I have read the book and its an interesting and compellingly simple approach, but I am sceptical for the simple reason that the last 40 years also correspond to a massive explosion of balance sheets of central banks worldwide in the support primarily of sovereign bond markets. With this kind of explicit support, its no wonder everyone rushes to sovereign bonds in times of stockmarket crashes. Its one thing when the yield buffer is in double digits, quite another when it is 2 or 3%. If this binary switch between the assets breaks going forward, the lack of diversification could come back to haunt imho. Admittedly I am off-topic, as I am expressing a discretionary view, so apologies for that.
Fully automated futures trading
- Thread starter globalarbtrader
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I have read the book and its an interesting and compellingly simple approach, but I am sceptical for the simple reason that the last 40 years also correspond to a massive explosion of balance sheets of central banks worldwide in the support primarily of sovereign bond markets. With this kind of explicit support, its no wonder everyone rushes to sovereign bonds in times of stockmarket crashes. Its one thing when the yield buffer is in double digits, quite another when it is 2 or 3%. If this binary switch between the assets breaks going forward, the lack of diversification could come back to haunt imho. Admittedly I am off-topic, as I am expressing a discretionary view, so apologies for that.
All pre-crash. Since 2009 it's been net negative. Life lesson: ignore "XX year" backtests that haven't worked for a decade.
An interesting question is - how much of these strategies stopped working because there are too many people doing them? I.e. if most of the CTAs vanished tomorrow, would these phenomena re-appear?
Hi GAT,
in the video you mentioned that Rentech tried to do trend following but they didn't do well. Could you elaborate more on that?
Hi GAT,
can we modify pysystemtrade to test stocks by treating a stock as a futures contract with infinite expiration and no carry? We can use div/split adjusted data for that. However I'm not sure if I have to completely change the sharpe ratio calculations because cost of capital for holding a long /short stock is somewhat different from futures.
By my calculations, the outperformance over the past 8 years has been about 5% per year on average.
Taking the spreadsheet you sent at face value, aggregate performance 2009- 17 is -1.8% and it's unclear whether that even includes transaction costs.
Is Gary's performance hypothetical?