คลังความรู้

The document describes a systematic overlay for reducing a trading system’s positions when estimated portfolio risk rises above chosen limits. It starts by comparing realised portfolio volatility with expected risk and argues that expected risk can vary…

The document outlines a test of whether trend-following strategies perform better in less liquid futures markets, or whether any apparent advantage comes from diversification. It frames three possible sources of CTA outperformance: stronger pre-cost returns,…

The author reviews personal investment and futures trading performance for the 2022–23 UK tax year. The analysis separates UK shares, long-only equity ETFs, bond ETFs, futures trading, and the combined portfolio, assigning benchmarks to the different…

The document presents example ETF allocations for investors with different amounts to invest and different risk targets. For larger portfolios, it gives mixes of UK, Asian, European, and US equities alongside emerging-market, global government, global…

This analysis asks whether weakening trend-following results reflect a cohort effect, deterioration in individual instruments, or a broader change in market conditions. It focuses on several exponentially weighted moving-average crossover speeds, starting…

The document proposes evaluating portfolio optimization methods on simulated returns before comparing them on real assets. Its experiment uses nine assets with randomly assigned Sharpe ratios and correlations, then generates many multivariate Gaussian return…

This brief reflection on QuantCon 2017 highlights three themes relevant to quantitative investing. It observes that machine learning was prominent, naming examples such as linear and logistic regression, decision trees, support vector machines, naive Bayes,…

This introductory overview distinguishes four trading roles: proprietary traders using a firm’s capital, buy-side portfolio managers making decisions for clients, sell-side traders working at financial institutions, and independent traders using personal…

This annual review explains how the author groups UK stocks, ETFs, equity hedges, systematic futures trading, and cash to assess performance against suitable benchmarks. It reports contributions and internal rates of return, compares stock picking and…

This document examines maximum drawdown as a way to set capital or risk targets. It frames drawdown in relation to annualised volatility, Sharpe ratio, and the length of the measurement period, and compares drawdown-based sizing with Kelly-style risk…

This introductory post argues that common portfolio construction approaches each have drawbacks. Human judgment can produce understandable weights but may suffer from poor diversification and cognitive biases. Mean-variance optimisation can generate extreme,…

The article considers two common concerns about trend following: that the strategy has become crowded and that unpredictable events make it unreliable. It argues that trend followers may reinforce existing trends, unlike some relative-value strategies whose…

This brief document frames a historical portfolio optimisation problem around choices that affect both the estimates and the resulting weights. It asks how a backtest should handle information that would not yet have been available at each point in time, and…

The article describes the components and operating choices of a long-running automated futures system. Its rules combine trend and momentum signals, breakouts, carry, relative signals, skew, acceleration, and mean reversion. Forecasts are weighted across…

The article revisits a claim that CAPM explains returns across asset classes but not within them. It corrects the comparison by using futures returns as excess returns over the risk-free rate and distinguishing standard deviation from beta, which is based on…

The author considers whether a systematic futures portfolio should be manually repositioned ahead of the Brexit vote. The stated approach is to follow the strategy’s rules rather than introduce a discretionary directional bet, especially for a close, binary…

The document models daily-reset two-times long and short leveraged ETF returns by multiplying each day’s underlying return and compounding the resulting daily values. It includes annual management, spread, and commission costs, then uses Gaussian daily…

The document frames a trading algorithm as a system that combines prices, order book state, auxiliary data, information from related instruments, prior positions, and parameters. These inputs may arrive at different times, so a system needs to detect when…

The document presents a static optimization approach for choosing tradable futures positions when a small account cannot hold fractional target weights. It minimizes portfolio tracking error relative to an ideal target, while also accounting for trading…

The document frames stop losses as one part of a broader risk process. It describes a trailing stop that moves upward as a position reaches new highs, with the aim of limiting the amount of accumulated profit that can be given back. The examples are…

The document outlines operational decisions in an automated trading system, from calculating a target position to sending orders. It emphasizes that an apparently simple adjustment can fail when position or price data is stale, multiple processes submit…

This article explores ways to use principal component analysis on returns across a broad futures universe. It describes a sign-instability problem: a principal component’s direction can reverse over time, making direct factor exposure or factor trading…

This study asks whether averaging portfolio weights from different mean-variance shrinkage methods can improve out-of-sample results. It compares individual grid settings, ranging from no shrinkage to full shrinkage of estimated Sharpe ratios and…

This retrospective considers the Brexit referendum through the lens of trading risk, with sections on GBPUSD, a wider futures portfolio, equity and currency hedging, and the payoff associated with negative skew. The visible discussion emphasizes that the…