So, first I should apologise for the LONG.... break between blogposts. This started when I decided not to do my usual annual review of performance - it is a lot of work, and I decided that the effort wasn't worth the value I was getting from it (in the interests of transparency, you can still

I've talked at some length before about the question of fitting forecast weights, the weights you use to allocate risk amongst different signals used to trade a particular instrument. Generally I've concluded that there isn't much point wasting time on this, for example consider my

Do you remember this post? https://qoppac.blogspot.com/2022/06/vol-targeting-cagr-race.html Here I introduced a performance metric, the best annualised compounding return at the optimal leverage level for that strategy. This is equivalent to finding the highest geometric return once a strategy is

An old friend asking for help... how can I resist? Here is the perplexing paper: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4042239 And here is the (not that senstional) abstract: Bitcoin (BTC) returns exhibit pronounced positive skewness with a third central moment of approximately 150%

Twas the night before Christmas, and all through the house.... OK I can't be bothered. It was quiet, ok? Not a creature was stirring... literally nothing was moving basically. And then a fat guy in a red suit squeezed through the chimney, which is basically breaking and entering, and found a

I'm sometimes asked where I get my ideas for new trading strategies from. The boring truth is I rarely test new trading strategies, and I mostly steal ideas when I feel in the mood. Today for example I saw this tweet post on twitter X: The original paper is here (requires subscription or

I recently upgraded my live production system to include all the extra instruments I've added on recently. I also did a little consolidation of trading rules, simplifying things slightly by removing some rules that didn't really have much allocation, and adding a couple from my new book.

Here is part two of my annual review. Part one looked at my overall portfolio, including long only, but there was only a cursory look at my futures. Here in this second part I will be looking a my futures trading account in a lot more detail. It's important to say why I'm doing this.

A bit late this year, due to a confluence of holidays, book launches, university exam writing and various other things. Here lies within my performance for the UK tax year 2022-23. Previous years can be found here. TLDR: Not great, absolute or relative. It was indeed a complete anus - horrible!.

Tommorrow marks the official release of my 4th book: Henceforth to be known as AFTS (I've had authors copies since the 24th February, but modern supply chains being what they are it takes considerably longer for the book to arrive in the hands of my readers; although plenty of people on twitter

As those of you who follow me on the Elon Musk Daily News App will know, I received physical copies of my new book last week (exciting!). Global supply chains being what they are, you lot will have to wait until April to get your copies. Sorry. Anyway one of the themes I touch on in the book is the

Lots of things have changed in the last year. Many unthinkable things are now thinkable. A war in Europe. The UK coming 2nd in the Eurovision song contest rather than the usual dismal 'null points'. And of course, the correlation of stocks and bonds has recently gone more positive than it

In a lot of my work, including my new book, I use two different ways of measuring standard deviation. The first method, which most people are familiar with, is to use some series of recent percentage returns. Given a series of prices p_t you might imagine the calculation would be something like

As readers of my books will know, I don't recommend leveraged ETFs as a way to get leverage. Their ways are very dark and mysterious. But like many dark and mysterious things, they are also kind of funky and cool. In this post I will explore their general funkiness, and I will also show you how

This is the second post in a series I'm doing about whether I can trade faster strategies than I currently do, without being destroyed by high trading costs. The series is motivated in the first post, here. In this post, I see if it's possible to 'smuggle in' high cost trading

Happy new year. I didn't post very much in 2022, because I was in the process of writing a new book (out in April!). Save a few loose ends, my work on that project is pretty much done. Now I have some research topics I will be looking at this year, with the intention of returning to something

There has been a very interesting discussion on twitter, relating to some stuff said by Sam Bankman-Fried (SBF), who at the time of writing has just completely vaporized billions of dollars in record time via the medium of his crypto exchange FTX, and provided a useful example to future school

Few people are brave enough to put their entire net worth into a CTA fund or home grown trend following strategy (my fellow co-host on the TTU podcast, Jerry Parker, being an honorable exception with his 'Trend following plus nothing' portfolio allocation strategy). Most people have

Regular listeners to the podcast I ocasionally co-host will know that I enjoy some light hearted banter with some of my fellow podcasters, many of whom describe themselves as 'pure' trend followers, whilst I am an apostate who deserves to be cast into the outer darkness. My (main) sin? The

Another brief post this month; the deadline for the first draft of my latest book is only a couple of months away and I haven't got much free time! But I was asked an excellent question on twitter recently, which was how the various types of trading rule have contributed to my p&l this

Eight years! Wow. In late 2013 I walked out of an office for the last time where I had been working for AHL, a large systematic futures trading fund. A few months later, in April 2014, I had my own very small systematic futures trading account, and I started doing these performance reviews. And this

Very brief blog post this month; I'm deep into book writing mode at the moment. Chanelling Clif Assness, I'm just going to present a few charts and lead you to draw your own conclusions. Excess / futures returns from portfolio of 60% S&P 500, 40% US Ten year treasuries (Authors own

This is a short follow up post to one I did a couple of years ago, on "Exogenous risk management". This was quite an interesting post which dug into why expected risk changes for a typical diversified futures trading system. And then I introduced my risk overlay: "Now we have a better

Happy new year! A very quick post from me this month - I'm trying to get ready for teaching next week and also cracking on with my latest book. On the Systematic Trader podcast I recently discussed using a clustering algorithim to group instruments. Using my software, pysystemtrade, I can get a

I realise that I've never actually sat down and described my fully automated futures trading system in all it's detail; despite having runit for around 7.5 years now. That isn't because I want to keep it a secret - far from it! I've blogged or written books about all the various

