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I'm not sure there is enough evidence for a secular fall in vol of the scale you describe. If I look at VIX back to 1990 the current level is about as low as previous lows; and the last peak was actually the highest. Something like a 10 year moving average - long enough to remove cycles - would...

https://xkcd.com/1570/

Yes to clarify, the 'running' would purely be to close existing positions and open those up in the next contract. I wouldn't open new positions close to expiry, because the cost of rolling them probably exceeds the slight benefit you'd get from having the optimal position for a couple of days...

Thanks a lot. That's very kind, especially coming from someone who clearly knows their proverbial onions. (It's at this point a more pushy person would politely ask for a nice review on Amazon.com... but I'm not pushy) These are all thought provoking and difficult questions to which the true...

Only if I have to - some instruments don't start rolling until literally that day (I'm thinking of Korean bonds and equities, there are probably others). Otherwise I'd have rolled into the next contract a few days, or even weeks, or years ahead. GAT

I set my overall system risk target with an eye on Kelly. I'm running at about a quarter Kelly (25% annualised risk target versus a backtested Sharpe Ratio of 1.0). I also size my bets proportionally according to inverse volatility (Kelly... but also Markowitz) and according to forecast...

Sure but that will be between some arbitrary point in the day, and the next point 24 hours later. GAT

Forex markets don't have an 'open' because they never close. GAT

It's a nice idea but in practice you'd end up with hardly any trading rules and I'd personally be worried about being too undiversified. GAT

A,B,C I don't actually have any posts that analyse those precise questions. There is more info on carry in the book fr question B. It's also worth reading: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2298565 GAT

Thanks for your kind words. Yes I spend about 10-20 minutes on the algo (this is an average - like today will be more like 30 minutes as I'm swapping round my trader servers and having an issue with my new IB secure login to fix - but most days its less than 5 minutes just checking a few...

No, nothing as complicated as that. By the way, all the rules I use are now published on my blog. GAT

OK I agree with other posters that if you want to trade with a brokerage they have the right to get certain details with you. To trade with IB I've had to give them far more personal information to prove I am capable of trading certain things and having a margin account. Having said that there...

That's the curse of the long term trader! There is no statistically sound way to prove almost anything - and all you can ever do is "prove" it worked in the past. Which is why I prefer to use things that have some other justification and logic. No - stop losses are implicit in any trend...

Or dynamically over time: https://ourworldindata.org/the-link-between-life-expectancy-and-health-spending-us-focus Yet another reason I'm glad I don't live in the US... the NHS is creaking slightly at the seams but at least I don't have to worry about what would happen if I lost my job / health...

Yes. It's worth quoting myself from the original post: "Ideally I'd now run the breakout rules together with the existing chapter 15 rules and see what the result is. However I already know from the correlation matrix and the account curves above that the answer is going to be a small...

This isn't really a formal test I'm talking about since the bootstrapping process doesn't actually do such a test. However you can do a t-test to see if the distribution of returns is likely to be significantly negative. The correct way of doing this, to account for weirdness of returns, is to...

The bootstrap will only give something a zero weight if there is overwhelming statistical evidence that the rule loses money. This is a much sterner test than you glancing at an account curve and deciding that the thing is crap. Having said that I remove anything from my backtest which has a...

Each individual fill has it's own unique execid. GAT

You're right I have no idea what Rentech is doing, and nor does anyone else. However, there are good reasons to believe that they are or at least were running more in this space than the average fund is. The figure for the rest of the fund space is my own estimate, since I know quite a few...