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  1. Interesting blog on BlueTrend fund and system development

    Yes SR - Sharpe Ratio. And I meant higher in the past. My bad.
    Post by: globalarbtrader, Mar 1, 2015 in forum: Strategy Building

  2. Storing trading strategy logic

    All of this is possible without crunching your logic into a particular format, or weird descriptive language. As you allude to some kind of...
    Post by: globalarbtrader, Feb 28, 2015 in forum: App Development

  3. Interesting blog on BlueTrend fund and system development

    The p-value you get from bootstrapping returns will be a function of how many observations you have and what your realised Sharpe Ratio is. So for...
    Post by: globalarbtrader, Feb 28, 2015 in forum: Strategy Building

  4. Fully automated futures trading

    Todays trades code contractid filled_datetime filledtrade filledprice 2827 ASX 201503 2015-02-27 01:26:43 1...
    Post by: globalarbtrader, Feb 27, 2015 in forum: Journals

  5. Fully automated futures trading

    Okay I'll try and be very explicit. I have an average, long run expected risk target (not a threshold): annual risk target = 25% of capital at...
    Post by: globalarbtrader, Feb 27, 2015 in forum: Journals

  6. Trend following still works

    No I ran a third (the fixed income part) of a $15bn portfolio. The AUM number is meaningless without a risk target which is why I said that if...
    Post by: globalarbtrader, Feb 27, 2015 in forum: Index Futures

  7. Fully automated futures trading

    Yesterdays trades code contractid filled_datetime filledtrade filledprice 2816 AEX 201503 2015-02-26 16:37:30...
    Post by: globalarbtrader, Feb 27, 2015 in forum: Journals

  8. Fully automated futures trading

    Yesterdays trades code contractid filled_datetime filledtrade filledprice 2809 AUSSTIR 201606 2015-02-25 06:14:16...
    Post by: globalarbtrader, Feb 26, 2015 in forum: Journals

  9. The fallacy of "continuous Kelly"

    I guess we shouldn't bother continuing the argument since my apparently wrong approach gives exactly the same result as yours, and I think we can...
    Post by: globalarbtrader, Feb 25, 2015 in forum: Risk Management

  10. The fallacy of "continuous Kelly"

    I don't understand where you get the numbers from, or indeed your 'CK' formula. The mean, mu, of this example bet is 11.1%. The sigma is 12.3%....
    Post by: globalarbtrader, Feb 25, 2015 in forum: Risk Management

  11. Trend following still works

    I can say a bit as I'm now retired. I ran a portfolio of fixed income systematic strategies, mostly trend following. To give you an idea of size,...
    Post by: globalarbtrader, Feb 25, 2015 in forum: Index Futures

  12. Fully automated futures trading

    Todays trades code contractid filled_datetime filledtrade filledprice 2802 AUSSTIR 201606 2015-02-24 04:42:47 1...
    Post by: globalarbtrader, Feb 24, 2015 in forum: Journals

  13. Fully automated futures trading

    Yesterdays trades code contractid filled_datetime filledtrade filledprice 2791 AUSSTIR 201606 2015-02-23 02:57:41...
    Post by: globalarbtrader, Feb 24, 2015 in forum: Journals

  14. Storing trading strategy logic

    None whatsoever. My apologies.
    Post by: globalarbtrader, Feb 24, 2015 in forum: App Development

  15. Storing trading strategy logic

    In the interests of balance and in praise of the simpler approach, I will share a few anecdotes from my professional experience of systematic...
    Post by: globalarbtrader, Feb 24, 2015 in forum: App Development

  16. Fully automated futures trading

    Thanks, and a good question. My average holding period is about one month.
    Post by: globalarbtrader, Feb 24, 2015 in forum: Journals

  17. CL maintenance margin

    I haven't checked this but the obvious reason is that the volatility is probably lower in the future.
    Post by: globalarbtrader, Feb 23, 2015 in forum: Commodity Futures

  18. Anyone experience trading in Europe stock?

    It isn't a 1% cut, its much less. You do a spot FX trade to get the EUR, so you're probably going to pay 1 pip. You can also transfer EUR...
    Post by: globalarbtrader, Feb 23, 2015 in forum: Retail Brokers

  19. Fully automated futures trading

    I've been away for a few days, but naturally my system has continued to trade. I'm confident enough in the checks and balances I have in place to...
    Post by: globalarbtrader, Feb 23, 2015 in forum: Journals

  20. Storing trading strategy logic

    Crikey you're brave. I would shudder with terror at the thought of running an 'algo' which wasn't comprehensible to any human being, and with that...
    Post by: globalarbtrader, Feb 23, 2015 in forum: App Development
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