I trade Rob's canonical static system (almost), with momentum, breakout and carry rules. Plus the 'volatility regime' from Chapter 13 of AFTS. The...
Hi all! How are you doing in gold this year? Looking at the spot chart, it seems like we had a great trend. But my unweighted pnl for Jan-Sep was...
Is it possible to test a simple filter using pysystemtrade: do trades only if they have the same sign as the ewmac (1,4) rule forecast?
I suggested that you could wait for a relatively low expected risk before adding capital. Smaller positions, lower trading costs, less chance of...
1) When you increased your futures account, did you pay attention to the low expected risk level of your portfolio? Or low level of leverage? 2)...
Hi, Rob! In the fifth chapter of AFTS you give an example of long only trend following strategy. You note that risk targeting misses the target....
Hi, Rob! As you blogged repeatedly in your April annual reports, you have a long only portfolio of stocks and ETFs in addition to systematic...
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