知識圖書館

This annual performance review excerpt explains how the author divides household financial assets and trading activity into distinct performance categories. It separates UK single stocks, long-only investments, an equity-neutral sleeve, systematic futures…

This article describes a simulation framework for estimating the probability, time, and expense of passing two proprietary trading firm evaluations. It compares challenge rules, including profit targets, daily loss limits, drawdown constraints, minimum…

This tutorial outlines a workflow for requesting live futures data through Interactive Brokers’ native Python API. It resolves a contract, starts a market data subscription, stores incoming ticks in a queue, and later cancels the subscription and retrieves…

The document outlines operational and structural tradeoffs between large and small trading firms. It attributes advantages to large organizations in market breadth, assets under management, access to over-the-counter markets, data-cleaning capacity,…

The document examines whether improving volatility forecasts is worth the effort when volatility estimates are used to scale trading positions inversely. It contrasts basic estimates based on recent realized volatility with more involved approaches,…

The document considers how to draw regular income from a trading account while accounting for uncertainty in the estimated Sharpe ratio. It outlines three ways to represent that uncertainty: a distributional formula under a Gaussian return assumption,…

The document challenges claims that sophisticated diversification and portfolio optimization methods reliably outperform simple weighting schemes. It describes how optimization can be sensitive to uncertain Sharpe ratio and correlation estimates, while…

The document explains how Docker can package a Python trading research environment with specific library versions and project code. The motivation is reproducibility: a legacy system may depend on older software versions, while its host machine still needs…

This document describes how a futures system can select contracts and move positions as delivery months change. It frames contract choice around liquidity, trading costs and calendar spreads, volatility and kurtosis, contango measurement, price action, and…

The document outlines an investor’s collection of accounts and strategies, including futures trading, an equity futures hedge, UK stocks, exchange-traded funds, and a diversified stocks-and-bonds portfolio. It identifies the intended role of each: the hedge…

The document presents risk management as a repeatable cycle: identify important risks, choose measurements, define thresholds and responses, monitor conditions, and reverse interventions when conditions normalize. It distinguishes market, counterparty,…

This annual review examines a futures trading account across asset classes and strategy groups. It compares returns with two benchmarks, reports summary performance statistics, and describes which markets and rule groups helped or hurt during the reviewed…

The document discusses how small samples can mislead readers evaluating research claims, using a paper associated with AQR and the 1987 crash as context. It emphasizes that an observed result may come from a deliberately unrepresentative sample, an…

The document compares strategic equity and bond allocations combined with tactical absolute or relative momentum. It frames the choice around investor constraints, especially whether leverage is available and how much portfolio volatility the investor can…

This excerpt introduces a book about trading leveraged products and identifies its intended readers: novice traders, people with limited capital, and traders interested in foreign exchange, contracts for difference, margin accounts, spread bets, or futures.…

The article proposes an automatic procedure for finding changes in historical trading parameters before portfolio optimization. It considers forecast and instrument weights, and describes recursively testing whether an early return segment differs from the…

This study asks whether exponentially weighted estimates of strategy Sharpe ratios improve portfolio optimization compared with using the full available history. It tests several exponential spans alongside an all-history estimate, across different in-sample…

The article examines whether choosing a utility function other than logarithmic wealth justifies using leverage above the Kelly level. It simulates ten-year terminal wealth from Gaussian daily returns with a stated mean and volatility, then compares leverage…

The post illustrates overfitting with a strategy that classifies recent price movements into patterns and estimates the following month's average return for each pattern. It progressively divides a 64-business-day lookback into more segments, creating more…

The post asks whether the VIX level predicts stock prices or volatility. It reports that average stock returns appear similar across the compared VIX conditions, while the return distribution is wider when spot VIX is high. It also notes more negative…

The post considers how to organize portfolio fitting across a grid of instruments and trading forecasts, such as momentum and carry rules. It compares fitting all rule and instrument combinations together, clustering correlated combinations, fitting first…

The document describes a method for checking whether trading forecasts carry information beyond their direction. It pairs forecasts from moving average crossover and carry rules with subsequent price changes over an estimated average holding period, then…

The document outlines the intended scope of a beginner-oriented trading book covering unleveraged instruments such as shares, exchange-traded funds, and cryptocurrencies. Its central educational theme is that trading decisions can combine judgment with…

This personal performance review covers a UK tax year and describes returns from UK shares, stock and bond funds, systematic futures trading, and the combined portfolio. It explains the author’s benchmark choices and separates performance contribution from…