tag:blogger.com,1999:blog-261139923818144971.post23750273306248898..comments2017-12-15T15:24:36.147+00:00Comments on Investment Idiocy: Futures trading performance - year twoRob Carvernoreply@blogger.comBlogger24125tag:blogger.com,1999:blog-261139923818144971.post-5950825795118024452017-03-13T06:43:11.657+00:002017-03-13T06:43:11.657+00:00You'll overfit if your model has too many para...You'll overfit if your model has too many parameters relative to the number of meaningful data points. So yes 50 points a day for 40 years is better than 1 point a day for 40 years. However a few caveats: (a) the data has to be meaningful, if you your turnover is the same with both models the extra data won't help, (b) it isn't going to be 50 times better - you can't put 50 times the number of parameters in, (c) usually you're replacing 40 years of daily data with much fewer years of tick data so you don't see the full benefit.Rob Carverhttps://www.blogger.com/profile/10175885372013572770noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-47795962716642881922017-03-12T18:15:54.487+00:002017-03-12T18:15:54.487+00:00Rob,
Would you say that, in general, the risk of ...Rob,<br /> Would you say that, in general, the risk of overfitting trading rules for a strategy is (much) greater when doing infrequent trades (say 1-2x/day) with lower-frequency data (1-10 updates/day), versus >50 trades/day with tick data? Maybe the line between 'curve-fit' and 'over-fit' is gray in spots, esp when frequency of evaluation versus intraday volatility comes into play?Chad Bhttps://www.blogger.com/profile/13026562498196984544noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-72762697955149402332017-01-08T14:19:45.210+00:002017-01-08T14:19:45.210+00:00Margin to equity ran at an average of around 30%. ...Margin to equity ran at an average of around 30%. <br /><br />Obviously considering margin will make strategies like mine more attractive compared to say relative value equity (lower vol, but higher margin requirement).Rob Carverhttps://www.blogger.com/profile/10175885372013572770noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-60581420291219063372017-01-08T12:43:38.696+00:002017-01-08T12:43:38.696+00:00thanks again for sharing Rob, I read your book aft...thanks again for sharing Rob, I read your book after listening to your podcast with Niels. Answered many questions and clarified concepts i was trying to figure out the best way to implement. <br />What was your margin to equity ration in 2016? also, may investors consider return after normalising for margin to equity and vol. whats your view on this?Munder Shuhumihttps://www.blogger.com/profile/09215647141586496933noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-53034139511549273022016-10-05T15:40:15.630+01:002016-10-05T15:40:15.630+01:00https://fundseeder.com/trading_account/1246 (regis...https://fundseeder.com/trading_account/1246 (registration required)<br /><br />https://www.elitetrader.com/et/threads/fully-automated-futures-trading.289589/page-49#post-4326241Rob Carverhttps://www.blogger.com/profile/10175885372013572770noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-59733347314237405752016-10-05T13:42:47.769+01:002016-10-05T13:42:47.769+01:00I see MAN AHL Diversified is really struggling lat...I see MAN AHL Diversified is really struggling lately. How are you doing?hennerhttps://www.blogger.com/profile/15381506750678483901noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-46227473846449983862016-05-04T11:03:59.746+01:002016-05-04T11:03:59.746+01:00Interested to see April's performance update!Interested to see April's performance update!AvantGardehttps://www.blogger.com/profile/13449856505135293636noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-40575387249992953112016-04-23T08:14:47.128+01:002016-04-23T08:14:47.128+01:00https://www.docdroid.net/8J4RVB7/mythmtalondonfina...https://www.docdroid.net/8J4RVB7/mythmtalondonfinalv3.pdf.htmlRob Carverhttps://www.blogger.com/profile/10175885372013572770noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-2856450163098689232016-04-23T03:26:48.427+01:002016-04-23T03:26:48.427+01:00Hi Rob, Are you planning to make the slides from y...Hi Rob, Are you planning to make the slides from your CMC seminar available? ThanksSuryahttps://www.blogger.com/profile/05508168016737616442noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-21214596393834377772016-04-20T18:55:23.362+01:002016-04-20T18:55:23.362+01:00Thanks Rob - I'll have to study that one in mo...Thanks Rob - I'll have to study that one in more detail!CJhttps://www.blogger.com/profile/06817263570026256611noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-4494406233402480822016-04-20T12:58:33.476+01:002016-04-20T12:58:33.476+01:00Well classic markowitz obviously, though bootstrap...Well classic markowitz obviously, though bootstrapping or shrinkage is better<br /><br />http://qoppac.blogspot.co.uk/2015/10/a-little-demonstration-of-portfolio.html<br /><br />Rob Carverhttps://www.blogger.com/profile/10175885372013572770noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-72270662777204849182016-04-20T12:43:35.386+01:002016-04-20T12:43:35.386+01:00The latter - I would like to calculate the portfol...The latter - I would like to calculate the portfolio weights given a set of correlations <br />ChrisCJhttps://www.blogger.com/profile/06817263570026256611noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-74797884246081802952016-04-20T11:25:19.195+01:002016-04-20T11:25:19.195+01:00I don't understand the question. Do you want t...I don't understand the question. Do you want the formula to calculate correlations, or for calculating portfolio weights given a set of correlations?Rob Carverhttps://www.blogger.com/profile/10175885372013572770noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-87372541965341737952016-04-20T10:42:27.404+01:002016-04-20T10:42:27.404+01:00Hi Rob
I'm sorry if this question has been cov...Hi Rob<br />I'm sorry if this question has been covered before but perhaps not? The question is, "is there a formula to determine the forecast weights from your correlation matrix rather than estimating them from your look-up tables. I thought I could work around the problem using excel solver on a data series, but suspect there may be a neater programmable solution."<br />Many thanks<br />ChrisCJhttps://www.blogger.com/profile/06817263570026256611noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-8481248388354451402016-04-13T12:25:47.079+01:002016-04-13T12:25:47.079+01:00The whole portfolio.
