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1. Nope. I mean, I could easily construct a portfolio that will return you 3-5% dividend yield, but you'll be taking on market risk. Or you could sell OTM options with very little leverage, and again earn 3-5%, but with the risk that once every 10 years you'd lose 30%. 2. @HobbyTrading has...

Yes; I assume it's about 0.5 when calculating my risk target. Of course the better your sharpe the more likely your trading returns will be reliable. But the role of skew is also important here. Positive skew is good; but makes it harder to live off the 'income'. Suppose you're Taleb and you...

To be clear then your "low budget" equates to $600,000 a year in required income...? GAT

easy: system.accounts.portfolio().to_frame().monthly Value: oh sure, yes I looked at aggregated PE for equity indices and other metrics like yields, quality etc. It sort of works okay but it's quite highly correlated with carry. I also looked at using bond yields, but again they're very...

From the urban dictionary: any amount of money allowing infinite perpetuation of wealth necessary to maintain a desired lifestyle without needing employment or assistance from anyone. "F*** you money", "The number", " ... call it what you will, what is yours? How much would you need (or did...

Depends what you mean by 'attributions'. There is a lot of diagnostics in the accounting stage but if you mean something distinct perhaps you could give an example? 'Value' as distinct from carry I'm not sure what that means in futures. If you mean the definition used by Anti Illmanen, which is...

There is an important point that I didn't put in the blog post which I've mentioned before here; I believe it's pretty difficult / dangerous to earn your living purely from trading; in the sense that you should never be in a position where you have to make money every year, never mind every...

I am pleased to report that there is a full review of my 12 month performance (UK tax year, ends April 5th) in the usual place. Other figures, YTD I am flat. Since the last update (December 21st) up to today the picture looks like this: P&L to date: 95.8% P&L since last report: -0.6% Drawdown...

Thanks, clearly not a great year for trend following. My YTD is -0.3% and 12M p&l is around +5% both to April 6th (UK tax year so not exactly the same) but I'll do a more comprehensive report in a week or so. GAT

Yes to additional systems at some point. I believe the talk will be recorded, but I don't know if that will be accessible afterwards. I will put slides on my website however. GAT

If you're trading a slow system (sufficiently slow that daily prices are fine anyway) it doesn't matter so much what you do, and different settlement times are also irrelevant (just make sure that any cross sectional system you are using is slow enough to be robust to this, and I'd also advise...

Not exactly because you can't "own" VIX spot. Owning front VIX will be the closest match but then that has other nasty properties (the largest skew and kurtosis, compared to owning further out months). As an aside is isn't as easy to make money on a mean reverting index as you might think if...

... sure, which is why you need to diversify over as many instruments as possible. GAT

I'm currently in May and rolling to June. GAT

A thick skin and the ignore button are your best friends on here, that's for sure GAT

I'll be doing a full year review on my blog to cover the entire UK tax year, probably in a couple of weeks or so. I have a trend following and carry system on VIX which should help reduce my position when vol spikes. What precisely do you mean by "the mean reversion in VIX"? GAT

Stop. Because you should set your stop depending on the risk of what you're trading. GAT

I think its desirable to have realistic expectations of SR going forward for a number of reasons (getting the right leverage, not paying too much for trading costs, not prematurely giving up on or meddling with a system whose performance doesn't meet your expectations.... to name a few). So you...

Perhaps 'overfitting' is the wrong term. But testing stuff you already know will work will push up your backtested Sharpe Ratio, by construction, because you're accessing information that wouldn't have been available in the past. So the argument that one should revise down backtested SR is still...

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