Welcome to my online repository of research and insights on automated trading system developmentin this world nothing can be said to be certain, except death and taxes.
Arguing against Ben Franklin, I would say it is certain your (and my) Max Drawdown so far – whether in real trading or backtest – will be surpassed in the future. The maths even say that the probability of any drawdown in [...]
Several CTAs or fund managers offer a standard version of their fund, along with a leveraged version (called enhanced risk, 2x or 3x fund, etc.). However a simple performance comparison of the leveraged option against the standard option usually makes it obvious that the former does not offer a simple performance multiplier of latter.
I [...]
Ralph Vince’s book Handbook of Portfolio Mathematics has been shamefully lying untouched on my desk for a few months… I started reading it but never finished it.
I recently found a 30-page paper introducing the ideas and principles of his Leverage Space Model. I thought reading it might be a good way to get back into [...]
Tags: distribution·leverage space model·optimal f·optimisation·ralph vince·research paper
I am bit of a geek and this is especially true when it comes to books. I firmly believe in self-development and I think books are a great medium to learn many things. Ok, the internet is so great to learn about new things; but nothing beats a good in-depth book(s) to really learn a [...]
Tags: library
Over the weekend I finished this pleasant and instructive book…
Over time I am aiming to build a library reference on this blog with a summary of all the books I have found useful. The idea is to be able to recall quickly the main points of the book. Hopefully you will find it useful too!
Please [...]
Tags: Balsara·Futures·Money Management
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