Hi isotope, are you saying that you don't apply any other rules to Vix, you just keep the total forecast permanently at -10?
Hi truetype, would you argue that Vix should not be in a trend following portfolio?
I agree with the ranges you state. I was speaking in terms of average annualized returns. So, over a long timespan you will average out to 20% per...
Hmm.... Before I got into trend following, I was a die-hard efficient-market-theory buy/hold vanguard-index-mutual-funds-type. I did well with...
True, but if you are able to endure that volatility, which I hopefully am, primarily since I know this money is for my retirement in 20+ years,...
So, if drawdowns are comparable to buy and hold, but upside is significantly higher (30% volatility times .8 sharpe means 24% average returns,...
Thanks for the clarification. I feel that I could endure a 60% drawdown (or maybe I am deluding myself). In any case I could do worse just buying...
I've been futures trend following for about 6 months at 30% volatility. I'm okay on your points 1 and 2, but can you clarify what is a "1-2 sharpe...
Interesting point. How do you think a max volatility threshold should be determined?
According to GAT's book, a good way to determine max volatility is to reduce your expected sharpe ratio by 25% (lets say its .8, so that gets you...
Hmmm, maybe I'm thinking of this incorrectly. If a backtested sharpe of .92 is not statistically significantly different from .86, then I would...
@isotope1, I have a backtested sharp of around .9+ using 15 instruments, and using GAT's 3 slowest emwas and carry with bootstrapping. I recently...
I made a program that I check every day. It gathers prices for all my instruments, cycling through one at a time. It keeps track of the standard...
Right, for trend signal generation use the continuous. For PL use the real price. For Carry calculation (if it's part of your system), you will...
I don't use the continuous price series from quandl, I use the ones that have true prices and contract dates. The reason for this is that I am...
I usually do #3 because I don't understand how a spread trade works. If I choose the option "roll" on my tdameritrade account (which I assume is...
This makes sense to me, @HobbyTrading . GAT, why do you consider NQ a better instrument than ES for smaller traders who are building up their list...
Hi GAT, In your chapter 15 portfolio from your first book, you have multiple versions of EMAC rules and only one Carry rule, yet you still weight...
To roll, I use the past year's history of rolls as general guidelines. So, if an instrument rolled on March 15th 2017, on March 1st 2018, I will...
Personally, I have found this post of GAT's very helpful: https://qoppac.blogspot.co.uk/2015/05/systems-building-futures-rolling.html?m=1
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