Then you can't be much of a fan of trend-following!
I guess it depends on whether you're talking about their flagship program, which is the program the original performance link was to at...
From what I understand, Winton has only about 50-60% of their risk in trend following, about a quarter in carry and the rest in newer strategies,...
Fortuitous timing on your decision with spot VIX moving from 17 to 37 today! Hope everyone did well, or at least not too badly, after last night.
Hi everyone, I am comfortable with trend following, but am seeking to diversify through some mean reversion. I know strictly speaking carry is a...
Most central banks have good historical data on exchange rates. Try https://www.federalreserve.gov/releases/h10/Hist/ This has daily data from...
Hi GAT, The recent flattening of the US yield curve got me thinking that it might be worth trend following on the slope of the yield curve. To...
Hi all, when evaluating trading strategies, I typically look at mean, variance, skew, kurtosis, among other things. When working with daily...
Hi all, Let's say you were using back-adjusted futures prices that had experienced so much cumulative backwardation that historical values were...
Hi GAT, Is there a way to dig out the information on trades in pysystemtrade i.e. to evaluate the distribution of trades (not the daily...
Hi GAT, Why does Fundseeder use the Sortino ratio /sqrt(2) ? I understand the Sortino ratio, but I don’t understand why the multiply it by...
Did you end up finding a solution? I am trying to do something similar, along the lines of a risk parity type portfolio...
From a data perspective it is a market that provides a diversification benefit, having a low correlation to most other markets, and has a lot of...
Hi GAT, Will you be adding Bitcoin futures to your portfolio when they list on the CME later this year?
Hi GAT, I'm working my way through your new book and experimenting with some of the techniques, such as bootstrapping moment estimates. I am...
Hi GAT, How can one insert a rule into pysystemtrade that results in a long position if greater than e.g., 5 day simple moving average and short...
Hi GAT, What determines when you sample the market? I see in the above snapshot you've sampled the market and recorded prices at irregular...
This is precisely what I meant. Thanks for the explanation
Also, do you have thoughts on why the mean square error for a trading system decreases by the inverse of the square root of the number of YEARS of...
Hi GAT, I'm still struggling with this. I noticed with my config that each time I fix the weights, the IDM always shows up as 1 over the entire...
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