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Sorry still don't get it. Can you give an example

I read this message 3 times but I still don't get it. Perhaps you could explain what 'random' and 'non random' elements are? Maybe with an example? GAT

Yes the market is a zero sum game, but I still think I can make money. Because the price people attach to things is different depending on their risk appetite. For example insurance companies are profitable, although buying and selling insurance is a zero sum game people are perfectly willing...

For Sharpe Ratios I use the arithmetic mean of % returns. For position sizing vol calculation I use an ewma (arithmetic means). To be honest I've never considered using geometric returns. I think over the relatively short time periods we're talking about it wouldn't make much difference; but...

It sounds superficially appealing, and I've thought about it. But there is more work involved than you might think. The code would need to be rewritten, documented and fully tested to be a commercial product. There would be ongoing support and upgrades. All in all it's something close to a full...

That's exactly what I would do. GAT

Yes more diversification means a lower portfolio level volatility, unless you leverage things up to compensate. A more leveraged portfolio costs more to trade. One of the few disadvantages of volatility :-) GAT

Exactly right - but you also need the Instrument diversification multiplier (IDM) So suppose you have costs in SR units of 0.05 and 0.02 for two instruments with instrument weights of 40% and 60%, and an IDM of 1.2 Then your portfolio cost is .4*0.05*1.2 + .6*.02*1.2 = whatever GAT

The normalisation is by a position with a forecast of +10 (the most accurate way) will depend (inversely) on the volatility. So on a particular day the position with a forecast of +10 might be 7 contracts. But if volatility halves it would be 14 contracts. To put it another way, if I am trading...

Hi Turnover is basically trades / 2 x absolute average position From page 186 of the print edition (chapter 12 'Estimating the number of round trips'): Turnover= Average number of blocks traded per year / (2 x average absolute number of blocks held) So suppose your block is one futures...

http://qoppac.blogspot.co.uk/2015/09/so-you-want-to-be-trader.html

Point of view (A): I define technical trading specifically as mumbo jumbo methods that consist of placing a chicken bone on my tablet over the top of a price graph and seeing if there is any price visible. This method did not work when I backtested it for 3 days in 2004, for the S&P 500 (and for...

What could you buy instead of PEP? If it's something from a different industry, country or asset class then that is probably a better bet GAT

+1, with the exception of Oxford and LSE. I don't feel qualified to comment on the US schools. GAT

Yes. I would put perhaps half my portfolio in a long only (or what I call the 'one rule' rule in my book) investment in "things that I expected to produce a positive return:" equities, bonds, short vol, perhaps some gold as an inflation hedge. GAT

Update (last update was 22nd september). I'm up about 7% of capital, or 28K. I also hit a new HWM on Friday; which was nice. Current drawdown is 3.8% (off new HWM). I'm also back above the key pyschological point where I have made more money than I have at risk (400K; well actually 96.2% of...

You're mixing apples and oranges comparing 1-3 year cash bonds with a 10 year future; since the difference in yield between 1 year and 10 year will be quite significant. The 10 year will have a higher return but also more risk (higher duration). Assuming what you really want to do is compare...

I guess the lesson is it's probably best to check rather than trust a 3rd party website. Different for futures and equities anyway. GAT

An hour ahead, right? So 0900 in London is 1000 in Frankfurt. I think it's correct. Would be quite cool to get a spare flat screen monitor and have this displaying on the wall 24/7. Would have to persuade Mrs GAT that we could have a few less pictures of the kids on the wall. GAT

Things are confused by the fact that I have both stock and cash funding my portfolio, and because I have 'too much' in my account. Let's pretend that I had 100% cash funding: Balance sheet Account value: 390K Cash: 390K Margin: 120K (31% of available cash) Capital at risk is 390K (reflecting...