Might as well have a proper update. Cumulated, non compounded returns:
So still a great calendar year, but basically flat on the UK financial year I use for my accounting period. Since long only stuff has got smashed in that period as well, I'm expecting my financial year to not be that great, although I'm hoping I will gain some from holding non GBP assets, and having a bias to value stocks.
My expected futures risk is still pretty low, so as I said a fair bit of my P&L in the last couple of weeks has come from the GBP messing around. I'll save my feelings on the current government for twitter (TLDR - not favourable).
I won't bother posting any more details, since you can look at my reports page. Suggestions for more reports always welcome.
Looking back at my last update, my to list looked like this with comments in bold:
- refurbishing an old bike done
- trying to get a bit more exercise ongoing, going for a bike ride when I've posted this
- baiting crypto people on twitter this mission will never be complete
- finish the official first draft of my new book, including the appendix done, met the deadline
- working my way through the list of issues and enhancements on pysystemtrade finished the backlog though there's always more to do
- writing up code and spreadsheets to accompany the book not started
- doing several rounds of proofreading ping pong with my editor in progress
- implement intraday mean reversion abandoned: see below
- adding new markets in progress
The new book has reached the 'final' proofreading stage where I'm looking at the actual form of the book rather than a word document, so I basically have a 632 page pdf to go through with a fine toothcomb over the next few weeks.
(That's 632 pages without the index; it will probably weigh in at about 650 pages - over twice the length of my previous books on trading - smart portfolios was a little longer, clocking in at ~530 pages),
The other big job I've barely started, but will have to crack on with next, is the production of code and spreadsheets to accompany the book. Different from my previous books, these will be behind a 'pay wall' accessible only to purchasers of the book. I have until the book comes out to do this, which is about 5.5 months away still (the worst length for a deadline - it's hard to motivate yourself to do it when it's so far away). However I am teaching again in January, so it would be good to finish that task before December, or at least get a good chunk of it done. So that will be the priority once the proofreading is done.
I noted a few months ago that I'd be implementing the intraday mean reversion system from the book. I did write some code and even did a couple of test trades. However ultimately I decided it would not be a good use of my limited capital, as this sort of strategy isn't amenable to dynamic optimisation (there are more complex optimisation schemes under which you could trade both this strategy and a DO style system, but I will need to spend a lot of time thinking about them, and I'd be concerned about them adding very much for a lot of extra operational risk). It's unlikely I'd gain additional SR by reallocating from my DO strategy to an MR strategy with just a few markets, even if the latter has a higher expected SR per instrument.
It looks like then, for the forseeable future, that I will be sticking with a single system. I will probably add some new trading rules at some point (perhaps even one that tries to capture some of the effect that the intraday system is aiming for), but broadly speaking I can't see any major changes on the horizon.
I decided then to pivot to adding new markets, as this is a task which goes quite well alongside proofreading as it's mostly mindless and mechanical, and there are limits as to how much you can do in a single day (primarily because you die of boredom, and also because I'm downloading data through a barchart subscription that limits me to 100 tickers a day). I'd say there are only around 20 or so markets in the pipeline which will actually be tradeable and add some reasonable diversification.
Once I have those 20 markets, it will be a good opportunity to go through all my markets, checking costs and slippage assumptions, and getting a set of instrument weights that I expect I will be sticking with for a while to come.
After the book comes out in April I expect to spend most of my time on pysystemtrade, doing a proper tidy up of code conventions, documentation and generally doing a long overdue clean up.
So as you can see, the next few months are very much about tying up loose ends and tidying up.
Rob
FWIW - not completely different compounded equity curve to date, with not nearly as impressive SR of 1.35. Holding 40 instruments and current capital just north of $1M. My 'large trader' position of Micro Ether (>25 cts) has now contributed $100.
