tag:blogger.com,1999:blog-706772597530050449.comments2024-02-19T12:04:56.080-05:00Reading the MarketsBrenda Jubinhttp://www.blogger.com/profile/02587551531260863509noreply@blogger.comBlogger293125tag:blogger.com,1999:blog-706772597530050449.post-80898117448620066662016-11-22T02:19:03.200-05:002016-11-22T02:19:03.200-05:00In the trading context, I regress a few predictors...In the trading context, I regress a few predictors against returns to see if the tstats and coefficients are of a constant sign and significant magnitude over time. I do this in a rolling window, and if the tstats were to get too close to 0, that would be a warning sign that the predictors were losing their edge.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-706772597530050449.post-45810473072676279722016-09-04T01:38:25.134-04:002016-09-04T01:38:25.134-04:00What do you think the reason is for that? Less liq...What do you think the reason is for that? Less liquid stocks mean people are in it for the longer run? StockKevinhttps://www.blogger.com/profile/02831501049012688377noreply@blogger.comtag:blogger.com,1999:blog-706772597530050449.post-41045954846884964262016-06-25T21:57:44.017-04:002016-06-25T21:57:44.017-04:00Thanks Brenda as always, great book review and I&#...Thanks Brenda as always, great book review and I'll buy his book! Scott Traderhttps://www.blogger.com/profile/08271752726144943575noreply@blogger.comtag:blogger.com,1999:blog-706772597530050449.post-50113163960716335422016-05-13T07:49:41.639-04:002016-05-13T07:49:41.639-04:00Thanks for the catch. Sometimes fingers and brain ...Thanks for the catch. Sometimes fingers and brain aren't in sync.Brenda Jubinhttps://www.blogger.com/profile/02587551531260863509noreply@blogger.comtag:blogger.com,1999:blog-706772597530050449.post-42018128507983348592016-05-12T22:26:59.550-04:002016-05-12T22:26:59.550-04:00I bet you meant "consecutively" not &quo...I bet you meant "consecutively" not "consequently." Wiley at the link you provide says it's 384 pages. <br /><br />Thanks for your blog. I have bought a few books based on your reviews, but this one at >$200 won't be among them. Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-706772597530050449.post-68436981270862009082016-05-08T01:06:21.558-04:002016-05-08T01:06:21.558-04:00I could not agree more with stepping towards chall...I could not agree more with stepping towards challenges and taking them head on. Much of life's "problems" are mental as most of us live in societies where our basic needs can be met. The moment I changed my mentality and accepted career challenges was when I realized I can do so much more than I had thought I was capable of before. StockKevinhttps://www.blogger.com/profile/02831501049012688377noreply@blogger.comtag:blogger.com,1999:blog-706772597530050449.post-35652859441304092482016-04-03T00:34:43.501-04:002016-04-03T00:34:43.501-04:00An EXCELLENT blog. Why did it take me 6 years to d...An EXCELLENT blog. Why did it take me 6 years to discover it?!?? Thank you and please keep up the good work.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-706772597530050449.post-12666055267338852862015-12-04T03:15:10.108-05:002015-12-04T03:15:10.108-05:00Didn't know the Benjamin Franklin trivia on wi...Didn't know the Benjamin Franklin trivia on wild turkeys! :)Prashanth Jnanendrahttps://www.blogger.com/profile/03487593589264021397noreply@blogger.comtag:blogger.com,1999:blog-706772597530050449.post-80826468272621164272015-11-02T05:40:54.364-05:002015-11-02T05:40:54.364-05:00Hi 'different anonymous' sorry for the del...Hi 'different anonymous' sorry for the delay. I don't follow comments on this blog religously. <br /><br />Yes the ultimate position of X should depend on the vol of X. So there is a an extra step where I take the scaled forecast (instrument independent, agnostic about vol) and convert that to a position. One of the things that happens in that step is that we divide by volatility.Rob Carverhttps://www.blogger.com/profile/10175885372013572770noreply@blogger.comtag:blogger.com,1999:blog-706772597530050449.post-3895505278393960072015-10-25T02:36:04.787-04:002015-10-25T02:36:04.787-04:00Thanks for putting a great book together Rob. I ha...Thanks for putting a great book together Rob. I have to say your sense of humour in dealing is trolls is commendable!Raphaelnoreply@blogger.comtag:blogger.com,1999:blog-706772597530050449.post-27590546789215162722015-10-08T08:00:02.229-04:002015-10-08T08:00:02.229-04:00(different anonymous here...)
