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You should never underestimate the ability of people to spend their entire paycheck, no matter how large. If you read the article carefully he never says he was a senior trader. That's just in the headline, written by someone at efinancialnews trying to generate clicks (and it worked!). As you...

From a statistical perspective, effectively never. GAT

It's difficult to say exactly how much difference this made, but it probably added about 2% overall. So not a game changer, but clearly helped. GAT

Year four performance: https://qoppac.blogspot.co.uk/2018/04/trading-performance-year-four.html GAT

Fascinating discussion here. Just my 2p worth - using higher frequency data does not significantly improve statistical significance because both noise and Sharpe Ratio change at the same rate of square root(T); you get a slight improvement because the critical value for the T-statistic falls...

When you lose money depends on your trading style. Flash crashes are bad for 'short gamma' strategies. Examples include selling options and market making style strategies where you aim to buy low and sell high on a short time period. Not based on any survey but I think most amateur traders are...

Here is a google docs sheet that does what I describe: The explicit link is here in case the sheet doesn't display: https://docs.google.com/spreadsheets/d/17di3b7MJCBX2ZnKs3Rki409o33EQfS5Y67Z8XCkhDBc/edit?usp=sharing GAT

The line you describe is exponential. I don't use Excel much but if you draw the graph with a log scale and then add a linear fit to the graph that will give you the line. The problem then is converting it back into 'normal' space from log space to get meaningful information. The harder...

I've just pushed a major upgrade to psystemtrade. Read: this. Now you can: get data from quandl.com, store in mongodb.com and github.com/manahl/arctic, and do your own back-adjustment of futures prices.

Awesome. Thanks for the name check. GAT

Also got this: an ~80% fall in my account value with all my stock positions vanishing and most of my futures for about 3 hours this morning. I've had this problem before, and since I trade fully automated it could have serious consequences (basically my software would automatically de-leverage...

Well the big fat NDA I signed with Man means I can only talk about what they're doing once it becomes public domain, hence the confusion. GAT

Yes, still writing the documentation and then I need to drop in the last part of this particular phase which does the actual backadjustment of prices. GAT

No although obviously you could run a full backtest and then slice the account curve GAT

They've had a break out system for at least 15 years GAT

To the excellent points already made I'd add this: you can't make these kinds of decisions based on 15 months of returns as you don't get anywhere near enough statistical evidence. It's very difficult to predict the future performance of a given risk factor like momentum, and if anything there...

I currently have a broken build whilst I'm fixing up some refactoring but will look at this when done GAT

The approaches are pretty much equivalent, really the second book is just an extended explanation of the asset allocating investor in book one. For my asset allocation I assume all sharpe ratios are equal and use the 'rule of thumb' numbers for vols and correlations that you can find in the...