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I'm down 3% today, should anyone care. GAT

You'll have to wait until the end of the tax year (April) to find out. GAT

https://www.bloomberg.com/news/articles/2017-11-08/cta-funds-back-on-the-quant-map-after-market-beating-october The Florin Court shop is around 95% ex AHL guys. GAT

Yes the backtesting logic is just to be conservative. In practice you'd take last nights close, calculate your forecast and then trade that during the subsequent trading day. GAT

Includes stocks but both components are up. Your comments about rolls are correct. GAT

Yes exactly GAT

I have a higher vol target, remember :-) GAT

+111% since inception (no compounding) +16% Calendar YTD +12% Tax year YTD GAT

Thanks to Mr Carney et al I'm now at a HWM. GAT

It's well known that the average retail trader loses money. The performance of retail traders is strongly skewed, with a big fat bunch of losers and then a thin tail of winners. I assume that the people on the leaderboard at fundseeder.com represent a selection of the very best retail traders...

If you don't believe me then from https://www.quora.com/How-do-you-calculate-the-variance-of-the-sample-correlation-coefficient You can work out the variance given r=-0.1 for yourself. I'll check your answer :-) GAT

I'm not assuming anything. This is just maths (and it's not my own maths, it's standard statistics). The variance of parameter estimates for correlation and volatility are much lower than they are for means and Sharpe Ratios. In plain english we need less data to be more confident about a...

This isn't clear? In simple terms we need relatively little data to form an opinion on correlations, and we can be much more confident about our estimates of correlation than we can about Sharpe Ratios. If the estimated correlation of Cantab and SP500 was -0.1 then after ten years the range...

Sorry, which bit isn't clear? GAT

Excellent question. There is no easy closed form, but when I looked at the correlation of US stocks and bonds (which is also slightly negative) after five years the 90% range was about -0.3 to -0.2; and the range doesn't get much tighter after that. So in simple terms we need relatively little...

No, 10 years isn't sufficient to say very much. I'll give you some more maths, since you love it so much :) and I'm some kind of masochist who enjoys trying to educate someone who is basically putting their hands over their ears and saying "la la la I can't hear you". The variance of SR...

Fair point. I admit to choosing numbers that made the result starker. The problem is that a classic Markowitz framework treats this kind of strategy very badly, so if you like my number massaging was justified. GAT

It probably makes more sense to look at average holding periods or units of risk turned over, as # of contracts is a very crude measure. My average holding period, according to fundseeder, is 30 days which includes rolls. I'll try and find time to do the stitching but I'm rather busy at the...

https://github.com/RomelTorres/alpha_vantage Haven't used this myself but might be good GAT

Fair point - AUM is about 65% higher, although most other asset classes have grown in similar proportions. I guess the key figure would be something like AUM / average futures volume. Someone has probably worked that out, but I would imagine that hasn't change that much. GAT