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Yes in every one of these cases (LTCM, Amaranth, London Whale, Amaranth, Hubler) there were risk managers guys who spoke up and were ignored and/or overruled (watch the film Margin Call). But as JackRab says: I do think that the power of risk managers and compliance type people has increased...

It's interesting to note that of the 5 biggest trading losses of all time, that weren't outright fraud (Kerviel), all were spread / RV trades: Howie Hubler, Amaranth, LTCM, London Whale. High correlation -> Low estimated risk -> High leverage... leaves you very vulnerable to a breakdown in...

Yes, entirely down to CGT. Otherwise I'd have sold the ETF ages okay. GAT

My margin troubles have continued... basically I no longer seem to able to borrow against my largest ETF position, and IB generally are increasing margin requirements across the board. So I've decided to stop trading V2X and VIX as they are extraordinarily margin greedy. GAT

https://github.com/robcarver17/pysystemtrade/blob/master/syscore/correlations.py GAT

Perhaps you would be kind enough to start your own thread so people can find out more about what you're doing since it doesn't seem to fit very well with the approach being discussed here. GAT

Sorry I wrote what I wrote with my tongue firmly in my cheek, I imagine this is a case of cross atlantic humour being lost in translation. GAT

You're correct that spread betting profits aren't taxed; this is true of all UK gambling (taxes used to be taken out of your stake, and are now collected via a special tax on the profits of the bookmaker). However it's my understanding that if you meet certain tests your profits could be...

You know when someone is saying how much they respect your opinion that they're about to call you out for talking BS. Although to be fair I did link to the FAQ. Ok to be more accurate perhaps I should have said ordinarily they have no access to your algos. I guess it comes down to a question of...

In theory Quantopian has no access to your algorithms. I agree that shutting down the live trading was annoying, but I still think they've got the best business model and the best financial backing in what is mostly a very shitty product segment (compare and contrast with collective2). GAT (I...

Expect to see more announcements like this over the next 12 months. From whom... I cannot say. GAT

No. I don't worry. GAT

No basically position = natural position (which is a function of instrument weight, amongst other things) x override factor (between 0 and 1, normally 1). So if for some reason I have to cut the risk on an instrument I just change the override. You're correct in saying that I haven't touched my...

Cash in account divided by notional capital GAT

It would make the system more complex and path dependent. An equivalent 'nice' solution would be to: Lower the vol target eg from 25% to 12.5% Because the system now has effectively less risk capital, increase the threshold required before a position is taken (in my non linear position...

Of course in theory it would be possible to have some kind of optimisation that worried about margin, but that would cause more hassle than it was worth IMHO. By the way I have a special override parameter which multiples positions to avoid having to change instrument weights; might achieve the...

I guess something like the ratio of margin to volatility per contract would make sense; but if the margin system is efficient then all instruments should have roughly the same ratio (with the exception of negative skew stuff for which standard deviation is a lousy measure of risk; eg VIX, V2X)...

That is an interesting approach, although I'd be surprised if 'average profit per unit of margin' was statistically significant. I guess it comes down to the fact I'm not really margin constrained, since I'm running my account at a risk level below where that would happen. The margin constraint...

Closed at 3597, with E50 of slippage. So a profit, although as I said it's hard to know for sure. GAT

Just to show that even the so called 'experts' make mistakes; I hadn't forseen that doing this would affect my margin usage. Over the last few days I've come up against margin limits on opening trades; something that would normally happen only once a year. Weighing up the options: add more...