Search results

Yes, sounds like management BS but you really should focus on the process not the outcomes. The outcome, profitability, is hugely influenced by luck. You can be doing the right thing and still not make money for quite long periods of time. For example on fundseeder I'm ranked something like 20th...

GAT

Then I am not "consistent" nor do I ever expect to be.... Do you seriously think that is a realistic and necessary goal? GAT

Carry Value and momentum factors BAB Stat arb Read the Illmanen and Pedersen books. Highly recommended. GAT

Define consistent GAT

I don't have enough money to essentially retire I mean... you do. You absolutely do. Doesn't mean you should retire, or become a full time trader, but this is enough money to retire on. You probably shouldn't retire right now, but you can. I'd make the following suggestion: It's really...

I stopped trading them for a few months, but started again as soon as I could. GAT PS please don't call me Sir. Makes me feel old :-)

Funny, it feels like we're moving in opposite directions. My current system is like yours, sqllite and cron. Now in the new system I'm using Arctic/Mongo, and I was thinking vaguely about using zeroMQ although I keep flip flopping on whether to bother or not (fair to say your post has pushed me...

Which test is this? GAT

It makes perfect sense. Trend following on vol futures makes a lot of money. A lot of it is from the carry you nearly always get from being short (so in fact it's mostly a negative skew asset, since there is a persistent short bias). Adding trend following means you get out when things go bad...

Well usually the vol of VIX/V2X gets higher closer to expiry, so it's lower on the further out legs. This isn't always the case, and I haven't checked it recently. GAT

This result is almost certainly overfitting as there is unlikely to be any statistically significant difference in the returns from your various timeframes. Average across as many timeframes as you can [allowing for costs] regardless of whether the backtest 'works' or not. This result is...

So what you really want to do is turn $1000 into $5000?? (This will still require a suboptimal amount of leverage [much higher than suggested by Kelly], but you asked us not to point that out, so I won't) GAT

Let's look at the steepener since I'm personally more familiar with this trade. We'll compare this with an outright position on 2's or 10's. Let's assume an arbitrary 25% annual vol target. Minimum capital = minimum exposure * instrument risk% / target risk% = risk$ / target risk % [formula...

Each of your units will increase your risk by the corresponding amount. So if you start with 7%, then you will have 14%, and finally 21%. When I talk about vol targets, they are expected vol targets for your average position So if you are pyramidding to 3 units, then it's probably reasonable...

Thanks, that's pretty detailed. An ATR of 6.82 roughly corresponds to a annual standard deviation of ASD=95.5 (using my own estimate that the ratio of SD and ATR is ~14, but this is an average). As a % that's 30.7%. That's a fair bit higher than I get as a measure of standard deviation, but...

I'm not sure what you mean by '20% equity being traded' or '2xATR' as 'dimension the trade', but I suspect you are doing something quite different. If you could write down more clearly an example of how you size a trade without any jargon (since we may be using diferent terms to mean the same...

Just to say that seeing people implementing my ideas with their own code is utterly brilliant - the whole idea of the stuff I do is to inspire people to go off and build their own systems: both writing their own code but also developing their own strategies. Sadly not everyone has those skills...

Sorry I'm gradually reading through this thread from both ends :-) It's important to say we have to seperate out two components here - the first is 'how large should a trade be given how risky it is, and my account size, and my risk target'; and the second is 'should I adjust my trade size...

Two issues here, the data storage and the cloud. I've discussed the cloud stuff before, but briefly if machines breaking is your issue then you can stay local by buying another computer. I am also using headless NUC type units, and I have 3 of them that are high enough spec to run my system...