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I love that blog, have probably read every post on it at least twice. GAT

Yes exactly that. At the same time checking for spikes, gaps, bad data etc which I didn't do religously enough first time round. Resampling (to daily frequency) happens later, and one of the things I want to do is make the code capable of using intraday data so the adjusted curves are in a...

Hi all. Here's a quick update. Still losing money although the flow seems to have stemmed somewhat. Current drawdown is 12%, bringing calendar year performance down to around 21%. If it doesn't go down much more, that will still be my best performance since 2014. For the tax year I'm up 16%...

Higher information ratio in theory means there are excess returns even after accounting for market covariance. It's surprising because it goes against the resuts for realised vol, eg "Betting against Beta" where low vol stocks outperform high vol stocks. GAT

If his linkedin profile is correct he has some decent experience. However he spent ~12 years in investment banking, 3 years as a VP, and then 8 years as an "Executive Director" (one level below MD). That's pretty slow career progression, so probably not a high flyer. Head options trader at a...

Heiken Ashi is okay, but I prefer to use Tawagoto torihiki shisutemu. This uses a special kind of candle that is guaranteed to work, 100% success rate. GAT

They overpaid for Cantab, and had to write it down. GAT

I don't pretend to understand US tax law but surely the taxman doesn't care whether your cash is in or out of a particular account? I can see why an investor wouldn't want to withdraw mark to market profits as this would mean selling early and realising a capital gain, but I don't see why a...

Even if you don't need the money, it's good to have diversification. If your entire net worth is in your trading account, that's probably okay if your net worth is $10K, but less okay if your net worth is $10 million. At some point between those two points you should have been withdrawing, and...

Yup. About 5 or 6% down. GAT

Thanks, but the pictures are just copied and pasted from my lecture slides, and my latest book. So not as much effort as you might expect :-) GAT

.... over far too short a period to draw any meaningful conclusions. GAT

MA's are not a self fulfilling magic number prophecy type indicator like say a Fibonnaci number. The latter only really work if people believe them. But an MA just tells you the price has moved recently. Using pretty much any sensible indicator/filter will give you exactly the same answer. There...

Different MA lengths pick up different length trends. Trends occur at different time periods. There is no significant difference (in the statistical sense) between the pre-cost performance of different length moving averages in the period when financial assets are generally held to trend (say...

If curious, my own figures are: 23.4% on $605K $142k a year with 19.4% vol We don't do Thanksgiving in the UK, but thanks for the sentiment. GAT

Why isn't it possible to do more than one thumbs up on a post.... GAT

Vol is indeed annualised standard deviation. SR is Sharpe Ratio, roughly return / vol (ok there should be a risk free rate, but let's not get hung up on details) So yes the 4th guy has the highest SR, but he's not the best trader. In fact there are traders on FS with even higher SR than the...

The main metric is looking for consistent returns, where consistency here is a statistical measure that rewards returns that 'look' the same over longer periods of time (since you can have a high SR over short periods by making a flukey ton of money in one day, and losing a small amount in...

Pressed post too early, then didn't edit until too late: Then when I went full time in 2013 I was trading systematically within 6 months, but it took me a couple of years to properly systematise by investing process. And I have a lot of prior experience and knowledge compared to someone...

Near months are more volatile (VIX is the same). So as a contract gets closer, it's required margin will increase. GAT