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  1. Fully automated futures trading

    Thanks! Do you have any thoughts on arithmetic vs. geometric means and standard deviations when computing Sharpe ratios and for position sizing?...
    Post by: Raphael, Oct 18, 2015 in forum: Journals

  2. Fully automated futures trading

    Would you consider doing this when computing the combined forecast i.e. making a long only rule and then including that in the portfolio of rules?
    Post by: Raphael, Oct 18, 2015 in forum: Journals

  3. Fully automated futures trading

    Thanks. That's much clearer now. So if I understand correctly more diversification means lower volatility, so to maintain the same level of...
    Post by: Raphael, Oct 14, 2015 in forum: Journals

  4. Fully automated futures trading

    I think I understand where my confusion is coming from. I've been calculating the normalized trading cost (standardized cost * turnover) for each...
    Post by: Raphael, Oct 14, 2015 in forum: Journals

  5. Fully automated futures trading

    From what you've written it seems like you're estimating trading costs using this approach, rather than just computing them directly. There are a...
    Post by: Raphael, Oct 14, 2015 in forum: Journals

  6. Fully automated futures trading

    I've been reading and coding up the framework you describe in your book. One question: when computing costs you use the volatility normalized...
    Post by: Raphael, Oct 14, 2015 in forum: Journals

  7. Fully automated futures trading

    With this in mind, if someone had all of their capital in a trading system, would it be worth including 'buy and hold' as one of the strategies to...
    Post by: Raphael, Oct 6, 2015 in forum: Journals

  8. Fully automated futures trading

    That makes a lot of sense. Thank you.
    Post by: Raphael, Oct 4, 2015 in forum: Journals

  9. Fully automated futures trading

    This thread is really interesting. Thank you for sharing your experience. Your book is a great read as well. One question, at what point will...
    Post by: Raphael, Oct 3, 2015 in forum: Journals

  10. Adventures in Algorithms

    Thanks for the suggestions. I'm reading through @garachen's posts now. It's rapidly becoming apparent how much negativity there is on this forum....
    Post by: Raphael, Sep 26, 2015 in forum: Journals

  11. Help with SIG Interview Question about Options

    I'm probably just arguing semantics but the way this is stated it seems the answer should be $0.75 for the option of rolling again. That is, you...
    Post by: Raphael, Sep 26, 2015 in forum: Options

  12. Trend Following Is Not Predicting

    Yeah. Agree completely. However many people are doing this without realizing by applying a moving average to compute the trend. Whether you apply...
    Post by: Raphael, Sep 25, 2015 in forum: Strategy Building

  13. Trend Following Is Not Predicting

    I never made any statement on the effectiveness of TF. You are making statements about the effectiveness of signal processing. If you're using a...
    Post by: Raphael, Sep 25, 2015 in forum: Strategy Building

  14. Trend Following Is Not Predicting

    One could say the same thing about trend following. It's very unlikely that there is one thing that is the 'key' to the market, if there was it...
    Post by: Raphael, Sep 25, 2015 in forum: Strategy Building

  15. Adventures in Algorithms

    If you haven't come across it yet I highly recommend Technical Analysis of Stocks and Commodities magazine. It has some good trading ideas.
    Post by: Raphael, Sep 24, 2015 in forum: Journals

  16. Trend Following Is Not Predicting

    Thanks again for the references. This is all really interesting stuff. It looks like he stopped recommending his earlier frequency discriminators...
    Post by: Raphael, Sep 24, 2015 in forum: Strategy Building

  17. Trend Following Is Not Predicting

    Thanks for the pointer. You're referring to the article in S&C November 2008 right? Looks like he's just using a spectrogram to determine the...
    Post by: Raphael, Sep 24, 2015 in forum: Strategy Building

  18. Trend Following Is Not Predicting

    First of all just to clear something up. Predicting and forecasting relates to events that occur in the future. You do not predict something that...
    Post by: Raphael, Sep 24, 2015 in forum: Strategy Building

  19. Adventures in Algorithms

    I'm just getting started with trading so figured now is a good time to start a journal. A bit about me: I have a PhD in signal processing and...
    Thread by: Raphael, Sep 23, 2015, 54 replies, in forum: Journals
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