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Gld, iau

I find that trading for a living. Having consistent monthly return stream of 1-3% is more palatable (I'm talking about monthly, not daily!). Having hugely positive skew strategy that gives outsized returns once in a blue moon is hard to digest and realize. That's my 2 cent worth. Of course I'm...

I live in most expensive city in the world (Singapore - according to Economist.com) - though that is a kind of misnomer because the basket of goods and services are based on Expats basket which is kind of unrealistic for commoners. Survived on my portfolio of strategies which is mid 6 figures...

I would think half a million is more viable. 1 million is more comfortable.

LOL if it's 100% annual profit with 10% drawdown, you should mortgage your house; max out all the balance transfers in the credit cards; borrow whatever money you can find and deploy into the strategy.

Wow 6.8% monthly returns at what volatility. With sharpe of 1, 81.6% volatility With sharpe of 2, 40.8% volatility With sharpe of 3, 27.2% volatility With sharpe of 4, 20.4% volatility Strategy is tenable with sharpe of 3 and 4. Else, it would be a crazy volatile strategy.

Syntax easier, lesser lines of code required, data manipulation easier. More data related libraries. That being said, I have never done data manipulation stuff in Java before (only used Java for school related stuff in my CS deg. Not an expert).

Most of my net worth is tied up in a 10% vol risk-parity multi-asset class based strategy with couple of other strategies in volatility & options based trading. No futures based portfolio yet. Up 12% for the year in my home currency (SGD), max draw-down of 10% . Lost 3% to currency effect (Five...

If it's not HFT, python is so much easier.

Avoid lottery mentality.

USD in particular. I hedge my portfolio against USD exposure fully in my home currency starting this month. USD kinda eroded my absolute profits (in home currency SGD) by 40% and risk adjusted returns by half over past 4 months.

You may purchase options chain data from CBOE (around USD 300). If you want to test it for free, you may tap on Quantconnect platform to backtest it.

Return has to be viewed in relation to risk. Risk-adjusted returns (sharpe, sortino ratios) is something you have to consider. With good risk-adjusted returns (>1 sharpe), you can always leverage up. Take for example snp500, it has a sharpe ratio of 0.5. To return 20%, you have to undertake 40%...

But I doubt in real-life, equity curve will be so smooth :)

Short volatility strategies like straddles, strangles and butterflies. There's positive expected value over long run but huge negative skew; if you don't place any risk filters, you will probably be killed. Always think of the worst that can happen (1987 crash, 2008, Covid)...

Great blog post on capital management and compounding - distinctions between full compounding, half compounding and fixed capital. https://qoppac.blogspot.com/search?q=compounding

If it's negatively skewed, you should definitely withdraw from it periodically.

I guess the best to achieve best of both world is by having a diversified basket of strategies to generate smoother return streams. With smooth return streams, you can treat it like as an ATM to withdraw at periodic frequency. What's left undrawn, can be used for compounding.

I think that's how it works. You can assume that when -1, it's out of market hours.

We will root for you in the next book! Not a fan of his latest book - except for the systematic trader chapter. All the rest of the traders seem to rely quite a fair bit on gut feel and intuition. If you simulate reality 10,000 times, I doubt they can survive in most of them.