Fully automated futures trading

Not that I'm aware of.

 

Tim Wong is stepping down as executive chairman of the firm's computer-driven investment unit to focus on his role as chair of its Asian arm, according to an internal memo. Wong joined Man AHL in 1991 and has spent his whole career at the business. (BBG)

 

If anyone's around, I'll be at the AHL Hackathon https://www.ahl.com/hackathon

PyTrendFollow will be one of the projects that gets a tiny table too.

 

Error fixed - https://github.com/chrism2671/PyTrendFollow

Well, we can hope

 

On the tape... March & YTD: Alpha -0.5% -3.0%, Dim +1.1% -4.2%, Div -1.0% -5.9%, Evo -0.9% -4.1%

 

Why? Can you elaborate more?

 

It's generic trendfollowing. Have a look at the real-life trendfollower indices over the past 10 years. Are they making anything like 20%?

 

It has a Sharpe of around 0.8 +/- 0.15 over a lengthy backtest period, (accounting for fees and spreads), although it’s fair to say that recent performance (since 2000) is not nearly as good as past performance. The equity curve it produces is very similar to Winton etc.

Sharpe of 0.8 x 25% vol is 20% return pa.

 

You're free to believe the "lengthy backtest." I believe the realized post-2008 trendfollowing results.

 

GAT will say not statistically significant!