thoughtful replies!

Thanks Rob for your detailed reply. Indeed, the interest margin charged by most brokers are exorbitant. On the last 2 lines above, when you quote, - Why do you have to take 1%-0.25% = 0.75%. Where is this 1% from? Is it from the carry you mentioned above? - And cost -1% - 1.75% = 0.75%...

Hi Rob Thanks for your reply. Just curious, are you doing handcrafting even for deriving weights amongst your trading rules (e.g. exp MA crossover difference, breakout and carry)? And on your forecast scalar to scale up to average absolute of 10...

Hi @globalarbtrader I'm an avid follower of your blog, books on trading and podcast. I've a question on the bootstrapping technique on expanding window that you used in your backtesting for optimization of portfolio. But I believe that you used it for finding the weights of your trading...

Hey all I developed a simple fully automated framework based on IB insync for my systematic trading/ portfolio mgt purposes. Hope you find it useful.