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So just to be clear, you reached the same conclusion yourself (that adding breakout offered no statistically significant advantage), although stuck with it on the basis that there may be some diversification benefit?

I have a couple of questions about bootstrapping weights: The faster variations of EWMAC (2:8, 4:16) seem to get positive weights, despite these consistently losing money over the long run when operated on their own. My prior for these would be 0. Is there an issue with my bootstrapping...

is this the definition of market making? I'm guessing you need to keep cancelling orders as the price moves?

I'll take a look at adding another strategy. By selling vol, I'm guessing you mean options (implied vol vs historical vol?)? (Sorry if that's a dumb question, no actual experience in this space, this is sort of a pathological hobby gone wild). After adding 45 futures, it doesn't look like I...

Reasonable states would be, big drop, small drop, small gain, big gain (normalised as appropriate). This means you can answer the question - "how long might a trend last?"

It should do, trend following (ARIMA) is a subset of HMM. What exactly did you do?

Current situation: Trading 45 different instruments- £430k. Running EWMACs (4-64) + carry only. Backtested Sharpe of 0.85. My models include costs and spreads. I'm building a slippage model so I can try and trade faster (running EWMAC 2). My real question is- where do I go from here? I'm...

every time you trade. I use the data from Quandl, which at worst is lagged a day. Which particular future were you trying to trade?

I wrote everything from scratch. PySystemTrade is great, but do you really want to trade something you don't fully understand? The process of writing my own version taught me an incredible amount. I used PySystemTrade's source code to look up things when I was stuck. Now I'd feel confident...

Does that mean you've got 25% of your cash at IB and run it at volatility 100%, and just top it up if it gets low? I had thought about buying government bonds with the cash. As securities it should be a lot quicker and easier to get these back in the case of a failure. Getting cash back from...

Yes. I think I'm going to add more of the softs; these seem to be much less correlated with each other vs purely financial instruments. Agreed. 25% is plenty. I always wondered why AHL/Winton etc operated at <10%. Now I know- their clients can't stomach it. I wondered the same thing...

I also added a bunch of equity indices (Hang Seng, DAX, Nasdaq, SP500, Russell 2000, FTSE100, AEX, CAC, Eurostoxx, smi). Despite not coming out too badly for correlations over the backtest period, it's amazing how they suddenly all correlated for one day. The largest single one day loss on the...

Unfortunately I doubled my account size this morning; couldn't have been worse timing!

@globalarbtrader Did you have a terrible day today? I'm down 10% in one day, which is a bit scary. I'm going to reduce my annual vol from .3 to .25; not overly comfortable with these swings.

You can carry forward your losses and offset them against future years' capital gains.

That's what I've been trying to do, understand each step. It matters a lot to me that I know how it works. I've pulled every single book on trend following and algorithmic trading from the British library, but there are no formal treatments anywhere.

What do you define as a trade? Is that a round trip (zero-position to X-position - to zero-position)? On a completely separate note, for the EWMAC fast numbers 4, 8, 16, 32, 64 (and slow = 4*fast); is there a mathematical basis to this particular progression?

That's reassuring. It's a 25% annual target, and the daily volatility seems to be being realised bang on. I know from looking at the backtested equity curve that you do get some 'steps' up (particularly on smaller account sizes), so I've increased my account size, which should smooth returns...

Similar position here, although I'm up 25% in a month thanks to less diversification + more luck (NQ, LE, CAC40). To be honest, I'm slightly terrified; I'm not used to making so much money so quickly, although I expect it will settle down now.

I'll add I'm also trading US2/US30/bobl which are all correlated around 0.45.