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Well its always good to have some returns dispersion amongst this group. So far my system seems to be holding up (although reports of drawdowns amongst others in this thread, has served as an omen in the past). I was up 17.4% ytd as of last night touching a new HWM, but down ~ 1.5% so far today...

Have you looked into this? Its GAT's own way to do fast optimisations.

If the NASDAQ stays up, it won't be ;)

6 months in drawdown but finally hit new HWM. More or less one year anniversary since I have been running real money and ~12 mth performance is a fairly modest ~ +11%. I imagine many others have done better. I can't help but worry about the future performance on two counts: 1. quite of a lot of...

Fair Point, HobbyTrading. I wasn't arguing against the removal of noise from the system, I was merely trying to grasp the definition of Hysteresis, as this is the first time I have encountered it, and it appears to be an important concept. Imho smoothing does reduce turnover and therefore does...

Thanks GAT, I need to read up more on hysteresis. Its interesting that there are several people in this thread who seem to have an understanding of this concept, which further serves to highlight the high bar being set here. My intuition was that the signal/forecast has a lag which results from...

Perhaps I am speaking above my paygrade, but isn't historical averaging, exp or o.w., a form hysteresis too?

Ouch. Although if a trend following system is going to fall over, it might as well do it when there are no strong trends around. It must be daunting to migrate a critical layer of existing code to fit a new API, but from personal experience you could do far worse than Ewald's project. You might...

Congrats. That’s impressive to say the least. After a good start middle of last year, my system unlike GAT’s (and the other mini-GATs on this forum :)) has struggled during the exceptional volatility during the last few weeks. This I discovered recently was largely due to badly specified trading...

Sure, its retail so here you are: ESH20, risk reversal @2650/2900. Went short at ~ 3250

100% agree. I actually have a small synthetic put in place (equity short + risk reversal) but of course not nearly enough. This is wild, hourly portfolio vol in the system heading to 100% (annualised)

Small short in oil and portfolio up 5% today. Crisis alpha? I am not celebrating because it is tiny consolation for the real crisis.

I am not setting any of the weights manually. Only algorithmically redistributing extreme weights if they crop up.

I had the same situation in my own backtester where cost filtering was giving extreme weights to certain rules for instruments which could not be pooled. So over the weekend I applied a redistribution overlay fn which still allows the optimisation but then checks for extreme weights and...

Weirdly, I am also long 7 cts in MXP, and therefore truly fearless. I am also in 4.5% drawdown (6.5 pct if you exclude the discretionary structured equity short)

sorry... do you mean vega as opposed to gamma? Market has only gone one way.

Also flat but I cheated :). If I hadn't put on a discretionary trade of a structured short (futures plus options) around the time the market was ignoring the coronavirus, which was hurting me before, I would be down 1%. Its impressive you are flat without that, must mean your portfolio...

You are right. NG and WTI are actually very different markets for a number of reasons. Not least because NG supply is landlocked via domestic pipelines (despite LNG terminals) whereas WTI is fungible globally. Plus the demand for NG comes from very different sources that that for WTI. You...

So this raises another question. Which Star Wars character would you trust most with your money? Yoda is clearly high on the list (Jabba and Han Solo not so much). However, I would probably give most of my money to R2D2.

This is the sort of scientific analysis I was fishing for. I hadn't quite equated the 'risk of disappointment' with the 1 - edge of the system, which seems right. The complicating factor is that I also track signals (forecasts) and some of the risk on is at maximum signal strength which by...