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First blog post on dealing with small capital: https://qoppac.blogspot.com/2021/06/optimising-my-way-out-of-small-fund.html GAT

It's trivial to do this in python (or almost any language for that matter), but the hard thing is getting the data - unless you've already got it? GAT

OK would like to help, but not really a fit for me GAT

What instruments do you trade? Systematic or discretionary? GAT

No because I'm going to introduce a new optimisation layer. Briefly (because more detail will come out later) this will take on the best portfolio of discrete positions, given the capital I have available. GAT

Assuming you are interested in trading not investing, read Leveraged Trading first then Systematic Trading. GAT

Sadly no GAT

1001

Would you mind if I used this as an example of overfitting in my next book? GAT

" I have a method for fitting forecast weights that I will probably blog about. It involves fitting on each instrument individually, then clustering and fitting clusters; finally fitting across the whole set of instruments. The final forecast weights will be a blend of the weights from each of...

Handing out cash on the streets seems to be a fairly standard trading guru MO. Heck, I might try it myself. GAT

Different guy?? GAT

People don't seem to like owning long momentum portfolios, because they like taking quick profits. The not sleeping at night occurs because they are worried about profits turning to losses. GAT

"......That also means I place less emphasis on #23 live executions matching the model: I don't even look at this." I look at aggregate trade costs every few months, but never at individual trade fills or execution details. My trades are effectively generated from a nightly backtest using the...

What would the value of doing that be? GAT

I believe momentum is a risk premia, and it's usually included in the standard list of factors (albeit in it's cross sectional equity form). In terms of explanation, I'm most convinced by the behavioural explanation related to prospect theory. GAT

https://www.bbc.co.uk/bbcthree/article/1bee6bdc-9cc6-4415-84fc-6536ec31d46c You can read the article but the video only available to UK residents, sorry. GAT

This has been an interesting thread, albeit it seems to have got a bit sidetracked down the alley of robust trading system design (still interesting!). Your list is excellent, although personally I'd include more of an emphasis on avoiding too much leverage and too much fitting. Let me deal...

Fair point! That would be a massive undertaking. GAT

@bone