So, to say this another way, all those hundreds of indicators that people have made are probably quite pointless, because there's no statistically sound way to prove them? I guess people are attracted to the hocus pocus idea of edge (me too!). Do you submit any stop-loss type orders, or do anything equivalent? Some days, the market moves so much it would be better to close some positions and reopen them the next day. My only other idea was to trade before settle, in order to reduce slippage and get ahead of the other CTAs who are likely to place the same order as me at the next open.
That's the curse of the long term trader! There is no statistically sound way to prove almost anything - and all you can ever do is "prove" it worked in the past. Which is why I prefer to use things that have some other justification and logic. No - stop losses are implicit in any trend following system (vol scaling does some of that as well). Huh? Surely that's true only if you knew, in advance, what the price would be tomorrow accurately enough to overcome two lots of execution costs? And if you do know that you should become a highly profitable short term trader, rather than a poor long term trader. Large CTAs will trade throughout the day to minimise their market impact. Or if they trade once a day it's unlikely to be at the open. GAT
Many futures products trade almost 24 hours per day. So there is not really an "open" or a "close" for these. You could only distinguish time periods where many trades take place, versus periods with low trading volumes.
@globalarbtrader You have mentioned that your trading system uses various rules to calculate a forecast for an instrument. Do you use rules based on the mathematical chaos theory? Or based on fractals?
No, nothing as complicated as that. By the way, all the rules I use are now published on my blog. GAT
Thank you for referring me to your latest blog post; I had not yet seen it. My system only uses the EWMAC and "breakout" trading rules as described by you in your book and on your blog. One of the instruments I use is V2TX, so I guess that implicitly I am also exposed to the "short volatility" rule which you describe.
@globalarbtrader You have mentioned in some of your very first posts that you spend 10-20 mins per day on your algorithm. And rest of the time you are busy with other things in your life. Is this still the case? If so, what are your other interests? Just curious I havent ordered your book yet but I will.. Your blog is an incredible public service, I discovered it a week ago and has been using it since.
Thanks for your kind words. Yes I spend about 10-20 minutes on the algo (this is an average - like today will be more like 30 minutes as I'm swapping round my trader servers and having an issue with my new IB secure login to fix - but most days its less than 5 minutes just checking a few emails). Before 9am and after 3pm most days I'm busy with my family obligations (Dads taxi service and all that). During "working hours" I'm currently working concurrently on a few projects: finishing my second book, doing a presentation for some conferences I'm speaking at later this year, some research on portfolio construction, submitting a bid to run a university course on systematic trading, continuing to work on my open source python project. Plus writing occasional blog articles and answering questions on my website and here takes a bit of time I also do a fair bit of cycling (I'll probably do about 45km when I've finished writing this). GAT
Great, thank your for the information. Also, another question: Since I'm a bit new to your blog, I'd appreciate if you could point me towards any parts in the blog where I might find the below points discussed: A- Impact of carry vs. trend following on your returns/sharpe (I'm mainly interested in the "carry" portion) B- Broad description of your carry strategies, and perhaps even a more detailed/granular discussion on your carry strategies C- Correlation of your carry strategies among themselves and/or with a broader "carry" portfolio (such as BND ETF or a narrower defined "long-fixed-income" carry portfolio) I feel a bit like I asked these question without doing my homework (i.e. scouring your book and blog), so apologies for that