By the way, one small tip is to use max distance of 0.19, instead of 0.20. Then it reproduces the original handcrafting table exactly. This is...
There was still a lot of time remaining before the new November article is published, I started to think how to solve the interpolation problem....
I wanted to implement handcrafting correlation candidate matrix matching method with interpolation. I ran the code to test it with correlation...
Hello Robert, First I'd like to point out a couple of issues with the code examples. In the new correlation article in order to run the provided...
This is awesome, thanks! I quickly did an initial scan and I see that you ran into the same issue as me - "how many data points to use" to...
Would you mind giving a brief hint in the meantime? I tried many things. Priors as average correlation, priors as corr of 0.5, none seem to show...
Hello again Robert, This time I have checked your code and found out that the shrinkage method is right there, so I reverse engineered it a bit...
I had an idea that it was something like this. I tried taking the mid-point between the optimal weights set and [0.333 0.333 0.333]. However it...
Hello Robert, I have a question related to the handcrafting method. How did you come up with the weights for the candidate correlation matrices?...
Hello Robert, I have read the post on the new and improved Sharpe ratio adjustment method, gave it some thought and came up with a couple of...
Yes! One of the best comments on the nature of markets.
"The markets are the same now as they were five to ten years ago because they keep changing - just like they did then."
Thanks for the link. I think that blog post addresses the exact problem I had in mind. I understand the fastest EWMAC is mostly untradeable (due...
Hello Robert, I have a question related to the handcrafting method. I see that the main input for the handcrafting is just the correlation...
Hello Robert, In one of your blog articles you have a link to your presentation called "The Myth of the perfect trading system". The link was...
My strategy in summary: slow trend following, diversified over 40 markets, about one trade per market per year on average (3/4 of the trades'...
I don't want to come off as nit-picky, but looking at yearly data there are two consecutive periods 16/17 and 17/18 that had -14% and -3.7%...
I wonder what was your max drawdown over the whole 6 years period. Specifically for your futures trading, excluding the hedges. Do you happen to...
I think mark to market for futures value is missing.
Ah yes, forgot to add some context. Breakouts usually have around 35-40% win rates if trades are managed in a trend-following way (i.e. stop is...
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