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Carry and momentum are diversifying, so barring any information about performance (and there isn't any statistically significant difference between them) you'd want to split your portfolio 50:50 (assuming you have the same number of trading rule variations in each camp) for optimal expected...

Exactly that GAT

https://fundseeder.com/FundSeeder%20Analytics%20Manual.pdf Pages 2-3 GAT

Per trade is a cost per trade, regardless of size. Per block is a cost that scales with the number of contracts traded. GAT

Yes, on the 'to do' list is to move all the examples out to a different library apart from the core ones that belong to the instructions. GAT

Yes I 'clip' (I prefer winsorise as it sounds fancier) individual forecasts, combine them, and then clip them again. In this particular case you'd get exactly the same result. The reason to clip individual forecasts is to avoid too much concentration to a single source of risk (in this case a...

I don't understand eithier of the first or second points. Can you give an example? GAT

No futures returns are already excess returns so you don't subtract rf. Any interest on unused margin would need to be added on. GAT

Thanks for the heads up GAT

Calculus you don't need unless you're trading some exotic hard to value options. A rigorous and intutive understanding of statistical significance is vital for anyone who is looking at any kind of backtest results. Also some understanding of the modelling of financial time series would help, eg...

To pick up trends then yes, you'd use something like a moving average. Most CTAs use pretty similar methods for picking up trends so they have correlated returns. GAT

I'm no fan of AI, but a months worth of returns is almost completely meaningless. GAT

Well backtesting tells me if a particular risk premium has paid off in the past. And we'd normally build our trading rules so that forecasts are proportional to expected return. If I take something like value in the form of buying low PE stocks then yes, you could construct a trading rule like...

I don't think you can or should or need to calculate the 'fair value' when it comes to harvesting risk premia. GAT

Yes GAT

This is a matter of opinion. My opinion, they're harvesting risk premia. GAT

It will take a while for the liquidity to be obvious, and on a practical level I'd need about a year of price data to warm up my system. I'd also need to investigate things like how the settlement process works. The question then will be whether it's better to add BTC or vol futures (which I've...

No GAT

Big article by Matt Smith on this industry trend: https://hfm.global/ctaintelligence/analysis/the-new-frontiersmen/ Few quotes from yours truely. Behind a pay wall sadly. GAT