My volatility target is 30%, and I am using 16 instruments, and all of Gat's variations of the breakout and ema rules. I am not using the carry...
Hi Elder, Did you use Gat's pysystemtrade code for your trading? I used it last year and just broke even for the year, so I'm surprised others...
Good question, tradrjoe. I use a simplified version of GAT's system, which excludes carry, and trades 16 instruments, and I am essentially flat in...
I'm up 15.4% since January 1st, but I think my volatility target (30%) is higher than Gat's, and my sharpe is lower at .8, trading 16 instruments....
Hi GAT and others, could you please give me your opinion of Winton's view that the trend following strategy has becoe overcrowded?...
What length of historical performance do you like to have to be confident that a strategy will continue to work for at least the short term...
You're right @truetype, my calculations were off. The last 9 years have basically been a wash between Gary's strategy and buy/hold. But if you...
I agree, that sounds like a good strategy. But, how can you have confidence that that strategy will work going forward? Because it has worked for...
Yes, it's hypothetical, but how does one choose a strategy without a robust backtest? Buy and hold equities backtests at 10% per year. Is that not...
By my calculations, the outperformance over the past 8 years has been about 5% per year on average.
That must be it, thanks, @traider!
Hi, truetype. I agree that Faber-like momentum strategies shine when the market crashes, but look at Gary's performance over the past 40 years....
For anyone who is using GAT's awesome pysystemtrade: I don't understand why the sign of the carry forecast is different between Soybean and...
I use momentum on SPY, according to Gary Antonacci's system here. http://www.optimalmomentum.com/gem_trackrecord.html What do you guys think of...
Thanks @Elder (please don't apologize for offering your view!) and GAT. I am looking to maximize returns, as this is my retirement account, to be...
Interesting, so if I replicated your Chapter 15 strategy, and I had 10 year annualized returns of zero, and lets say the SP500 did 5 percent per...
Thanks, GAT, for a great read. I have been trading a version of your strategy for a year now, and I am obviously underwhelmed by my performance....
The theory of the degradation of trend following is further boosted, I think, by the equity curves of various iterations of the strategy over the...
My diversification concern is the following: Stocks and bonds are negatively correlated. Great, so that means diversification. But, if stocks are...
That's what it seems to me that truetype is saying. GAT, do you have an opinion on this? Seems like we may want to remove Vix from a trend...
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