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It didn't Backtested performance of 37 futures contracts. The blue line shows trend following systems. Whilst there was certainly outperformance in the higher inflation period that ended in 1990, it's still working (the plot is slightly out of date, but that wouldn't change anything). GAT

Same as riskmetrics (to be precise I use a=.054 where v_t=a*x_t + (1-a)*v_t-1 and x_t = r_t ^ 2) I'm very surprised the results are so sensitive. For lookbacks from 1 week up to around 20 weeks I found almost no difference in pre cost SR. Of course the faster lookbacks cost more to trade. For...

Exponential weighting 25 day halflife

Interactive brokers GAT

"Nobody wants a stylus" Steve Jobs, 2010 GAT

Wider choice of currencies. GAT

Non equal instrument weights don't "offset" correlations exactly but I think I understand what you mean. On a portfolio like this where most of the correlations are pretty similar it wouldn't make much difference. GAT

Ideally you'd trade forwards which always start on quarterly IMM dates. This is what they do in CTA land. Then you have something that looks almost exactly like a future (assuming you also cash settle the forwards on expiry). Last time I checked some spreadbetting firms offer something similar...

I disagree. I downloaded Winton returns and compared them to mine since inception (March 2014) and got the following stats: Annual vol: me 25.4%, W 9.3% Annual returns: me 41.4%, W 8.9% SR: Me 1.63 W 0.96 Average d/d: Me 2.94%, W 1.72% Max d/d: Me 19.3%, W 6.65% Average dd / annual vol: Me 0.12...

The ultra bond would be labelled US30, which I don't currently trade - that is for deliveries of 25 years plus. The bond you refer to, ticker ZB, is indeed US20. My US bond codes with IB tickers are: US2 ZT US5 ZF US10 ZN US20 ZB US30 UB GAT

I'm trading IMM futures, not spot FX. The margin spreads on interest for spot FX are ridiculous for retail customers. I'd trade FX forwards if IB offered them. GAT

quandl.com GAT

Hi sorry for the delay replying, on holiday. Yes the groupings are intended for some new reporting code that I haven't written yet, which allows aggregate p&l summed across different dimensions. 2 - There could be a number of reasons. Exactly which optimisation are you comparing to which...

Fair comment. I'm measuring execution cost here purely on the fill price vs the mid. If you're trend following, at least on a short term basis, you'll normally have to pay the spread each time, or miss out on the trend. But this isn't really CTA land - they can take the whole day to achieve...

Yes most CTA's have a big slug of carry strategies, which look more like mean reversion in that they buy low sell high. Plus a few other random bits of pieces. Because that's what many investors, particularly institional investors want. They would rather have lower returns in return for a...

Historical reasons - most investors think CTA's should be trend followers, so stuck in that style box. If you want to do something else, have to call yourself something else (many large CTA's are operating collective funds not managed accounts nowadays anyway, so not strictly "CTA"). Easier to...

I haven't had the time to look into other options, as there isn't any immediate benefit to doing so. There would be big switching costs to setup another broker. But purely for redundancy it's worth doing. I'm very happy to hear about other options. GAT

My limited experience of programming apps for phones is that you have to wrestle with a lot of API crud (a bit like writing windows programs). I have gone for the second option - much easier. GAT

Based on my proprietary "number of headhunters calling me about a job in a start up CTA" index I would expect the number of launches to increase in the second half of this year. Allocations lag good performance, and launches lag allocations. GAT

No positions aren't delayed, only inside the accounting function (otherwise it would be confusing with a risk of delaying things twice) GAT