A bit of a theme in my posts a few years ago was my 'battle' with the 'classic' trend followers, which can perhaps be summarised as:| This Blog is Systematic
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 previous post on the subject here.| This Blog is Systematic
Do you remember this post? https://qoppac.blogspot.com/2022/06/vol-targeting-cagr-race.html| This Blog is Systematic
@investingidiocy looking for my favorite statistics wonk to critique this. https://t.co/xWQMEl5LUU| This Blog is Systematic
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. As usual I set the instrument weights and forecast weights using my handcrafting methodology, which is basically a top down method that involves clustering things into groups in a hierarchical fasion.| This Blog is Systematic
I did post recently , from which I shall now quote: Two minute to 30 minute horizon: Mean reversion works, and is most effective at the 4-...| qoppac.blogspot.com
Mad out there isn't it? Tarrifs on/off/on/partially off/on... USD/SP500/Gold/US10/Bitcoin all yoyoing like crazy. Seems a good moment to be ...| qoppac.blogspot.com