very interesting thread. i will try to read all 150 pages as time permits. i will also share some screengrabs of performance reports of mine, i have created some strategies with impressive results on historical data, even out of sample historical data. this seems like a really nice forum, i'm glad i have now joined.
Is an event driven framework more flexible than a vectorised approach since it caters to trades with path dependency? What language did you implement your tester in?
Fundseeder is a fundraising platform. Someone with a Sharpe 3 strategy would not be seeking funding and is probably already investing at max capacity for his/her strategy. Most professional traders would not be publishing their results on fundseeder.
You know we were talking about strategies with no negative years? I just noticed that Winton hasn't had any down years: https://ctaperformance.com/wntn I'm not sure what they're doing that makes such a big difference. Here's the result of my constant capital back test from 2000: As you can see, there are long periods with steep drawdowns.
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, so they are becoming more and more of a hybrid trend-follower as opposed to a pure trend follower. They also trade long/short market neutral equities in their original flagship fund. So you’re not necessarily comparing apples with apples if you’re comparing them with a pure trend follower....
GAT model also includes carry (about 50% atleast according to his book). Winton future program trend following does also include equity futures, but not long/short market neutral equities in their future program. https://www.winton.com/programs/winton-futures-program They did had down year in 2009. around 4 min mark Their smoothness curve is probably function of number of instruments they use and target volatility they target. Equity curve looks lot different with 8-10% vol vs 25% vol. target.
What is the weight of your rules? Does it vary through time? How many instruments are included in the backtest
The equity curve shown above is with ~25% carry and 17% vol. One grave concern is that the entire system is now only really trading two main themes: rising interest rates (short bonds) and short dollar. Those are fundamentally opposed (dollar should rise if interest rates rise), so I’m concerned a lot can go wrong in the short term.