Search results

I'm no psychologist but I have read most of the behavioural finance / relevant psychological literature. My understanding is that most people are bad at trading because of cognitive biases that all humans have, to some degree or another: over confidence, loss aversion, narrative fallacy and so...

Yes.... but I feel duty bound to say that: a) my "stake" didn't come from trading, at least not in the way you probably imagine, but from working for a systematic hedge fund. b) I derive a proportion of my income from dividends in a long only investment portfolio rather than entirely from...

https://www.interactivebrokers.co.uk/en/index.php?f=5061&ns=T&nhf=T Great news. Thanks for this. GAT

Yes it's a result of a higher NAS. I chose this because the FS score penalises you for having large absolute drawdowns, irrespective of what your vol target is. This gets me down to a vol more typical of the CTA Industry. Depends on what you're looking at, the account is nominally in GBP and...

Let me expand a) it's pretty obvious what kind of price movements will hurt a particular system. Carry and mean reversion dislike sharp volatility. Trend following hates range bound markets. b) I can't identify in advance that these bad periods are going to happen. So why worry about something...

No I have given this zero thought GAT

Exactly GAT

That sounds fine for most markets. I guess the judgement about when to roll is something I'd personally like to keep under my control. Sort of. I run closing price snapshots, but I also grab prices hourly during market hours (not really opening prices however). It's possible for orders to be...

Do you like Trading, Math and Programming? I call it Maths, because I'm english, but ok. Essential skills: QI > 120 Someones already made that joke. Dammn. Deep skills in Statistics Skills in Math logic I have no idea what that means. Are you looking for someone with a phd in formal logic...

You're right to a degree but I'm looking at it from my own perspective. I moved to an expensive city London to get a well paid job but then elected to commute. I made various other decisions which meant we still had (and have) a nice middle class lifestyle but worry about acquiring the trappings...

Same question: Why? I know some of the guys at Systematic pretty well, so a little intrigued as to why you don't like them so much. GAT PS I don't like David Harding as a person and you couldn't pay me enough money to work for him, but it's undeniable he has built a huge business and deserves...

You can use the tables in chapter 3 which tell you if one trading strategy is better than another for this purpose. Warning: You're unlikely to live long enough to get a statistically significant result, unless you're trading very fast and have an extremely high Sharpe Ratio. GAT

It's very simple. If you think you need a certain income to live off, then you will need around 30 times that in income earning assets if you don't want to worry about working every again (with a safety margin). The average post tax household income in the UK is around £30,000. The income at...

1. I was too busy to update as regularly, but I did update on January 5th. If you're a member of fundseeder you can keep an eye on me there as well The second plot shows that I am reasonably well correlated with the CTA index, but since mid 2015 I've outperformed it by around 8%...

3% is the income (dividend, bond coupons) not the total return. If you're mostly living off this portfolio you shouldn't be touching any capital increase. Yes you can get a slightly higher income than this without harming your diversification, but again it's wise to build in a margin of safety...

Yes still using it. I haven't tried the IB algo yet. The right way to do this would be an experiment, running some orders through their algo, some through mind, and comparing the result. GAT

So lets say you're earning $50K from your trading strategy. If you put $1.5 million into a diversified portfolio of stocks and bonds you can probably earn 3%. Sure there will be ups and downs, but the flow of dividends and coupons would be reasonably safe. So that's another $45,000. Total of...

I'm a muppet. Didn't read the post properly. GAT

Yes, in theory, but why would you do this? You would have a perfectly hedged position that would consistently lose money.... GAT

This post is about using Docker - a containerisation tool - to run automated trading strategies. I'll show you a simple example of how to use Docker with my python back testing library pysystemtrade to run a backtest in a container, and get the results out. Rest on my blog...