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I think there is some confusion here. You can eithier do a single period optimisation or bootstrap. In both cases you get some data and calculate a correlation matrix (and optionally some expected returns although I don't bother) from which you work out the optimal weights. The difference is...

Here are the slides https://www.docdroid.net/8J4RVB7/mythmtalondonfinalv3.pdf.html I'm still waiting on the video GAT

Thanks glad you enjoyed. Please let me have the link when you have it (I'm assuming you are something to do with the MTA?!). GAT

http://polemics-pains.blogspot.co.uk/2016/04/polemics-trading-aphorisms.html

Maths is correct. Not that a Sharpe ratio from 2 months trading is very meaningful... GAT

I can't see your formulas. Maybe use google sheets rather than dropbox. GAT

To be clear the rolling is automatic (my execution algo issues eithier a spread, or two individual leg orders), but the decision to roll is manual. This is because there are multiple things to consider as http://qoppac.blogspot.co.uk/2015/05/systems-building-futures-rolling.html discusses. It...

Yes, change the 4 to a 40 and you have something that ought to be nicely calibrated. Actually I do calculate a forecast multiplier. The scaling will only be correct if the distribution of the forecast has the right standard deviation. This isn't guaranteed. However you might not want to...

Four is nothing special. I've never fitted or done any sensitivity analysis on it. It just feels right. Probably any sensible number would do. Too high, and you'll incur a lot of costs. Too low and you won't adjust fast enough to the new trend that the breakout has picked up. Breakouts over ws=...

Yes I don't think you've actually read my question since you haven't answered it, but I agree with you GAT

It's from the approximation ln(1+x) ~ x - 0.5 * x^2 GAT

I don't really know what "swing trading" is. Nobody has ever given me a satisfactory consistent answer. So if you tell me what you mean by it I'll tell you :-) You could translate if "B>40 then go long" into something like (assuming B is say between 0 and 80) forecast = (B - 30) Then if B=40...

The issue is that you may not have access to the individual returns you're trying to calculate statistics on. For example I might say that returns are gaussian with some mean and standard deviation (or with some skew, kurtosis...); and I then want to know the approximate geometric mean and...

@kut2k2 and others; see if you can help with this http://quant.stackexchange.com/questions/25371/geometric-means-standard-deviation-and-sharpe-ratios GAT

"how many low correlated systems do you run?" What do you define as "low correlated"? What do you define as a system? I run trading systems on 38 futures, average correlation perhaps 0.40 On each these futures I run about 40 different forecasting rules. Average correlation is higher, perhaps 0.70

It's a historical accident really. Rather than fund my account with a big heap of cash, I transferred in some shares I already owned (plus some cash). But I wanted the majority of my performance to come from my futures trading, so I set up hedges against the stocks. Getting the hedge right is...

Full analysis of last 12 months in this blog post http://qoppac.blogspot.co.uk/2016/04/futures-trading-performance-year-two.html

One more thing to add; this year about 1/2 of my performance came from my equity neutral strategy which isn't backtested. Stripping that out I made around 20% this year; still good, but more in line with expectations. GAT

As discussed earlier in the thread I don't "miss out on trades". I think the main conservatism is definitely coming from the lack of diversification earlier in the sample. So right now for example I expect to get roughly 2.5 times the performance I'd get from a single instrument. For most of...

Monthly review (last one was March 5th) P&L period: 5.0% P&L to date: 98.1% Drawdown: 3.5% Almost recovered from the rather sharp drawdown that took me off my HWM set at the end of February. Interesting to see that I'm starting to build long positions in stocks again (and short vol, which...