Search results

I'm in the middle of a big recoding exercise and when I've finished I will have a look at this. Did you see if the correlations of individual forecasts came out at similar levels to those in my latest blog post? GAT

I've finally got around to writing about the breakout rule, and including it in pysystemtrade: http://qoppac.blogspot.co.uk/2016/05/a-simple-breakout-trading-rule.html GAT

I use 256 because its 16*16 It makes no difference as long as you are consistent. This isn't a case where being strict makes any meaningful difference. It would change from country to country, and year to year, in any case. GAT

Your figures are correct. But you have an incorrect opinion on what constitutes "low". Bearing in mind that the long run Sharpe of the S&P 500 is about 0.20, then 1.87 is not "low". GAT

From best (highest) to worst (lowest) diversification: (highest) trading style - eg trend following, long short equity, selling options, risk arb, scalping, relative value ... asset class - eg equities, energy futures, ... countries within asset classes, and to a lesser extent instruments...

Thanks for the kind words. To explain my thinking in more detail: I have some ideas for other kinds of trading systems, but which will use futures markets. These are relatively fast systems which I'd need a seperate "engine" to run. However to make my life easier I wouldn't want to run both my...

Yes.. but I wonder if those papers include the interest spread you have to pay as a retail trader when borrowing / lending foreign currency. In any case I'd rather trade the forwards of the non IMM futures currencies, but that's very much an institutional game. GAT

Er no I've explained it wrong. What I'm saying let's suppose I had to trade Gilts. I can trade them using end of day data to calculate my position (from something like quandl.com although I haven't checked to see if they have Gilts specifically), then submit a market order during the following...

Oh yeah, maths isn't my strong point :-) I wouldn't backtest this since the result wouldn't be statistically different, but what I would do is look at the correlations and work out how much benefit I'd expect to get. Another thing I could do is compare the slippage cost of trading blind...

$120 a month is $7200 a year, or about 1.5% of my capital. That's roughly what I spend on slippage and commissions in a year already. To me that's a lot. I can't control my performance pre costs, but I can control my costs. I run at 25% annualised vol so I'd have to gain 0.06 SR units to...

Looks wrong. Curves are way too smooth (not enough standard deviation) GAT

No doesn't look right at all. All the money going into a pair that I wouldn't include at all would terrify me. Have you got the account curves of the individual rules just on corn? What do they look like before and after costs? GAT

In python pandas etc are libraries for time series analysis and scientific computing; useful but not a trading system in themselves. Quantopian is one of the best turnkey "cloud" systems. The open source framework behind it is zipline My own project - pysystemtrade is in the early stages...

Video of my MTA presentation https://www.mta.org/video/the-myth-of-the-perfect-trading-system/ enjoy GAT

I agree that looks wrong. If I was to guess, perhaps the forecast and instrument weights that have come out are creating the high correlation? If it's any help I'm going to do some coding for psystemtrade in the next week or so, and one of the things I'll include will be the breakout rule. GAT

I have nothing to add, except that for a spread bet futures contract the funding is implicit, . When I did this analysis myself (admittedly not for corn) I found that the spread bet was always more expensive; properly costed by a factor of 10 in some places. The main difference was the size of...

My only point here is that targeting a particular constant risk (however measured) isn't a great move, except for certain kinds of strategy. Generally I think it's better to let risk vary with strength of forecast. This is particularly the case in a situation where you have "sparse" forecasts...

I'm not sure I agree with the API comment, but that's opinion. Lower block size is the main advantage of spread bets. Disadvantages - much higher costs, OTC with all that represents You need to roll quarterly bets; daily bets are very expensive spreadwise. GAT

Oh sorry I wasn't clear What I meant was I don't understand the difference between (a) allocating between trading strategies trading different instruments, and (b) between different strategies on the same instrument. They both have the problem of non constant risk meaning risk budgeting...

Yes, I got that, but I'm trying to understand why there is something special about this portfolio allocation problem compared to the classic asset related one. GAT