|Systematic Trading does not require multiple screens, but it does need a few computers|
I spent 7 years working for AHL, a large systematic hedge fund (earlier in my career I also spent about 18 months trading exotic rate options for an investment bank, Barclays Capital). My first job was to develop and manage a systematic mult-asset global macro trading strategy. Subsequently I managed a multi billion dollar portfolio of fixed income strategies (futures, swaps, bonds and credit derivatives). See the 'about' page for more.
Since leaving the hedge fund industry I have written a live systematic trading system written in python and using the interactive brokers C++ API interfaced through swigiby, which I have traded my own money with since April 2014. The system trades nearly 40 futures markets with an average holding period of several weeks, and has a mainly trend following character.
I currently teach a Masters in Finance elective course on Systematic Trading Strategies at Queen Mary, University of London.
I post regular updates on my trading, answer questions and discuss different aspects of systematic trading, on this thread at elitetrader.
I have written two books on systematic trading:
Systematic Trading, 2015
Leveraged Trading, 2019
You can also get my open source python backtesting and futures trading system from github.
Here is my best attempt at grouping my numerous blog posts on systematic trading. Some posts may be repeated under different categories.
Series: Introductory series for inexperienced traders
Series: my own trading systemTrading performance: year one
Trading performance: Year two
Trading performance: year three
Trading performance: year four
Trading performance: year five
Trading performance: year six
Writing a simple execution algo
Why I don't like short end german bonds anymore
Simulating my futures system
A tale of two positions
Obligatory Brexit Post (Will I be okay?)
Obligatory Brexit ex-Post (Yes)
Building a garden trading office
Series: Forecast strength and risk
Series: Skew and kurtosisSkew and expected returns
Kurtosis and expected returns
Trend following and skew
Testing skew and kurtosis as a trading rule
Series: Using random data to design trading systems
Introducing random data
Random data: Trading the equity curve
Random data: Optimising portfolio weights the right way (TBC)
Series: Systematic risk management
An exogenous risk overlay
Series: Handcrafting - a heuristic robust method for portfolio construction
Motivating portfolio construction
Adjusting portfolio weights for Sharpe Ratios
Why black box hedge funds should have lazy risk managers
Why you shouldn't employ too many geniuses
Seven deadly sins of trading
Should billionaires and bricklayers have the same investments?
Humans or computers - which make better traders?
Diversification and small account size
Reflections on QuantCon 2017
Obligatory BitCoin post
Vol targeting and trend following
Is trend following dead?
ATR vs standard deviation
Absolute or relative momentum?
Series:Python code used in the book
Python code for the trading rules in the book
Python code for optimisation (one period and bootstrapping), and producing different sample periods
Python code for optimising in the presence of costs with pysystemtrade
Series: How to get interactive brokers native python API working
Series: How to get python and interactive brokers API interacting via swigby 101(Deprecated: I suggest using the native python API instead - see the above series of posts)
Getting historic, snapshotted prices
Getting real time streaming prices
Placing orders and receiving fills
Getting positions and accounting information
Series: A guide to the nuts and bolts of implementing a systematic futures trading system
Checks and balances
Series: Pysystemtrade - my open source python backtesting engine
Original motivating post
Estimating forecast scalars
Instruments weights, correlations, and diversification multipliers
Developing a new trading rule - breakout
Other articles on systematic trading technology
My technology stack
Things I wish interactive brokers would do with their API software
Writing a simple execution algo
Using sqllite to store data
Using python to calculate your UK tax liability for trading profits
My open source python systemDocker and automated trading systems