Whereas if I take the period starting at 2006-01-01, that is almost 16 years to this date, I get CAGR of 21.7%
I see drawdown trough at -40.50% on 2019 January 9th. Max drawdown seems to be -41.52% on 1971 May 13th, but it's too far back. This is what I...
It works now. Thanks a lot, that's very interesting data. I will see how much my returns differ from this.
I supoose spreads exhibit high negative skew, so even if it has higher SR, you probably don't want to leverage it up too much, unlike with...
Seems the google drive file was not shared (it says "You need access Ask for access, or switch to an account with access.")
Oh no, I didn't mean that! What I meant is just the daily returns that were used to generate the chart.
Hi Rob, Would it be possible for you to share the dataset which was used to generate the daily return chart? [ATTACH]
The reason is 2020 was a very good year for trend following and generally 2011-2019 period is quite "dead". So I wonder what it was like for your...
Is it for the period [2010-2019] or does it include 2020 and 2021? I assume this is before costs?
Nice. Do you know what Sharpe ratio it achieved in the 10 year period starting on 2010 Jan 1st? It has been a challenging period for trend...
Yes, kind of anonymous forum therapy for traders. Hey! I never believed in the Gaussian return distribution. This volatility targeting is taken...
Currently at -1.9% for today, which is nothing unusual. For me it's cotton (after being a good boy for such a long time) and gasoline that are...
-8.55% on Friday +2.49% on Monday about -2.5% today so far
Markets are somewhat recovering today. +3.5% for the day so far, but of course, the day's not done yet.
Thanks for listing the rules. I see some new ones I haven't seen before. Do they add any significant improvement to the performance? Or is it...
Robert, if I recall correctly, almost half of your futures allocation is to relative value? I suppose that part doesn't get hit that much by these...
-8.55% for the day -7.86% for the week Running at 32% volatility daily at -4.3 sigma, but weekly only at -1.8 sigma. So far the worst daily loss...
You don't have to back adjust anything when calculating carry. For example nearest month in ES is December 2021. Next contract month is March...
Perhaps I'm misunderstanding something, but how can you calculate carry using backadjusted data? Calculating carry requires comparison of...
Guys, the number after "/search/" is the ID of a search result and it is associated with a specific user session. We can't view other people's...
Separate names with a comma.