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I trade KOSPI but uk based Rob

What are the AUMs? 6bp is not really here or there. GAT

I think this is the key point. I'm biased in favour of futures, and have had the bad experience of trying to shoehorn ETFs (and individual stocks) into a legacy system designed originally for futures. I'd say given your experience then that it is perfectly reasonable to trade ETFs instead of...

This isn't completely stupid - depending on the reasons for trading ETFs. 1- Can't trade futures? Then ETF's might make sense. The universe will be different - not as good in commodities, but better in equity indices*. 2- VERY small capital- ETF minimum capital is lower (one share) so might be...

I trade with a continous forecast rather than discrete positions with a stop loss. That means I would automatically reverse the trade when the signal goes from long to short. GAT

Not neccessarily wrong, but you are making unfounded speculation without empirical evidence... Rob

What does volume have to do with the profitability of this specific strategy? Rob

Why is it weird? Out of 100 or so futures tested, not all will be profitable. Rob

In theory this would be better (minimal loss from not diversifiying across countries versus factor exposure return pickup) but I doubt the slight benefit would survive the application of costs. Rob

Graphs here answer your question for SR https://qoppac.blogspot.com/2023/03/i-got-more-than-99-instruments-in-my.html (they're for trend following so won't be much difference). For skew I couldn't say as I haven't tested it and with such a small sample your mileage will vary a lot for any given...

With a large and interesting enough set of assets like my portfolio of futures, you don't really get much of a departure from 1/n with clustering, so this research area isn't very interesting except for some extreme arbitrary examples. And there is also the fact that correlations are relatively...

I don't actually use % of instrument returns when calculating returns; I only mention them in the book as some people prefer to use them when calculating volatility for position sizing. So $ return = 30 * multiplier * (price ES today - price ES yesterday) And the % return will be that $ divided...

Seems like a stack exchange issue since it's clearly a debugger config that is at fault (I assume that if you run it without the breakpoints it produces output) Rob

Do you have a link? Rob

No it should be shift(1) Not quite. Unadjusted prices are a series of futures prices without accounting for carry. Not the same as spot prices as they will have sharp breaks on each contract expiry and in between will include carry. Rob

Sure, could be current_price.shift(1) It's because we're trading futures which we have to roll. Reread the whole of chapter one, carefully. No not relevant Rob

Not specifically Rob

Why? I wouldn't find it interesting at all. Rob

Originally I hadn't really thought about doing a year end post for once (as you will see, I haven't really done much of interest), but I've been dragged back to the thread by @Kernfusion interesting post, so whilst I'm here... As everyone knows it's not been a great year for the CTA industry...

Hi this is quite a nice idea and along the lines I had been considering - but the genuinely novel idea you have come up with is allowing the DO to see the fast positions - I had just thought of constraining them at zero, so only the faster MR system could actually trade them, although they would...