For faster systems you'l...The whole portfolio.<br /><br />For faster systems you'll get more statistical evidence quicker ONLY if the sharpe ratio is higher. <br /><br />(This is because otherwise if you increase the frequency of trades or returns, then both the noise and the statistical likelihood chance with square root of time, so [ignoring autocorrelation] the t statistic will be the same)<br /><br />The big high frequency strategies have sharpe ratios north of 2.0.<br /><br />So if you look at table 5 then a couple of years data would be more than enough for these guys.<br /><br />Rob Carverhttps://www.blogger.com/profile/10175885372013572770noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-39128542409715472602016-04-13T12:03:51.411+01:002016-04-13T12:03:51.411+01:00Hi Rob, Two questions:
In Facts and Figures ab...Hi Rob, Two questions: <br /><br />In Facts and Figures above, are those stats for the overall portfolio including hedged stock or just the futures trading component?<br /><br />You have made a strong point about the need for a long span of data (35 years if I recall your suggestion correctly from the book) relating to this type of longer term trading system . How would that translate for a higher speed system that makes discrete trades daily? Is there a minimum number of samples that would be sufficient or is it really a function of proving robustness over all market conditions that might occur over a very long period of time? <br /><br />Thanks, Johnjohnhttps://www.blogger.com/profile/01489774311184945266noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-5202201083507015762016-04-12T10:49:07.919+01:002016-04-12T10:49:07.919+01:00Comments are moderated so won't show up immedi...Comments are moderated so won't show up immediately. I also delete duplicates.Rob Carverhttps://www.blogger.com/profile/10175885372013572770noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-78637987982483932752016-04-12T10:37:54.523+01:002016-04-12T10:37:54.523+01:00Sorry - it didn't seem to register on my Googl...Sorry - it didn't seem to register on my Google acc. Apologies for that. Simon Bhttps://www.blogger.com/profile/18065446526614832707noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-30761059853168078752016-04-12T10:09:26.535+01:002016-04-12T10:09:26.535+01:00I've already replied here
http://qoppac.blogs...I've already replied here<br /><br />http://qoppac.blogspot.co.uk/2016/01/computers-vs-humans-considering-median.html?showComment=1460385977209#c8890135491984810666<br /><br />Rob Carverhttps://www.blogger.com/profile/10175885372013572770noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-64548688944292871362016-04-12T10:03:03.957+01:002016-04-12T10:03:03.957+01:00Hi Rob - tried posting this question earlier but g...Hi Rob - tried posting this question earlier but google didnt like it. <br />Anyway - big fan of your blog. Currently reading ur book. <br /><br />My question: Would you recommend systematic or semi-systematic trading when only applied to a very small universe of assets ? Or is the lack of market diversification too much of a no no for you?<br /><br />Some context:<br />I'm a paper trader in a physical commodity house so i can only prop in Brent, WTI etc... I have been experimenting (in Excel) with composites of moving average crossovers with some interesting results. <br /><br />I guess you would need to develop a wider variety of systems that aren't historically correlated to diversify the strategy risk a bit since you are only applying it to a small universe of markets ? <br /><br />Let me know your thoughts (if any). Thanks. <br /><br />Simon Bhttps://www.blogger.com/profile/18065446526614832707noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-81771734734894609122016-04-08T14:24:32.129+01:002016-04-08T14:24:32.129+01:00If anything I was probably trading this market too...If anything I was probably trading this market too quickly rather than too slowly.<br /><br />Filters (like EWMAC and other indicators) are good at capturing certain kinds of trends but not others. In this particular case a much simpler indicator (eg regression line) would probably have "seen" this trend and gone short. Generally however filters do a better job. Rob Carverhttps://www.blogger.com/profile/10175885372013572770noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-69250540300571463102016-04-08T14:16:01.960+01:002016-04-08T14:16:01.960+01:00Hello Rob,
I have read your book, and must admit i...Hello Rob,<br />I have read your book, and must admit it's a very interesting reading.<br /><br />I have one question regarding your performance in the cable. Starting from around May 2015 there seems to be a steady although not steep downward trend. To what you do attribute your negative performance? Was perhaps your system too slow to reverse from a previous upward trend?senzasperanzahttps://www.blogger.com/profile/17810558268205129164noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-29036761248536649422016-04-08T06:24:55.962+01:002016-04-08T06:24:55.962+01:00The problem is I can't easily break out the pe...The problem is I can't easily break out the performance of the equity hedge which is why I only do it annually. Rob Carverhttps://www.blogger.com/profile/10175885372013572770noreply@blogger.comtag:blogger.com,1999:blog-261139923818144971.post-55783005655051893342016-04-07T23:44:01.538+01:002016-04-07T23:44:01.538+01:00I run an equity neutral strategy in my account wit...I run an equity neutral strategy in my account with similar 2015 results. +24%. However 2016 has been rough to be currently sitting -11%. Some of this i attribute to poor management on my part, but i was wondering if you would be willing to share your Q1 2016 experience? Eversarhttps://www.blogger.com/profile/01730710308867595430noreply@blogger.com