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You contribute yourself quite a bit, so here you go. Inverse of your covariance matrix times the vector of expected returns. That’ll give you the uncontrained MV weights (not minimum variance, which does not use expected returns), which can then be scaled to constant return, unit length...

You’re fast! Pretty cool stuff.

GAT, I’d like to compliment you. The current situation in global markets is volatile and a lot of stuff is happening on a daily basis. There are many charlatans in general and most info is rubbish / fake. You’ve done well for yourself, but more so, continue to provide very useful information to...

Makes sense. On the clearing smoke: so you see anything particularly interesting to buy in the current environment. The time seems right to buy stuff, but what? Oil looks good, equities in general, gold already rebounded. Some ETFs have huge discounts, but that does not seem to be an extra...

Hi Rob, I love the stuff you’re doing and sharing. Now that you’re getting less dividends your futures trading ATM is paying out, you gotta ‘love it when a plan comes together’. You are systematic, caution against biases and take the emotion out of trading. What surprises me though, is that...

Thanks - interesting!

I’m intrigued by the ‘quirks in the SET50’ comment. What does this mean?

Yes - this could possibly guide the execution decision. In one-tick markets it might make sense to take liquidity. But looks like you have historical trade data to back this up. Interesting, thanks.

I’m still thinking about this... My original example was a market with a 2 tick bid-ask spread. It seems that this changes when the bid-ask is 1 tick. Continuing with the buy order example: if the market stays or ticks lower, you’ll save 0.5 ticks relative to mid. But if the market ticks up, you...

‘my slippage cost would have doubled’ - can I check my intuition? Suppose the market is 99-101 (ie, mid of 100) and you want to buy. You queue at 99. Assume there’s 50% probability of the market moving up and 50% probability of moving down (not unreasonable at this frequency). If the market...

A ‘spread combo order’ sounds like a ‘synthetic’ spread that still trades two individual legs. In most markets, calendar spreads actively trade, sometimes with lower tick size than the outrights. Take the VIX futures as an example (outright spread 0.05, calendars 0.01). Does IB not support this...

This is good news for us in ‘the community’, and I look very much forward to updates or anything you’re willing to share. I’m especially curious how accurate a backtest is for intraday trading. I believe that many intraday backtests turn from firmly positive after TC to very negative once you...

Is this futures-only, GAT? I think -4% YTD is actually ‘good’ - most trend followers are substantially below that. On statistical significance: I think that if you test how ‘abnormal’ the last few years have been given the returns before that (backtest or actual track records), the null of no...

Interesting phenomenon, tx for explaining, although I’m surprised by the fact that ‘everyone is rolling short’ as futures are in zero net supply. I’d also imagine that this is an ‘enforceable arbitrage’, since dividend futures and interest rates can be traded to lock in any mispricing. Is this...

Yes, bid-ask is what I meant. On fair value: even if you think that the current contract you’re exiting is ‘too cheap’, the next contract you’ll be entering into is likely to be be ‘cheap’ too, isn’t it? If this works reliably, it is an independent signal I’d argue.

I’m a bit confused about the roll discussion. Apart from Korean bonds (which are apparently different), why would you ever decide to do anything else but to trade the calendar spread? As in, suppose you’re long 5 lots DEC17. Before expiry, you sell 5 lots of the DEC17-JAN18 spread and you are...

Brilliant and congrats! Does that include the stocks or just futures trading? On the holding period: think that’s not really informative if rolls are included. Given that you trade long-term signals, we’re probably just looking at your weighted average futures roll cycle. Even a long-and-hold...

Can you please start a new thread don’t pollute this high-quality thread with this junk.

How and when did you pick up Python actually? Any recommended courses or books to get from beginner to your level?

Very much looking forward to that, thanks! Your system seems intentionally long-term. Do you not see value in intraday trading? Intraday trends may help, perhaps especially when volatility ticks up.