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My source of 'alpha' is definitely risk premia. GAT

Dividing by vol does indeed make the rule consistent across instruments (and across time). I've experimented with other rules that take vol scaled or % returns cumulated into a price series as their input, and they provide a little diversification, but they aren't neccessary to achieve...

For the record, I disagree with this. I've never found any statistically significant pattern between SR (pre or post cost) of a trading system and eg volume of an instrument. GAT

If your expected SR improvement>0 and costs=0 then surely the optimal schedule is to do it immediately? Though not sure what your definition of 'smoothness' is, some kind of tracking error between p&l before and after the change? GAT

I will leave the more obvious roboadvisor gag as an exercise for the reader GAT

R2D2 is like a quant fund "Can't understand a word he's saying. Must be smart. Give him some money." GAT

With experience you will learn young paduwan GAT

One further thing to think about is transaction costs. Doing the way you did, you basically sold stuff, then bought some of it back. Abstracting away from what the prices do, you've definitely wasted money on commissions and spreads. In this situation I would set my system not to trade, and...

This is a fascinating question, and one we used to face all the time at AHL. Of course the trite answer is to do what I do, and not have knowledge of your existing positions. Although I've managed to do this (I genuinely don't know what I have on right now) I realise this is a step too far for...

1) What to trade (Stock indices? Gold? Apple?), and how to trade it (futures? CFD? Cash? Options?). Costs and account size are important here. 2) When to open positions 3) What size should positions be 4) When to close positions (... how long to expect to hold them for) Of these (2) is the...

Someone explain the concept of a thread please. GAT

Same principle. Set a max $ loss then when the p&l of the package hits it, close the position. The exact price of the underlying that relates to will obviously change over time. GAT

I was referring more to the client facing part of an investment bank. When operating as a market maker, or a trader, sure you're dealing in an open and competitive market. But when dealing with clients, you're often facing people who are much less sophisticated than you and don't know what...

When you're thinking about getting out, are you already delta hedging? To be clear are you; - selling naked vol, no hedging, and to 'get the hell out' closing the option position - selling naked vol, initially no heding; and asking at what point to begin delta hedging? - selling vol, delta...

There is a much longer answer to this in this blog post I've just done. I scraped a couple of quotes from this thread as well :-) https://qoppac.blogspot.com/2020/02/what-is-right-way-to-set-stop-losses.html GAT

That's the nice thing about trading systematically. Developing new models is intellectually interesting, the hours are non existent, and there is zero stress. Probably still morally bankrupt though. But less likely to cause systemic harm to the global economy and rip individual people off. GAT

No.... you've got it all wrong. You determine your position size according to your capital, risk appetite and the volatility of the market. Then you fix your stop according to how long you want to hold the position for, and the volatility of the market. There are books about this sort of...

Video of me trading this morning. Completely free. GAT

Yeah, I also described it at the time as trying to do Sudoku puzzles really quickly whilst people shout at you. GAT

Most of their products are similar to what I do, to varying degrees. Alpha is closest. Evolution is momentum and carry, but on OTC markets I don't trade. Diversified is a blend of alpha and evo, so again quite close to what I do. Short term trading, target risk and tail protect are obviously...