คลังความรู้

The document describes how to separate and benchmark several parts of a personal investment and trading portfolio. It distinguishes UK single stocks, long-only investments, an equity-neutral sleeve created by hedging ETF exposure with futures, systematic…

The document outlines a discretionary, spreadsheet-friendly approach to constructing long-only portfolios or allocating among trading strategies. It emphasizes choosing inputs that are easier to estimate and interpret, especially Sharpe ratios and…

The document introduces factor analysis as a way to understand the sources of risk and return, then contrasts predefined equity factors with the less obvious drivers of returns across futures markets. It reviews possible uses of factors, including taking…

The document discusses several systematic trading ideas. It frames short volatility as harvesting the gap between option-implied and expected realized volatility, using short volatility futures with a constant negative forecast and volatility-based position…

The document compares Average True Range (ATR) with standard deviation as measures related to market movement. Standard deviation is based on close-to-close returns and centers observations around their average, then squares deviations before averaging and…

The document describes a systematic way to select a fixed subset of futures markets for an account with limited capital. It first filters for liquidity, then estimates each instrument’s expected trading costs and the penalty from contract sizes that prevent…

The document examines how small account size limits diversification when futures positions must be held in whole contracts. This creates abrupt position changes as forecasts, volatility, or account value shift, which can misalign risk targets and raise…

The author investigates whether momentum performance and the preferred trading speed vary with instrument trading costs. Two competing ideas are considered: gross performance may be similar across instruments, leaving expensive markets less attractive after…

The document describes an experiment comparing clustered and unclustered portfolio optimization across trading rules and instruments. It varies in-sample and out-of-sample periods, the number of assets, correlation shrinkage, Sharpe ratio shrinkage, and the…

The document outlines a basic execution algorithm for working a buy or sell order. It begins by checking that the best quote can absorb the order, then describes joining the same side of the spread with a passive limit order. If the order remains unfilled or…

The document explains how diversification across futures markets can increase the risk-adjusted performance of systematic strategies. It defines effective independent bets by comparing a portfolio’s risk reduction with what would result from the same number…

The document describes replacing the funds in an example long-only portfolio of UK-listed ETFs with ESG-labelled alternatives. Fund selection follows the earlier portfolio’s practical preferences for low ongoing charges, adequate assets under management,…

The author checks whether a heuristic hierarchy for allocating forecast weights across trading rules is supported by correlations in rule returns. To build the correlation matrix, each rule is treated as a portfolio across the instruments actually weighted…

The document explains top-down replication of a managed futures index: estimate positions in a basket of futures by regressing index returns on instrument returns. Although a long history may seem to support a regression with many instruments, positions…

The document explores three changes to fitting trading-system weights: exponential weighting that emphasizes recent performance, evaluating alpha rather than Sharpe ratio alone, and jointly fitting instrument and forecast weights. The motivation is that old…

The document proposes selectively pooling return histories across instruments when their estimated Sharpe ratio profiles across trading rules appear sufficiently similar. It describes a clustering procedure: estimate each instrument’s Sharpe ratios, measure…

The document distinguishes explicit, implicit, and tacit overfitting in trading research. Explicit overfitting comes from fitting too many parameters to historical data; suggested controls include reducing degrees of freedom, using robust fitting, and…

The author questions whether Bitcoin’s positive skew alone justifies very large portfolio allocations, using a published allocation claim as a starting point. The post compares the intuition behind holding Bitcoin with the appeal of lottery-like payoffs,…

The document explains positive skew as a return pattern with frequent small losses and less frequent large gains, then examines whether trend-following strategies display that pattern. It relates trend following to a lookback straddle: both can benefit from…

The document explains how to choose a trading frequency by comparing expected pre-cost performance with holding and execution costs. It distinguishes market-order traders, who may pay about half the spread, from traders using limit orders or execution…

The document assesses Bitcoin’s usefulness as payment, store of value, and investment, then considers whether it belongs in a portfolio or trading strategy. It highlights practical concerns including transaction expense, energy use, slow and variable…

The document argues that systematic funds still need human risk managers, even when their trading models are largely automated. It outlines practical duties such as supervising processes, cleaning flawed market data, checking for bugs or bad inputs,…

The document outlines a Python-based workflow for calculating UK trading tax liability from trade and position source files, with configurable output, foreign exchange data, calculation method, and reporting detail. It describes several verbosity levels,…

The document explains the motivation for presenting futures trading strategies across many markets. Its author draws on an earlier internal reference about fixed-income instruments, volatility patterns, yield curves, and strategy behavior, then considers a…