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Google RIFF the acronym not the word GAT

I did the keynote at this event and a Q&A session on trading system design Presentation is here. Video here (I start rambling on at 5:06:30, and then again from 8:23:20 for the Q&A). Enjoy GAT

Now fixed on github. Thanks for finding the error. GAT

The normalisation is done at an earlier stage https://github.com/robcarver17/pysystemtrade/blob/master/systems/futures/rawdata.py#L172 GAT

Managed futures did very well in 2008. Of course they may not in the next black swan event. Insurance is rarely free. GAT

That makes sense GAT

Yes, but that's probably not whats causing it though. Step backwards from the position rather than forwards. GAT

Try plotting the intermediate diagnostics to see where the wildness is coming from. This is also good to understand better what you are doing. GAT

I'm keynoting at this thing in London in a few weeks, if anyone is around https://www.fxcm.com/uk/algorithmic-trading/algo-trading-summit-2018/ Same talk I gave in New york last year, but there's also a Q&A session on strategy development. And the other speakers of course :-) GAT

Heres one I did earlier https://qoppac.blogspot.co.uk/2017/05/people-are-worried-about-vix.html GAT

7 data points isn't a study. It's a list of anecdotes. GAT

No % per position, 25% total. Same question was asked at the end of the video. GAT

2. is because of costs GAT

Nonsense GAT

Interesting. Have you ever worked in a family office or fund of funds? GAT

Relax everyone! And to answer the question, quite a long way down my to-do list. GAT

helderpalaro.com GAT

It depends. Do you have the option of putting some of you money in the strategy and some in the S&P? (of course you do) Why are you allocating to trend following- for absolute return, or portfolio diversification? GAT

I agree with that. GAT