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Trying to remember the exact definition of IVV, but if it's $ (or your currency) annual standard deviation per contract yes that makes sense (will be comparable across instruments at least; arguable whether it makes sense to summarise DO workings although as you say it's quick and dirty). I use...

1. Yes the instrument risk will change every day. (C-C[1])/C[1] instead (C-C[first bar of the chart])/C[first bar of the cart] I have no idea what any of this means. If the daily price is p_t then a percentage change is (p_t-1 - p_t)/p_t-1 2. The october 87 crash has a daily loss of 40% Rob

That's my current system, yes. But it would be true of any sufficiently slow trading strategy. Don't forget that's based on a long period of time; on a day to day basis of course you'd see profit fluctuations compared to running it every day. Rob

+1, great book GAT

I'm on TTU this friday with Alan Dunne. You can send me questions by replying to this thread or DM Rob

'This approach involves monitoring the actions of the key market players' How do you do that? 'I will use this method to look for buying signals from market movers and follow their lead' That isn't scalping. GAT

Track record only goes back to 2006 they must have closed their earlier funds.

Maybe AQR?

Yes I think its an artifact of your optimisation process, anything too much like normal markowitz is going to push into big 'hedged' positions. Rob

Yes although my liquidity report says that at $2m of risk a day it's liquid enough (floor is $1.5m); that only reports on the most active contract which as you say is problematic when it comes to rolling. Rob

Slightly misleading labelling, but I'm long EU-OIL which is an equity sector future but is really a proxy for energy markets where the contract sizes are probably a bit too chunky for a position now given the forecast strength. Having said that my risk there is only 2.7% which isn't very much...

It may also because you have more mini/micro... I should use VXM as it's liquid enough for example. Rob

Interesting. Can you work out your current expected standard deviation compared to the sum of absolute(standard deviation per instrument)? If this is very low it suggests you are taking on a lot of apparently hedged leverage which might be risky. Unless you have a very high risk target (mine is...

Hi, curious to see your github page? Rob

I also had a gut wrencher in March, and a bit of a local high in June, but it looks my performance this year is an anomaly in the industry - you guys are much more in line with my benchmarks. Firstly I 'only' lost 7% in the March incident so not as bad as most, but I've also gone barnstormers...

Semi regular update I normally do these twice a year, but I haven't got round to a mid year one yet. TFW when you're 1.5% below HWM, and checking the p&l too often... YTD: +9.5% Tax year to date: +12.8% Had an interesting coffee exactly 9 days ago with a guy that is running a similar system...

Man group is over 150 yards, but here only says 70bn...

Fall in AUM isn't neccesarily due to poor performance. GAT

Fixed: At 1000 contracts a month for the first tier, that's many, many times what I trade with a $500k account. Rob

I'd use daily vol for position sizing or perhaps tick data but with an EWMA equivalent to the 30 day span for daily data. And I've never used tick data except to model execution so I have no idea at what time horizon momentum will work .... my work with hourly data suggests mean reversion works...