This Blog is Systematic: PCA analysis of Futures returns for fun and profit, part #1
I know I had said I wouldn't be doing any substantive blog posts because of book writing (which is going well, thanks for asking) but this ...| qoppac.blogspot.com
Also hydromatic, automatic: "It's Geeks Enlightening" Rob Carvers blog about quant trading, investing, and economics.| qoppac.blogspot.com
I know I had said I wouldn't be doing any substantive blog posts because of book writing (which is going well, thanks for asking) but this ...| qoppac.blogspot.com
Also hydromatic, automatic: "It's Geeks Enlightening" Rob Carvers blog about quant trading, investing, and economics.| qoppac.blogspot.com
I'm now in full book writing mode, so I don't have the time to do full blog posts. Instead I plan to do a series of quick posts where I sha...| qoppac.blogspot.com
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
Bit of a mixed bag post today. The golden thread connecting them is the idea that markets trend and mean revert at different frequencies. -...| qoppac.blogspot.com
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
As most of you know, one of the many projects / things I am involved with is the TTU Systematic Investor podcast series where I'm one of the rotating cast of co-hosts.| This Blog is Systematic
Programming note: This post has been in draft since ... 2016!| This Blog is Systematic
Programming note: | 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
Optional Christmas themed introduction| This Blog is Systematic
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:| This Blog is Systematic
I haven't posted much recently because I've been busy with other stuff, and I only post when I feel like I have something to say (the advantages of not having a paid for subscription service!). But I was compelled to post by this tweet:| This Blog is Systematic
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.| This Blog is Systematic
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. | This Blog is Systematic
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.| This Blog is Systematic
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 has been for over 20 years:| This Blog is Systematic
Just a quick one:| This Blog is Systematic
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 this:| This Blog is Systematic
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 you can use them to produce a positive skewed return without the general faff of alternative ways of doing that: building a trend following strategy or trading options. | This Blog is Systematic
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.| This Blog is Systematic
@investingidiocy looking for my favorite statistics wonk to critique this. https://t.co/xWQMEl5LUU — bengraham (@bengraham) January 5, 2024...| qoppac.blogspot.com
I recently upgraded my live production system to include all the extra instruments I've added on recently. I also did a little consolidatio...| qoppac.blogspot.com
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 ...| qoppac.blogspot.com
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...| qoppac.blogspot.com
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 bo...| qoppac.blogspot.com
