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Don't worry about it, it took me a while to realise that as well GAT

<slaps forehead in realisation> but they're not the same thing. One test looks at historic skew to decide it's position. The other test looks at trends to decide it's position, and then looks at future skew conditional on that. So unless skew is a perfect predictor of future skew you can't make...

No it doesn't. That's the obvious disadvantage of a synthetic hedge. I've already listed the advantages. GAT

Not yet. GAT

You can go back to the old idea of portfolio insurance and trade in a way that buys you a synthetic put option on your specific performance. Very simple at some degear point (say a 30% drawdown) you reduce your portfolio exposure by 10%; then continue until at say a 60% drawdown you have no...

I can't believe I missed that other thread. Really interesting and fantastic work. I have some comments I'll make over on there. To be clear is it your view that because going long skew doesn't work, and trend following does, that they aren't correlated; or have you actually checked the...

Great stuff. I saw that original paper and I had skewness on my list of things to look at. There might still be something in adding it with a low weight - I'm a big believer in trading things that make sense and add diversification even if their SR is close to zero. The other thing is it might...

Yes. This is actually a really interesting result. Basically the skew for a trading strategy will only become apparent at frequencies in line with it's holding period. So if you're intra day trading, and trend following, you'd expect to see positive skew at daily horizons. But with a holding...

I can assure you I'm not (I don't even know what that means, and I don't use formal stop losses). Sorry I've obviously upset you, I was really trying to help, but I couldn't work out what help you were looking for. GAT

Out of interest I just checked the p&l for the current (incomplete) year. I made about 9.5% of my notional capital in stocks + hedges (of which maybe 3% was currency related, the rest prices), and lost about 5% in my futures account. So over the full period I'm up to a profit of about 101% of...

There is some truth to that. In year one, I made 57% (using my preferred measure of performance) of which -2% was in stocks plus hedges. In year two, I made 40% of which 16% was in stocks plus hedges. So that's 97% in total, of which 14% was in stocks plus hedges. I don't know if that proportion...

What exactly are you looking for out of this conversation? Do you want affirmation that this is a good strategy? Is this something you've been trading yourself? Is it a backtest, or with real money? To use an analogy I feel like you've emailed me [a total stranger] a picture of a car, with no...

It's a year of data. That is wholly insufficient to make any kind of meaningful judgement. GAT

I can't see any stats, just pictures? The account is from a few years ago. Is this your account, or a system you're hoping to invest in? Just trying to understand what feedback you want, and why. GAT

Some thoughts on risk management http://qoppac.blogspot.co.uk/2016/09/systematic-risk-management.html

Yes CME GLOBEX and "across the street" at CBOE, CBOT; also NYMEX.In Europe DTB, MONEP, FTA, SOFFEX. In Asia KSE.

I've just remembered my new years resolution. Never got involved in a pro/anti trend following argument. GAT Seller of books, but not snake oil (big mistake. The really big money is in the snake oil)

Two month report Overall the trend is up... but bumpy. A new HWM was set in early August. Since inception P&L period: 5.9% P&L to date: 101.5% Drawdown (new HWM): 6.1% Generally trend following CTA's did badly in August (see here); I was slightly up in my traditional futures portfolio...

It tells you that TF worked between around 1980 and 2015, contrary to what the OP said. I don't see how there can be any argument about that. Whether you think it is working "now" depends on your definition of "now"; TF is down in August but up since the start of the year. These are periods of...

I don't understand that eithier, if I'm being honest. GAT