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My net return was about 6% in the second half of the year, so you beat me :-). I spend around 0.6% a year on commissions so my gross return was probably around 6.3%. GAT

If I can read between the lines, you're saying that my performance was good because there were strong trends in the financial markets in 2019, and my portfolio is heavilyl biased torwards financials. That is a reasonable thing to say, but isn't wholly accurate. To begin with, I'm not sure what...

Walk forward is good. But fitting using small amounts of data is crazy. GAT

I tend not do do detailed annual performance reviews, since I work on a UK fiscal year (7th to 6th April) basis. Nevertheless, if you're interested, I was up ~26% in 2019 in my IB trading account, which broke down to -3% in my 'equity neutral' bucket, and 29% in my futures trading. That's...

You can be impatient and use market orders. Or, you can be more patient. Use limit orders and hope to get passively filled. Use dynamic trading algos that adjust to what is happening in the market. I trade slowly enough that I allow my algo the entire day to get a fill. Which is best? It...

I do understand MPT and special relativity, but definitely not general relativity. GAT

Realised vol (RV) is positively autocorrelated in the short term (high vol tends to follow high vol) and mean reverts in the long term. You want mean reversion, since if RV has been high IV will be high and you then want RV to fall. So if you are going to do this, try and do it at least 3...

Out of curiosity I looked up my own performance vs QQQ since inception (July 2013): 247% vs 176.3% (both numbers from Fundseeder so may be different from numbers I report myself) I could go on about Sharpe Ratio, statistical signficance and alpha; but none of that 'book learning' matters...

I did check it out. You have a "method" that can't be backtested (but is 'easy'), with no evidence that it is profitable and you don't believe that money management is important. If it works for you, great, but it's of no use to anyone else and indeed such attitudes are positively dangerous. GAT

... okay I give up. GAT

The lower risk of diversification is a mathematical fact*, nothing to do with what has happened historically. * Unless all correlations go to exactly one and stay there permanently It's a massive gamble unless you have a super human ability to forecast future returns. If you don't then, in...

Definitely not. I go with a highly diversified portfolio of shares/funds/indices/trading systems. Anyone who puts all their eggs in one basket is taking a massive gamble. GAT

Choosing one thing that's done well historically and suggesting you put all your money in that in the future... is the purest definition of cherry picking I've ever seen. GAT

"Another year of writing year-end articles about annual numbers that have no statistical significance" GAT

Presumably these are the critics who don't understand statistics or the mechanics of portfolio construction, but have to write meaningless articles about end of year performance? GAT

Ah the end of the year, and people publishing articles based on figures which have no statistical significance. Briefly: a year of returns is meaningless, almost random noise that tells you nothing about the long term there are likely to be fewer funds in Singapore, and therefore it's more...

"Are cryptocurrencies SERIOUSLY undervalued?" NO GAT

Coding. And you can't be a 'data scientist' (whatever the hell that is) without being able to do a reasonable standard of coding anyway. GAT

Basically mean reversion, initially on individual futures and then at some point on spreads / flys. Holding period will be a few days. The key point here is the execution, essentially you place limit orders eithier side of the 'fair value' so you're always filled passively (unless you're using...

I'd originally planned to use the same methodology, but now I want to implement an intraday system. Will also give more accurate slippage numbers. But there are still things that can be done on a daily timestamp (and daily in production) including calculation of vol and accounting/gearing. GAT