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He has frozen redemptions because he has hard to sell illiquid unlisted assets in a fund with daily redemptions. Which is just silly. GAT

I meant chance in a statistical sense. What I meant was, are the returns of the worst and best currency statistically different? If not then you should just trade them all and not worry about why one works or doesn't. GAT

How do you know the 'works / doesn't work' is pure chance? What is the annualised sharpe ratio of the best and worst currency, and how many years does the backtest last for? GAT

A variation of another story: "Person with no understanding of statistical significance claims four months of performance is meaningful" GAT

This is a variation of the standard news story: "Strategy designed to be uncorrelated with market does badly when market does well" GAT

https://qoppac.blogspot.com/2019/04/trading-and-investing-performance-year.html

When you go long you're predicting the market will go up. To be more precise, you are predicting the probability of a rise is greater than a probability of a fall (let's assume we're not trading options, which obviously complicates things). You are not making a "point forecast" - that the price...

Ah, this particular trope again. The second pair of statements is true. The first is not. When you place a trade, you are by definition making an implicit prediction of what the market will do.

By doing this you are destroying the benefits of a walk forward test; eg that the system is fitted using only historic data. GAT

I wonder if there is more capacity in what Buffet does than what Simons does. GAT

Over 2 years later I've finally got around to investigating this https://qoppac.blogspot.com/2019/02/skew-and-trend-following.html GAT

In case you missed it https://qoppac.blogspot.com/2018/11/is-trend-following-dead.html GAT

CTAs mostly trade futures, not cash equities. GAT

https://qoppac.blogspot.com/2017/03/interactive-brokers-native-python-api.html?m=1

I have considered this, and there is a post on my blog discussing using Docker for exactly that reason. Partly I was put off by the cost (if you dig around there is a thread discussing this on ET which I contributed some figures to); but I think there is more competition in this space now and...

It is a big process (and the other gotcha is the pain of running multiple IB logins) ... and the question is what value will you get from it? You're very welcome. In other news, if anyone is interested (I don't track it myself, preferring the tax year measure of performance) here are my...

Yes exactly that. From https://www.oanda.com/forex-trading/analysis/financing-calculator for EURUSD Oanda charge 2.5% to borrow USD and -0.9% to deposit EUR on a long position. On a short position it's 0% lending on EUR and 2% deposit on USD. So an average funding spread of 0.7%. On GBPUSD the...

Just to add: if you do know of a retail facing broker with reasonable financing costs who actually discloses financing costs on a public web page, I'd really like to see it. Not because I disbelieve you, but I'm actually writing a (3rd) book about trading and I'd like it to include accurate...

First an apology. As you probably realise 99% of the people talking about trading FX on the internet are dangerous idiots. Whenever I see a discussion about this subject I get a Pavlovian reaction, the red mist descends, and I assume that the person posting (a) has no clue what they are talking...

With all due respect, this is mostly incorrect. Which FX broker do you work for? :-) The wider choice of pairs is true, but why confine yourself to a single asset class in futures? I'd rather trade 40 futures markets across different asset classes than 40 FX pairs that are mostly going to be...