Let's face it, it would be deeply ironic if I - a well known skeptic of AI and someone who thinks that Nvidia et al are massively richly overvalued - got smashed to pieces because my purely systematic trading strategy ended up with a latent long beta to US AI.... Rob
Right, I have an announcement to make, and I'm also looking for a favour. The announcement is I've just signed a contract to write book #5. If you've been following my vague book idea list, this is going to be a more accessible book which covers trading in equities, ETFs and .... sorry.... crypto. Basically similar to my book on leveraged trading, but for 'delta one' assets without leverage (so some overlap with "Smart Portfolios" then). That brings it's own issues as you will know if you've tried to implement the strategies in "Systematic Trading" in other assets classes. As part of this, I want to make the book as 'global' as possible. So I'm looking for some volunteers to answer a short questionnaire on what it's like trading in your country in those asset classes, and any specific niggles to be aware of. I think there is a reasonable geographical spread of people reading this thread so I should be able to get quite a few. If I don't then I will open it up to the wider ET community and beyond. The only country I don't need is the UK. I could do this research myself, but it would be quite time consuming and I'm concerned I'd miss somethinng important, especially as it's likely the information will be in other languages. In return, apart from my undying gratitude, you'll get a mention in the acknowledgements (eithier using your real name or ET handle, up to you). If you're up for it, then please PM me. Rob
Finally. After implementing the strategies in spring of 2024 and having paper traded since then, I am finally going live tomorrow. Let's see what the future holds.
First post. I read both Systematic Trading & AFTS - Thanks so much to Rob for being so open and sharing all the insight. I built my own trend + carry system and went live in late September last year. As is to be expected with these things you always start with a horrid drawdown but things have recovered nicely since then! Look forward to more discussion and learning from this wonderful community. Anyone here use MATLAB?
I must be getting old, but I can't see the option to PM you anywhere on the profile page (on computer/web). Twitter doesn't work either Otherwise would be happy to answer questions on systematic trading for Australian markets. We have an interesting opening/closing auction process for the ASX, and use limit orders instead of market on open/close. Aussie futures also have quirks, needing actual cash not just margin, and fixed income is priced based on yield to maturity instead of on capital price - the tick value changes as interest rates change.
When starting the system, did you start by taking only new signals from the start date onwards? Or did you open a full portfolio based on existing positions from the backtest? I've seen arguments for both methods, with the second method giving full diversification from day1 potentially avoiding that initial drawdown (but also potentially catching exits and not full trends). I use bits from AFTS but haven't read it cover to cover, and don't have the Systematic Trading book so I'm not sure what was recommended in there. I do remember Clenow's book "following the trend" recommended the second method, to replicate all the backtest positions on day1 (and it's what I used when I started 3 months ago too). I did not suffer a drawdown until 6 weeks later when Cocoa pulled back, which was a giveback of some open profit but not much dent in initial capital. Have since recovered most of that, though 3 months is too short to know anything really and a lot of luck was involved - especially every time Trump opens his big mouth!
Recommendation: go to his latest message in this thread. Then click on his handlename (in blue letter font). A pop-up window appears which contains the statement "start a private thread". Voila, here you can send Rob a private message.
Thanks! I have an old habit of always right click->new tab on everything, it seems that prevents any popups too. Learned something new today
I used the full portfolio. In my view that was the 'optimal' positioning based on my latest (continuous) forecasts.
There are many variations of what can be considered as a good approach. I use the big ideas from various places (I have Clenow's book as well and it is a very fun read) and implement them in my own way. Think about it this way - even in the hedge fund industry everyone studies more or less the same quant/economics/finance curriculum but every funds PnL is slightly different even when they compete in the same space. Re the drawdown - Most of the damage in Oct was done by longs in Robusta, Coffee & Cocoa among other things. Of course these same trades came back really strong in Nov and Dec. I also realised that butter was too hard to do due to low volumes and ended up taking it out.