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It does, but the question is whether the return is still there after costs, so you need to know the costs. Also for many phenomenon (eg trend following) the pre-cost returns are the same across different instruments, regardless of costs. Anyway I think it's important to know costs. At some...

(bid-ask + commission) / vol = standardised measure of costs. Low costs == good. GAT

At some level you can use words to mean what you like. But I just googled scalping, and none of the top dozen or so links agree with you. This suggests you are in a minority with this opinion. GAT

I wrote a post on my own system: http://qoppac.blogspot.co.uk/2014/10/the-worlds-simplest-execution-algorithim.html For (4) this might be interesting http://qoppac.blogspot.co.uk/2015/09/systems-building-checks-and-balances.html GAT

Sorry I don't understand. Can you explain? GAT

In those circumstances (falling volatilty) you should reduce your stop, and increase your position size to reflect the lower risk. When vol rises you should increase your stop and reduce your position size. I note in passing that this would also be a problem with ATR or any stop based on...

Actually my trading is systematic and automated: entirely mechanical and requires no thought whatsoever. Despite all this I still make plenty of money out of it. I reserve my creative abilities for posting sarcastic posts on this forum. GAT

There is nothing I can add to this quote that will make it funnier. GAT

I don't think you should backtest the optimimum stop for the reasons I've already said. GAT

Stops should be based on risk. They are a way of managing risk. If you're basing them on technical levels then they're not a stop, they're something else. If I used explicit stops I'd use SD based stops. You have to have some model of risk. A model is a simplified form of the world. You can...

Yes since around January 2014 these are actual roll dates. They are based on a fixed time before the expiry date, with adjustments to those dates when there isn't a sychronous price between the current and new contracts. Yes GAT

Making a lot of assumptions: 27% individual stock standard deviation, 5% arithmetic return on all stocks (i.e. no skill in stock picking), 0.85 correlation. The latter figure is most important; a higher correlation will reduce the benefit of diversification. These are then plugged into the...

Depends on what you are worried about. If you are trying to minimise tracking error then you'd choose the largest market cap stocks in each sector. If you are trying to maximise return you'd probably use some factors, eg value, momentum ... GAT

Slippage is the difference between the mid price and what I actually pay / get. Assuming the price was 100 - 102 and a thick order book with plenty of volume: So on a buy I'd pay the offer 102 and have slippage of offer - mid 1 point If the price then moves to 119-121 If I then sold I'd get...

You probably won't agree with me but I've written up my rebuttal: http://qoppac.blogspot.co.uk/2017/02/can-you-eat-geometric-returns.html Thanks again for showing me the paper. Was interesting and useful. GAT

I have the opposite experience; for over a decade working in finance I never looked at geometric mean, because we were working in target risk space with leverage, all our backtests had the same expected risk so we only looked at arithmetic means. I only started looking at geo-means a couple of...

I don't agree with that conclusion but I will read it carefully and post a rebuttal

If you are using the correct measure of geometric returns, which I was careful to specify, then diversification improves them. This improvement is much larger than the benefits from rebalancing, which are relatively modest. GAT

You are trying to work out the best compromise between two opposing effects: Diversification, which says the more stocks the better. Given enough money you should own the entire S&P 500 A target return over benchmark, which will require more a concentrated portfolio to achieve. It's...