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From memory (was more than five years ago!) I think I used a Bayesian approach which would have shrunk the pure optimised weights towards equal weights. Unless you've got a small portfolio the exact weights aren't going to make much difference, so it's not worth getting too tied up in the...

I haven't but I know most of the people delivering the course. Extremely high quality. I expect it's expensive though. GAT

Simpler is usually better, but it's not uncommon to see ARIMA used to estimate parameters for a mean reverting strategy (eg assuming it's OU) or VAR / VECM in stat arb. It's even possible to develop a trend strategy that uses OLS (an exponentially weighted OLS is used in Andreas' second book...

1) That's actually quite a hard question to answer. I'd probably use 30 years as it's the easiest and most conservative. 2) Use post cost returns for the input. That assumes that costs are known with 100% certainty (assuming costs are known with x% certainty is another wicked problem), which is...

You're correct that the difference between fast EWMAC and the rest after 1990 is quite striking, and an obvious counterexample to the idea that we use all data to estimate performance figures. In this blog post (https://qoppac.blogspot.com/2019/12/new-and-improved-sharpe-ratio.html) I outline a...

No, muich simpler than that. It's literally the correlation matrix of all the data I have across all the instruments I trade. Correlations between trading rules are relatively stable and I see no reason to use any kind of moving window / more recent history to estimate them. GAT

Intuitively I didn't think it would work but I have a mate who works for a US CTA who wanted me to check it. Plus it's more honest to report on the failures as well as success. Most things don't work. GAT

The blog post said this specific change doesn't lead to any improvement. GAT

That's pretty much it, with the added factor that differences in position and correlations will also cause expected risk to deviate from the long run target (what I call RCF in the post). Thanks I won't have to come back to this on Monday after all... GAT

Good point. I meant the evidence in the blog post is consistent with the system presented in the book. GAT

No I am saying what I do in Systematic trading is correct. Will explain in more detail on Monday GAT

Yes, the 1% is the theoretical carry that we should earn on a long position Sorry the correct calculation is: If I'm long AUDUSD I'd actually earn 1% and pay 2.75% which is -1.75%. My cost is -1% - (- 1.75%) = 0.75% Yes The advantage of futures or any dated instrument (could be dated...

Yes I update them.... never Yes, agreed, largest possible basket. You have to seperate out the carry, and the interest rate margin (which is a cost). The carry determines the sign of your position, the costs determine whether you should trade at all. Take the example in chapter 8 (page 203...

Any questions for the TTU podcast I'm recording tommorrow morning? beset Rob

Yes, you could indeed use block bootstrapping (that's the fancy name for what you've described). Minor note, I use weekly returns not daily; firstly it's computationally faster and with the length of data series I tend to use you're not sacrificing any informational content, secondly using daily...

A fun experiment is to replace the vol estimator with a function that has perfect foresight of future vol. Then see if this improves strategy returns. If not, then it's a waste of time to try. GAT

To be clear, I wouldn't test something like this based on just the risk adjusted returns. The effect it has on the distribution of returns, skew and kurtosis, and what band the risk outcomes are could be equally important. But yet, as a route for improving returns, improving vol forecasting is...

My advantage over most other retail traders is that I understand how to build a trading system that relies on fairly simple trading rules, but is free from the usual errors people make (overfitting, spending too much on trading costs, and using too much leverage). This knowledge is widely and...

Actually the thread discusses when to roll in general terms for all products. GAT

https://threadreaderapp.com/thread/1253616170139254784.html GAT