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Very late in the day but this seems to be fixed. GAT

In those circumstances I'd get tax relief based on the 15% already paid when I did my UK tax return. Since brokerage statements show the foreign tax paid this is quite easy (easier than filling in a W-8BEN). Note also that under MFID2 it will shortly become much harder to buy many US ETFs from...

You may also want to try this variation: forecast = (interest rate - very long moving average of interest rate for that country) GAT

Let's test this properly. If you regress vol normalise total returns (y axis) against current interest rate level (x axis) you will find there is a positive relationship (low rates, low returns) for long holding periods (1 year plus) BUT: the relationship is much weaker at shorter holding...

Basically there is data for 38 instruments, but the default example only has the subset of instruments covered in my book. https://github.com/robcarver17/pysystemtrade/blob/master/docs/userguide.md#how-do-irun-a-backtest-on-a-different-set-of-instruments GAT

Yes you could do this easily by adding +10 to all your bond / equity instrument forecasts to create a long bias to the risk premia in each asset. Also for things like precious metals, and perhaps also commodity futures if you trade them (it doesn't make sense for FX). You may also want to...

I stick to buying UK listed ETFs in the UK. However the vast majority of these are domiciled in Ireland or Luxembourg. Neither of these places charges any withholding tax, at least on the ETFs I own. This makes them tax wise foreign funds on which there is zero tax, so I just declare them on my...

I've done this in the past (trend followed 2/10) and it works pretty well. There are broadly 3 RV methods; (if your ignore cash neutral which is stupid in this context): duration neutral, vol neutral and one you didn't mention that is commonly used in equity space which is Beta neutral (where I...

Er no, not at all. The equation is just the definition of skew, regardless of what causes it. The earlier discussion was about trend following systems exhibiting momentum only at a time period which is greater than their typical holding period. At short horizons the measured skew will be...

You can equalise the Sharpe Ratios in your optimisation so that correlation is the only factor that isn't considered. I generally do this myself (for pre-costs). GAT

No, just theory, no programming. No ML eithier GAT

If it's CTA style you're particularly interested in then Andreas' book is probably an easier introduction GAT

https://qoppac.blogspot.co.uk/2017/12/obligatory-bitcoin-post.html?m=1 GAT

I don't think I'm allowed to do that. What I plan to do is write some blog posts that cover roughly the same material (excluding anything already covered in my books or elsewhere on the blog). That should be ok. GAT

Dropped because of margin requirements. I'm literally in the middle of writing a post about BTC. GAT

It's pretty much my last 'working' day of the year so I thought I'd do quick annual update of my performance. I appreciate there haven't been many of these recently, but I've been pretty busy with this. Next year I should have more time to tend to some things I've been neglecting: my blog...

Not sure about crowded field; now Quantopian no longer offer API connectivity QuantConnect seem to have the field to themselves. GAT

Here is fine

You can't directly compare the black and the red line as they clearly have different vol. This is because there are more discretionary traders in the FS universe than systematic (which of course in itself is interesting). Once you account for that the lines would be closer. Also people self...

Bahama based. Not UK FCA registered. The questions you are asking above are the least of your concerns. I have a bargepole you can borrow if yours isn't long enough. GAT