I'm really looking forward to reading another book by you. Your first book honestly revolutionized how I view trading and dramatically helped me...
Hi GAT, I’ve been using pysystemtrade to backtest several strategies, that I would now like to try to track in real time. I am not sure exactly...
Hi GAT, Do you have any thoughts on what can be done to limit drawdowns, apart from running on a lower vol target?
Hi Rob, I have tried numerous variations to get around the high correlation between the EWMAC and breakout systems, but to no avail. Do you have...
Hi GAT, I have included your breakout rule with several parameters ranging from 20 to 320 in pysystemtrade as well as ewmac (parameters from 2 to...
Hi GAT, Do you vol standardise your breakout rule?
Hi, just wondering if anyone has a link to the video? I have the presentation, but it is a little difficult to intrepret without the video/GAT's...
When I simulate the breakout formula, I see the way you have defined it means it is bound by +2/-2. If I multiply this by 10 it fits nicely with...
Hi GAT, is there a reason why you use a value of ws/4 for the EWMA of the breakout? Why 4? I see you have also multiplied the denominator in...
Hi GAT, Great post. Your posts to date have focused on your futures portfolio, yet your equity portfolio seems to be significantly contributing to...
Hi GAT, In your backtesting, do you assume you execute at the closing price (plus slippage and transaction costs), at the next day at the open or...
Hi GAT, What is the historical max drawdown for your system running at an annual vol target of 25% and the Sharpe Ratio?
Hi GAT, in your optimisation techniques, are you seeking the global minimum variance portfolio (minimised standard deviation for given level of...
Hi GAT, for your use of Sharpe ratios, are you excluding the risk-free rate in all of your calculations and just dividing returns by standard...
I understand that this approach makes sense for comparing your expected slippage vs actual. How do you sample the bid/ask spread for the input...
Hi GAT, when estimating costs as per chapter 12, how do you estimate bid/ask spreads? Do you download time series of very short frequencies of the...
Hi GAT, I noticed that the links on {http://www.systematictrading.org/resources} relating to EWMAC in Chapter 7 are linked to the wrong pages....
Hi GAT, Looking at your above formula, it is not clear to me what you mean by L/4 smooth - can you elaborate? Why 4 and where does the L/4 smooth...
Hi GAT, On page 254 of your book you mention to use trading capital to calculate the cash volatility target. On page 151 you mention that trading...
Hi, I have been calculated a covariance matrix using 10yrs of historical data for various instruments. I have noticed that the length of the price...
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