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Personally, I wouldn't discuss this strategy at all. Anyone with a cursory understanding would realise that you don't know what you're talking about, and studying hard even for a week won't give you sufficient understanding. I'm assuming that you know what you're doing with the other...

Most probably your guys are running an equity neutral hedge fund, in which case they aren't perfectly hedged, and are buying stocks they expect to get a higher total return than the index. Like I said, that's a perfectly reasonable thing to do, but you're exposing yourself to a huge heap of...

Sorry my mistake. The OP stated that their cost of funding was 5.94%, but that includes the 4x leverage so it's actually about 1.5% (or 100bp over LIBOR). Assuming the future has a net hedging cost including implicit funding of 2.5% built in (based on your figures) implies the breakeven would...

Yes if you hold high dividend payers hedged with the index then you're effectively running something like an equity neutral hedge fund (though before embarking on this you probably need to do some more reading. At a minimum you should understand the difference between cash neutral and beta...

Are you serious, or is this just christmas click bait? Assuming you are: The cost of the hedge will be the yield minus the effective funding cost implicit in the future. Yield will be the same; but effective interest will be much lower (in theory it will be what institutions would pay as...

Personally I think it is very difficult to make any money day trading, as the commissions and slippage generate too much of a headwind, though plenty of people on this site seem to manage it. As others have said, to live off a realistic trading profit you need to have a much larger capital...

are you fitting in sample, or rolling / expanding out of sample?

They were probably badly designed algos... (I saw exactly the same thing at the same time). Does that mean all algos are bad? Every day human traders do stupid things. Does that mean all human traders are bad? GAT

What are computers good at? - speed - identifying simple, persistent, patterns - sticking to a plan - getting their position scaling correct - managing large portfolios What are humans good at? - processing complex, novel, information - interpreting non quantifiable information - genuine...

Well if the returns were drawn from a gaussian distribution (which is an assumption you can argue about, if you like) then on average that's exactly what you'd see. Unless you're saying that the SR of 1.5 is unusual; I'd agree this is highly optimistic also in my opinion...

If you bootstrap random data you find the max drawdown is roughly twice the annualised standard deviation of returns (see my post here). So we've got: max drawdown=20% implies ann. std. dev= 20% * .5 = 10% SR = 15% / 10% = 1.5 GAT

Just saw your point about doing the calculation at the end of the backtest. The problem with this is, again, markets moving into the backtest halfway through., If you're using a fixed IDM then it will be too high in earlier periods with fewer markets. So if you calculate the IDM based on...

Yes you can also calculate things using a rolling vol. However it has some disadvantages. Mainly because you need a much longer window to get the right answer. If you're just estimating correlations, then correlations move around of course, but you can get a good enough correlation estimate...

That's an interesting point (one good thing about these awful threads is that they can throw up interesting insights, even if by accident) I've often though that trading properly for most people should be incredibly dull (following a rigorous mechanical system for a start), and involve doing...

You're absolutely right - it's very unlikely that someone starting with a 25K account and no experience will end up with a multi-million account. Whether they would be better off starting another business instead is debatable. There are no short cuts to wealth; just hard work and/or luck. There...

The same goes for all forecast scalars; and in my code I'll include out of sample estimation of scalars (I wouldn't use a rolling window though; I'd use an expanding window across all assets I'm trading otherwise you'd lose the fact that carry is systematically higher in some asset classes than...

Hope you enjoy the book. Picking stocks in this way isn't curve fitting; it's a perfectly reasonable thing to do (equity neutral hedge funds do exactly this; though obviously on the short side as well - and they also use a bunch of other filters apart from relative strength). Clearly a...

The instrument weights are adjusted to add up to 1.0 However the instrument div. multiplier should also be adjusted - it should be lower in the past. Future releases will calculate the idm on an out of sample basis (and also optimise the instr. weights). I didn't choose these instruments...

Agree with the earlier points about referencing a benchmark. The benchmark should be appropriate. If you're just trading US stocks, then the S&P 500 probably makes sense (you'd do much better with a wider set of assets, but thats another story). 15% return on 20% maximum drawdown works out at...

Assume this is directed at a certain user I'm ignoring, rather than me... GAT