This Blog is Systematic

Also hydromatic, automatic: "It's Geeks Enlightening" Rob Carvers blog about quant trading, investing, and economics.

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Friday, 14 November 2025

Wordle (TM) and the one simple hack you need to pass funded trader challenges

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An unusual (but quick) mid month post, as this is a live issue I thought I'd publish this whilst it's relevant. There has been some ...
Tuesday, 11 November 2025

Is predicting vol better worth the effort and does the VIX help?

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 I'm a vol scaler. There I've said it. Yes I adjust my position size inversely to vol. And so should you.  But to this well we need ...
2 comments:
Saturday, 1 November 2025

R squared and Sharpe Ratio

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 Here's some research I did whilst writing my new book (coming next year, and aimed at relatively inexperienced traders). Imagine the sc...
Tuesday, 7 October 2025

Is the degradation of trend following performance a cohort effect, instrument decay, or an environmental problem?

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It's probably bad luck to say this, but the most recent poor performance of CTAs and trend following managers this year appears to have ...
9 comments:
Monday, 8 September 2025

PCA analysis of Futures returns for fun and profit, part deux

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 In my previous post I discussed what would happen if you did the crazy  thing of doing a PCA on the whole universe of futures across asse...
4 comments:
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