Usually I spend those days googling alternatives to IB. This reminds me of the bygone days when BT was a monopoly and phone lines would take three...
A book on ETF/Factor investing for dummies will probably sell the most I think. I wouldn't read it myself, as you set a high bar with your first...
My read is that it is a binary switch on long only portfolios. Would be interesting to see if it works on long/short portfolios given that its...
Sorry, just to be clear, are you saying that you can carry forward losses For 4 years even if you are subject to income tax and not cgt on your...
Thanks. I may attempt to code something up when I get time but it looks a bit more involved at first glance. The attraction of Garch is the...
So rough 'n ready results where perfect foresight is simply a shift function on ewm volframe. This suggests that vol forecasting may be not...
I read this very good post by GAT with interest. Fwiw, I have tried playing with GARCH(1, 1), which was mentioned in the post, and had a similar...
Great TTU episode! Thanks for airing this question, GAT. A quick follow-up: During your answer, you mentioned you allocate only 25% of your...
So here is one, which I am not sure you have previously encountered during your stints on TTU, but it has been a hot topic on TTU in the past. One...
Well its always good to have some returns dispersion amongst this group. So far my system seems to be holding up (although reports of drawdowns...
Have you looked into this? Its GAT's own way to do fast optimisations.
If the NASDAQ stays up, it won't be ;)
6 months in drawdown but finally hit new HWM. More or less one year anniversary since I have been running real money and ~12 mth performance is a...
Fair Point, HobbyTrading. I wasn't arguing against the removal of noise from the system, I was merely trying to grasp the definition of...
Thanks GAT, I need to read up more on hysteresis. Its interesting that there are several people in this thread who seem to have an understanding...
Perhaps I am speaking above my paygrade, but isn't historical averaging, exp or o.w., a form hysteresis too?
Ouch. Although if a trend following system is going to fall over, it might as well do it when there are no strong trends around. It must be...
Congrats. That’s impressive to say the least. After a good start middle of last year, my system unlike GAT’s (and the other mini-GATs on this...
Sure, its retail so here you are: ESH20, risk reversal @2650/2900. Went short at ~ 3250
100% agree. I actually have a small synthetic put in place (equity short + risk reversal) but of course not nearly enough. This is wild, hourly...
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