This Blog is Systematic

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

Fast but not furious: Do fast trading rules actually cost a lot to trade?