Yes, as discussed in smart portfolios
1) Huh? 2) It's in the 55%, and it's about half of it. Rob
The theoretical optimal weight on the futures trading is probably somewhere between 50% and 75%, so yes if I didn't have these other issues I...
OK to be clear it's currently 40% and used to be significantly less. I've covered some of these reasons before, but: Having 80% of my wealth in...
er ... that's literally what I'm doing?
So this time, just for kicks, I fitted everything on a per asset class basis. One of the main reasons is that my fitting just broke with all the...
That's very fair; in fact it's only this year that I've trusted the fully automated fitting enough to use it, before I was manually handcrafting....
No idea. One of the upsides of a fully automated fitting process is you don't need to know or care where the weights for each one of over 200...
See here tab asset classes, you can see my strategic risk weight to bonds is around 7%, and tactically is currently lower. Rob
A quick update (more will follow in my usual annual review blog post in a few weeks time), good performance recently - now at a HWM and YTD about...
So you created this system a year ago, and since you created it it has a 317% return with live trading? Why are you posting this on the internet?...
OK I'll bite How many years have you tested it for (backtest and live)? What is the average annualised turnover...
I've incorporated the script from @newbunch * into my reporting framework, so now this report should upate daily:...
All seems fine here, move along, what could possibly go wrong? GAT
Mind sharing the script? I can then add a daily report on this which could be useful to others. Rob
I'm 100% confident the answer to your question, is yes, they will come down. (When however, I can't help you with) GAT
I think this is bootstrapping. I think monte carlo is resampling from a distribution and there is no distributional assumption here. Both...
It's trivial maths that (x*0.5)*c = x*(0.5*c) And if you stopped trading after losing half your money they would be identical. Which you use is...
Pretty sure google will give you a more comprehensive answer than I would Rob
Breakout is a particularly weird forecast, because it's bounded - the price can never be higher than the recent maximum or lower than the recent...
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