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This is something I'm going to be doing myself this year; adding a lot more markets to my portfolio. This will be in the context of the 'optimal small portfolio' project, where I have a huge number of markets, but only take positions in a fraction of them. So there are a number of different...

Ambitous! Following this with great interest. Roughly how much per year does the OTM hedge cost you (as a % of capital allocated to this strategy?) GAT

That's a great performance. I'm guessing you have quite a high vol target, if it was 'gut wrenching'? The final performance for me was +12.5% for the calendar year. I made about 20% in my core futures trading, and lost about 8% in my ETF plus short stock hedge. For the financial year so far...

Very interesting post, especially about the rebalancing. I do things a little differently as you might remember, I keep the same amount of notional capital at risk (adjusted for drawdowns), and periodically sweep any excess cash out into my long only portfolio. It amounts to the same thing, but...

This is a debate I've had long and hard, with other people and myself. And I had this debate.... in 2011. When Swiss LIBOR contracts started to price negative. I spent ages building a system that degeared the position as rates went to zero (which in the code went by the variable name 'the...

Positive carry

I've had this discussion many times and I have to face up to the fact that I just really like looking at physical hardware, and showing it to people; and no matter how cheap the cloud is, or how many times my internet goes on the blink, I'll probably always feel that way...

That's a one year regression of prices to get a slope, right? Yeah I've heard of it, and also played around with something similar, but I don't formally use it as a benchmark. Andreas Clenow also has something similar in his second book, but he uses an exponential regression and if memory serves...

It makes sense (Ernie is a smart guy who I have a lot of respect for) but it would be too complicated for me and little value outside of something like Crude and the other seasonal commodities. I prefer to keep things as simple as possible, and ideally use the same methodology across all...

Obviously I can't measure that unless I trade 2 years out, which maybe I should consider. But it's a good point. GAT

As a postscript to the PC buy or build I just priced up the equivalent system components and it was about 50 quid cheaper for self build. So probably not worth doing unless you can get a cheap second hand CPU; cheapest I could see on ebay would save another 60 quid (those Xeons wouldn't fit the...

I smooth my carry input using various EWMA speeds GAT

Gas Crude I always own Z and get carry off X GAT

Right now I own Feb so I'd compare Jan and Feb

I think it depends on what kind of person you are. I am rubbish at doing nothing. Sometimes (when my wife is out obviously) I sit and watch TV at lunchtime, but I'm still multitasking, eating and reading at the same time. I'm extremely lucky to have a thing that I'm really interested in doing...

You'd expect seasonality for energy futures, which is why for Crude I only trade Z. Sadly that isn't an option for NG. That's also why the term structure looks like that; and it will vary depending on when during the year you are looking at it. GAT

https://twoquants.com/trade-update-for-a-few-bitcoin-more/?s=09 GAT

So it's basically the end of the year. If I still had a proper job, this would be the last day that anyone with any seniority would be in the office until January 4th. When I worked in IB as a junior trader I did have to work in that weird period between Christmas and New years eve when markets...

https://www.elitetrader.com/et/threads/trading-book-by-cis.328300/

Yes, but I'm using IB INSYNC as the layer between my trading code and IB GAT