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There's a fuller post here about the commodity move http://www.elitetrader.com/et/index.php?threads/a-tale-of-two-positions.292751/

Mostly running a systematic trading strategy is dull. Occasionally however something interesting happens. Here is a tale of two positions. One went well, the other badly. Examining these will also allow you to see 'under the hood' of my trading strategy, which you might find interesting. Also it...

Time for the semi regular update (sorry been busy proofreading the book [pre-ordering system is now working] and doing TV stuff). Up a 'massive' 0.4% or £1600 in money terms, although it's been an interesting ride (you can probably see the point at which the greek government decided to shrug...

No it isn't kindle dependent. You get an option of kindle or using a free e book reader. By the way it looks like the publisher haven't yet got the back end working for the pre-order. I'll let you know when that is sorted. Thanks for the support. GAT

Hope everyone is surviving the greek related panic. Just to let you know that the website for my book is now up and running: www.systematictrading.org And you can pre-order your copy here: http://www.harriman-house.com/book/view/4598/trading/robert-carver/systematic-trading/

Like I said, I'm a trend follower through and through, but personally given a choice between: - being a great dad, a loving family man, a person who was at peace with their god*, and having enough money to support your family comfortably but not extravangently and give money to charity. and -...

Adding one contract causes no problem. But to add 10 Asian equities would A: reduce the size I had in all other instruments proportionally causing me size issues elsewhere B: seriously un diversify my portfolio as right now I only have 4% optimal in Asian equitirs All in Chapter 12 ...

Short answer no. But if I had a few million in this account I would

Hmmm... not sure I agree with this Suppose we have someone (A) trading short trends, someone trading counter trends / swing trading (B), and someone (C) trading longer trends, and some guy (D) trading mean reversion. Week 1: ES goes from 2000 to 2100. A sees a trend after a few days; buys at...

Correction: My long term return expectation is perhaps 16%. Last fiscal year I made 57% (or would have with constant risk - I actually did much better but that wasn't down to my trading system). This fiscal year I'm down 10%. Even if I lose another 14% this year I'd still be ahead of...

Sporadic update (been about 2 weeks since the last one) So down ~20K, or 5% if you prefer. Drawdown is -17.5%; slightly better than the worst level I've seen. As the picture shows the last few weeks I've just been "bobbling" around. I've said it before the trick with trend following is not to...

1. I guess the definition of systematic risk is that it won't be reduced through diversification. Will it be increased? Are we talking about market risk, or other risks (like market closure, which you mention). With market risk I think the biggest danger is you add diversification and then ramp...

Just one question - what does SAR stand for?

Well usually I stick to 'A', except when responding to a question as earlier in the thread. But I'll bear this in mind. Generally if there are specific topics people would like to hear about, then I'm happy to hear what they are. GAT

Life is pretty simple for a trend follower (we're all pretty simple people). Something goes up, you buy it. If it starts to go down, you sell. You can have a stop loss as well, but it would be doing something pretty similar to the underlying rule - there's no conflict. You wouldn't use profit...

Okay pick a topic....

The hedge I have in this account is much simpler than in that thread. Basically I started my account up with 300K at risk; but I didn't put 300K of cash into the account, as to realise that would have involved selling some stock and paying capital gains tax. Instead I funded the account partly...

Yes thanks. Sorry about that folks

Slightly confused on what you're offering here. Is it trading capital, a free coding service, or both? What do you guys get out of it. Will you trade it with your own money? Who will own the strategy? 50% a month with "low" risks (please define). Hmm... that's... lemme check... 1300% a year...

This is the third post in a series giving pointers on the nuts and bolts of building systematic trading systems. A common myth is that the most important part of a systematic trading system is the 'algo'. The procedure, or set of rules that essentially says 'given this data, what position do I...