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No, I started trading on April 5th 2014 and the total p&l is since that date. GAT

Yes I put the maximum into ISAs every year - I've got a large long only equity / ETF portfolio and it makes sense to gradually move this into ISAs (bed and ISA trade). Also I don't compound my futures returns, so any excess profits I make are first used to fund my ISAs. Although the SR would be...

It's good to be terrified when you make too much money. Are you happy that 25% in a month is in line with historic expectations / your risk target? If not you might need to have a rethink about your leverage - unless you'd be just as comfortable with a 25% loss. GAT

Brief update on performance: P&L to date: 105.6% P&L since last report: +9.8% Drawdown (HWM set in August): 2.1% Big profits in KOSPI, LIVECOW, NASDAQ, OAT (Merci Macron), SMI. Interestingly I haven't benefited that much from the well publicised crush in vol - the +2 futures I trade haven't...

Too complicated and easily gamed. GAT

Thanks for the link. I sent this article to my good friends George and Victor and they really enjoyed it. GAT

... and heres my blog post about the other presentations that I saw http://qoppac.blogspot.co.uk/2017/05/some-reflections-on-quantcon-2017.html GAT

Thanks to everyone who attended my talk at Quantcon. The slides are here https://www.docdroid.net/7Mq0son/quantcon-rob-carver-to-present.pdf.html Video will be available here http://quantcon.com/ (click playback) from May 12th (free to attendees, live stream purchasers, or you can buy access...

Nice! GAT

Can't see the picture....? GAT

You might find a more sympathetic ear to these kinds of questions at fool.com GAT

The statistical model you want is eithier the VAR or the VECM (basically a regression with multiple lags). Any decent statistical package will do it, or you can use a language like python, Matlab or R with the appropriate libraries installed. GAT

I don't want your precise strategy, just a rough idea of what you are doing. That will give me some idea of whether your type of strategy really is do-able (which is what you say you want to prove). You posted a .jpg that could be mocked up in 5 minutes and proves nothing. Plus even if it was...

Excellent point. I have no idea what the result would have been on a 'tails'. GAT

I've just found this thread. Good to see someone making it happen. One obvious point is that borrowing in EM currencies like KRW is very expensive, so if you are going to have a negative margin anywhere don't do it there. GAT

What assets are you arbitraging against each other? GAT

I was having lunch with some guys I used to work with; one of whom is now COO at a modest sized fully systematic CTA (~800m). He asked me what action I intended to lower my risk this weekend. I asked him what was so special about this weekend. The French Election. I'd forgotten about that. I...

All the correlations are below 0.4; so if you can then you should trade them all. GAT

1. Not really for a few reasons. You'd need to hold government bonds in every currency you're trading. You'd end up paying a margin interest spread to IB, since bonds can't be used for margin you'd have to borrow against them. You'd eithier have to hold long term bonds (interest rate risk) or...

3. Not much because my portfolio is quite well balanced across asset classes except vol (2 markets) and STIR (1 market)