My last blog post was about a new method for a daily dynamic optimisation of portfolios with limited capital, to allow them to trade large numbers of instruments. (Although I normally write my blog posts to be self contained, you'll definitely have to read the previous one for this to make any

This is the sixth (!) post in a (loosely defined) series about finding the best way to trade futures with a relatively small account size. This first (old) post, which wasn't conciously part of a series, uses an 'ugly hack': a non linear rescaling of forecasts such that we only take

This will be a bit different from my normal posts. It's basically some personal reflections on the LIBOR fixing scandal, prompted by having just read this book written by Stelios Contogoulas: This post isn't really a book review, although I will say that the book is definitely worth

This post is something that I've banged on about in many presentations at several conferences* (most complete slides are here), and in various interviews, but never actually formally described in a blog post. In fact this post has existed in draft form since 2015 (!). * you know, when you leave

Over the last few posts I've been grappling with the difficulties of trading futures with a retail sized account. I've tried a couple of things so far - a complex dynamic optimisation (here and here) where I try and optimise the portfolio every day in the knowledge that I can only take

In a couple of recent posts (here and here) I explored the idea of using dynamic optimisation to deal with the following problem: diversification across markets is good, but requires more capital. That didn't work out so well! I can also appreciate that this is *way* beyond most peoples idea of

This is part two in a series of posts about using optimisation to get the best possible portfolio given a relatively small amount of capital. Part one is here (where I discussed the idea). You should read that now, if you haven't already done so. In this post I show you and explain the code and

This is part one of a series of posts about using optimisation to get the best possible portfolio given a relatively small amount of capital. In this short post I present the idea, and discuss some issues that I need to resolve. It's a bit of a stream of conciousness! It's less of a blog

I've long been a critic of the sort of people who think that one should run a different trading system for each instrument that you trade. It is the sort of thing that makes intuitive sense; surely the S&P 500 is a completely different animal to the Corn future? And that's probably

For the last seven years since I started trading my own account I've pretty much kept the same set of futures markets: around 40 or so, with very occasional changes. The number is limited, as to trade more markets I'd need more capital. The set of markets I have is a compromise between

It's April, which means the birds are singing, the trees are leafing, and I'm doing my annual review of my investing and trading performance. The format will be familiar from previous years, but I'm going to be using the fact I've upgraded my live trading system to include a lot

A few days ago I was browsing on the elitetrader.com forum site when someone posted this: I am interested to know if anyone change their SMA/EMA/WMA/KAMA/LRMA/etc. when volatility changes? Let say ATR is rising, would you increase/decrease the MA period to make it more/less sensitive? And the bigger

When I was a spotty teenager I was a walking nerd cliche. I liked computers; both for programming and games. I was terrified of girls. I was rubbish at nearly all sports*. And I played D&D (and Tunnels and Trolls, and Runequest). * Nearly all: Not, I'm not talking about the

One of the upsides of having a (very, very minor) public profile is that you get a lot of people asking you for advice, which is flattering (and if you say otherwise, you need to consider just how first world that particular 'problem' is). The only downside of this is you get asked the

Risk. Love it or hate it, well as a trader you have to deal with it even though none of us really like it. No, we'd all prefer to be one of those mythical traders you hear about on youtube or instagram who consistently make $1000 a day, and never lose any money. Sadly I am not in that unicorn

As most of you know I have a regular(ish) gig talking on the Top Traders Unplugged systematic investor podcast, every month or so with Niels Kaastrup-Larsen and Moritz Seibert. Anyway on the most recent episode we got chatting about whether open or closed equity should matter when trading a

Remember the handcrafting method, which I described in this series of posts? Motivating portfolio construction Methodology Implementing Testing Adjusting portfolio weights for Sharpe Ratios All very nice, all very theoretically grounded, except for one thing: the 'candidate matrices'.

This is a blog post which has been coming for a while. It relates to a lot of themes I've discussed before, and a recurring conversation I've had with a few people. As most regular readers will know, I run my trading strategy to hit a particular risk target. That risk target is expressed

This is a blog post about forecasting vol. This is important, since as sensible traders we make forecasts about risk adjusted returns (as in my previous post), which are joint forecasts of return and volatility. We also use forecasted vol to size positions. A better vol forecast should mean we end

This is a post about forecasts in trading systems. A forecast is a calibrated expectation for future risk adjusted returns. In more layman like terms, it is a measure of how confident we are about a bullish (positive forecast) or bearish (negative forecast). Perhaps it is easiest to think about

"How does your risk management work?" ... is a question I'm frequently asked. In fact this is actually a difficult question, if you were to look at my open source python backtesting project pysystemtrade, you would struggle to point at a piece of code and say "Behold! Right

Time for the annual review post, as my reviews follow the UK tax year which ended on the 5th April. And what a year it has been; well 10 months or so of fairly normal stuff, followed by several weeks of stomach churning market chaos. Previous updates can be found here, here, here, here and here.

This is the final post in a series aimed at answering three fundamental questions in trading: How should we control risk (first post) How much risk should we take? (previous post) How fast should we trade? (this post) Understanding these questions will allow you to avoid the two main mistakes made

This is the second of three posts aimed at answering three fundamental questions in trading: How should we control risk (previous post) How much risk should we take? (this post) How fast should we trade? (TBC) These questions are extremely important, IMHO much more important than the question of

Stop losses are the most common method used by traders to control risk. However, they're often used inappropriately. In this post I'll quickly bust some of the myths around them, and explain how to use them properly. This is the first of three posts aimed at answering three fundamental