Search results

No I think you've misunderstood something (your signs are also the wrong way round, but that isn't important). I have a 'no-rule' rule forecast just for volatility, which has a fixed value of negative 10.The effect of this is to make positive forecasts less likely, but not impossible. However...

This is a classic path to overfitting... which I call "fighting the last battle". And don't worry, it's endemic to both retail and institutional investors, as the latter are always under pressure from investors to "improve" their system and make it more "resiliant" to whatever went wrong last...

Sorry I misinterpreted your user name. However, ten years of experience or not, the point still stands: you're making multiple errors (1: trading off 4G with a strategy that more properly should be traded in an arcade or similar with decent feeds and proper robust infrastructure; 2: as you say...

25 cents is not, by any stretch of the imagination, a flash crash. The daily standard deviation at the moment is running at about 90 cents. In contrast the 2010 stock flash crash was a fall of 8% (on the index - much more on individual stocks); about 8 times the daily standard deviation. If...

http://www.asxmarketwatch.com/2011/12/the-top-30-quotes-from-jesse-livermore-on-trading-and-investing/ Jesse Livermore Quote 8: “I can’t sleep” answered the nervous one. “Why not?” asked the friend. “I am carrying so much cotton that I can’t sleep thinking about. It is wearing me out. What can...

It's the price of admission to trading the VIX; a negative skew asset which means in Gaussian space it has non stationary vol, and then targeting 30% vol. If you think a 30 point move in the VIX is plausible, you really ought to reduce your allocation to the VIX. GAT

From the man.com website. GAT

I think your maths /logic is mostly right, but you've laid out the problem slightly different than on page 162 (print edition), so to be clear: portfolio value: £4M (based on 25% vol) annual cash vol target: £1M daily cash vol target = £62,500 Price vol: 1.33% block value: $750 ICV: $997.50 fx...

Yes they assume the same starting capital. More discussion on that here As a very rough guide you shouldn't be surprised by a drawdown of twice your vol target (60%) [see 'really bad drawdowns here] in a 10 year back test. 77% isn't that much more than, and this is over a longer period. GAT

Yes, and although it was brutal it doesn't stand out as an unusual outlier. GAT

AHL dimension has quite a different product profile to my stuff, I prefer to match myself against AHL Diversity which is available in a GBP share class. After accounting for vol differences, and stripping out the non futures trading (my long only stocks, plus a short futures equity hedge which...

Another reason to avoid trading front VIX, and if you must do so don't hang on until expiry. GAT

The notional value of a Eurodollar contract is 250,000 * price / 100 hence the size of the order value (because it's a quarter of a years interest on a million dollars). This is probably the largest notional value you will see, unless you trade Japanese Government bonds (for which you need a...

Easy to work out. If the VIX goes from 10 to 40 and you can't sell out of your position and you don't get auto liquidated then you'd lose 30 x $1,000 = $30,000 per contract. A big VIX position for me would be 5 contracts. On my notional of around $500K that's a loss of $150/500 = 30%. If your...

... unfortunately you can't assume a normal distribution, especially if you're trading vol indices. What's the distribution of daily losses seen in your backtest? GAT

I've just got back from holiday. Apparently I missed some excitement... For the record I bottomed out on Friday morning with a 10.4% drawdown, and I'm currently at 8% d/d as of this morning. It sounds like some of you guys got a bit more hurt. That is probably due to my greater diversification...

Sorry for the delay, been on holiday. Prior to starting collecting live data (~ January 2014) I used a fixed method to determine roll dates; from memory for V2X this would be something like 'trade the second contract roll then trade out the day before it becomes the first contract' (I didn't...

To begin with you should compare your forecast against my raw forecast mutiplied by 10 (see the earlier post). Then they wouldn't be affected by vol target or quantity of markets (which is the joy of making forecasts). For example VIX, you should compare -2.54*10 = -25.4 against 20 for you. For...

Multi signal is the raw signal multiplied by a factor refecting the allocation in the portfolio and how much capital I have. Rather confusingly this doesn't correspond to anything I've written in my book (the system as described in my book, and in pysystemtrade, is deliberately simpler in terms...

Ask and ye shall receive... Last update was April 11th P&L to date: 106.8% P&L since last report: +11.0% Drawdown (HWM set at start of June): -3.6% It's been quite a choppy few months. The period started well before a horrendous few days in May (discussed earlier in this thread). However...