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It's probably not an error on your part. Fast trend following doesn't seem to work so well on equity indices (though it's flat, rather than money losing) at least after the mid 1990's. However would this justify not using them? Well 'doesn't work so well' isn't a statistically significant...

The OP asked how negative interest on government bonds works. I've told him (her?). It's a mathematical fact that if you buy something above par and hold it to maturity you'll get a negative interest rate. I can't understand why me stating this fact this bothers you so much. This has nothing to...

Hmmm. Personally I found it hilarious to be accused of 'not understanding basic financial concepts' particularly pertaining to bond maths. GAT (2002-2004 interest rate derivatives trader, barclays capital 2010-2013 Head of fixed income, AHL)

Max Sharpe ratio https://github.com/robcarver17/pysystemtrade/blob/master/syscore/optimisation.py Line 525 GAT

I use arithmetic returns. I don't include a risk free rate because when trading futures it's a reasonable approximation to assume you don't need cash to do it (I use 35% of my account value for margin on average). And right now interest rates are effectively zero anyway (this is what I'd get...

If you buy something that's issued above par with no coupon then you're guaranteed a negative return if you hold it to maturity, unless rates fall further and you can sell it to the 'greater fool'. GAT

In the countries where this is happening banks are charging for large deposits. Also banks present counterparty risk. Governments don't (at least in their own currency for developed countries). There are limits on how much physical cash you can hold. You need to pay for a strongbox and...

No. Bonds will be issued above par and pay zero coupons. Extreme example you pay $110 for a bond today and in one year get $100. Interest rate (flat rate) is -9%. The mechanism you describe wouldn't work. GAT

Exactly the same way

I sample the price hourly I also have a sample of bid/ask every time I go to trade. So maybe 10 observations a day, over which I then take an average. GAT

That's nothing. I once spent two days trading crude oil related puns with a guy on twitter. By the end they were at least 10 times worse than that. Okay, so my trading system doesn't work in the way you describe - it's not event driven. It works something like this: - periodically check the...

It would be difficult to have a physically settled contract. The main corporate bond indices have dozens of names you'd need to be able to source on delivery. This could create squeezes in the least liquid of them. There is no such equivalent to the single, cheapest to deliver, government bond...

Yes, eithier that or I'm doing a poor job of understanding it. Perhaps you could give an example. I genuinely don't understand what a "missed trade" is (or at least what you mean by one). GAT

I said I cut my position quickly. I didn't say I'd go massively short quickly. Most of the position cutting would come from the spike in volatility by the way. Also to someone whose average holding period is a month a few days is quickly. GAT

Expectation is bid-ask. So if my execution algo is any good I should do better than that on average. I don't yet have any stats on how well my algo is expected to do. Although it's theoretically possible to miss a trade I don't think its ever happened. GAT

A Bayesian updating would take care of the fact that both the expected distribution and the uncertainty in that distribution were changing. I think new Kelly only does the former. I have no idea what prior to use eithier, I was just trying to second guess what you might be doing privately...

Monthly review (last one was Jan 5th) P&L: 18.9%. Total since inception 92.7% Drawdown: 3.5% off new HWM (set yesterday morning) As I've already hinted (with my post about a record day) this has been an absolutely cracking month. In August 2014 I made 11.1%, so this is a record. One of...

Depends what you mean by original Kelly. If it's this https://en.wikipedia.org/wiki/Kelly_criterion then I can't see a way of making f>1. Sometimes the results is quoted in leverage terms, or as an annual risk target. Clearly these can be more than 1.0 GAT

By the way there is a way to calculate Kelly from a "stream" of trade returns, whilst taking uncertainty into account. You can use a Bayesian updating, which takes account of the uncertainty in the estimates you have so far. So for example if you saw one hundred +1%, and one -5%, you wouldn't...

I agree. There is no uncertainty in trade returns.... in the past. You know exactly what they are. You can calculate what the right Kelly should have been in the past precisely. This is no use in determing the right fraction in the future. I assume that's what we're trying to do once we've...