This Blog is Systematic
Forecasting statistical estimates when data gets real
UFC - Ultimate Fitting Championships (Evaluating and calibrating portfolio optimisation methods with random data)
The crossword puzzle of fitting - why across and then down?
Annual performance update- year 12
"Ben Jarvis", the mysterious London Book Club scam, and one of the weirdest evenings of my life
How to write a tweet that gets over 300k views; and why diversification is probably good
I'm running a course...
Prediction markets and lotteries (and my one simple trick for winning the lottery)
Are markets that are good for trend good just because they have also gone up a lot, or because carry, or...
Wordle (TM) and the one simple hack you need to pass funded trader challenges
Is predicting vol better worth the effort and does the VIX help?
R squared and Sharpe Ratio
Is the degradation of trend following performance a cohort effect, instrument decay, or an environmental problem?
PCA analysis of Futures returns for fun and profit, part deux
PCA analysis of Futures returns for fun and profit, part #1
Quickies #1: Overfitting and EWMAC forecast scalars
Can I build a scalping bot? A blogpost with numerous double digit SR
Annual performance update returneth - year 11
Very.... slow... mean reversion .... and some thoughts on trading at different speeds
How much should we get paid for skew risk? Not as much as you think!
Do less liquid assets trend better or is that they are just more diversified?
Taking an income from your trading account - probabilistic Kelly with regular withdrawals
CTA index replication and the curse of dimensionality
Fitting with: exponential weighting, alpha and the kitchen sink
Introducing max-GM (median@p), a new(?) performance statistic
Skew preferences for crypto degens
Portfolio optimisation, uncertainty, bootstrapping, and some pretty plots. Ho, ho, ho.
The State Of Vol
Does CAPM work across and within asset classes - done correctly
Clustering trading rule p&l
Trading and investing performance year nine - part 2: Futures trading
Trading and investing performance: year nine, part one
Advanced Futures Trading Strategies
I got more than 99 instruments in my portfolio but butter ain't one of them - another take on instrument diversification
Equities, Bonds and maximising CAGR
ESG - Extremely Serious Goalpost moving: Rob goes green
Percentage or price differences when estimating standard deviation - that is the question
Playing around with leveraged ETFs; or how to get positive skew without trend following