Hi rob,
I like your...(different anonymous here...)<br />Hi rob,<br /><br />I like your writing and i'll be buying the book.<br />I'm also a bit confused about the whole 'scaled forecast' and position sizing thing.<br /><br />It makes sense to have your ultimate position in instrument X dependent on the volatility of instrument X (ie. low vol instrument = higher position size). Assuming your forecasts are instrument independent (ie. your trend following rule doesnt actually forecast an increase in price of Y), are you saying that you take this into account in your forecast such that your scaled forecasts aren't comparable between instruments?<br /><br />Cheers<br />Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-706772597530050449.post-84775970042862108612015-10-06T02:07:02.142-04:002015-10-06T02:07:02.142-04:00No position *proportional* to mu / sigma ^2 is jus...No position *proportional* to mu / sigma ^2 is just Markowitz. Nothing to do with Kelly. This is true regardless of your appetite for risk or your portfolio size. <br /><br />(Note I didn't say position is EQUAL to mu / sigma ^2. It would be helpful if you actually read the book, or the review, before we have these debates)<br /><br />(By the way I've not read Chan, though I'm sure it's very good. Nor do I use the term leverage factor)<br /><br />"[A forecast is something that is proportional to sharpe ratio (mu / sigma)] <br />Please provide a reference for the above statement other than your book. "<br /><br />Reference to this is: My book. I made it up. Since it's my definition I think I'm allowed to do that. As long as it produces correct positions (and it does, as you'd know if you read chapters 9,10 and 11) then I think I'm allowed to do that.<br /><br />"Sharpe ratio for SPY is about 0.6 and sigma is about 0.16 (haven't checked latest numbers) Are you suggesting to size positions based on a leverage of 3.75 or about? "<br /><br />No, nothing of the sort. To decide what your position is you'd have to take a whole lot of other stuff into account, portfolio composition, risk appetite and correlations.<br /><br />PS<br />If I were you I wouldn't expect a SR for SPY of 0.6. Chapter 2. If you're ever going to read the book.<br />Rob Carverhttps://www.blogger.com/profile/10175885372013572770noreply@blogger.comtag:blogger.com,1999:blog-706772597530050449.post-36789430439684071062015-10-05T15:27:39.560-04:002015-10-05T15:27:39.560-04:00[As you probably know position is proportional to ...[As you probably know position is proportional to mu / sigma^2. ]<br /><br />You probably refer to continuous Kelly ratio, as explained in the book by Dr. E. Chan. This is a leverage factor. I have never heard that<br /><br />[A forecast is something that is proportional to sharpe ratio (mu / sigma)]<br /><br />Please provide a reference for the above statement other than your book. You may be right but I believe you are wrong and like many others you have misinterpreted the material in Dr. Chan's book. <br /><br />Sharpe ratio for SPY is about 0.6 and sigma is about 0.16 (haven't checked latest numbers) Are you suggesting to size positions based on a leverage of 3.75 or about? <br /><br />If you do and I correctly interpret your assertions, I must ask you if I should take you seriously.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-706772597530050449.post-90682146339629972542015-10-05T10:17:18.290-04:002015-10-05T10:17:18.290-04:00Forgot to add; thank you very much Brenda for the ...Forgot to add; thank you very much Brenda for the great review. And thank you Hakan.<br /><br />I'll leave the readers of this blog to decide if they will take comments by an anonymous user into account (whose motives and incentives might not be completely pure).<br />Rob Carverhttps://www.blogger.com/profile/10175885372013572770noreply@blogger.comtag:blogger.com,1999:blog-706772597530050449.post-31242121062597316132015-10-05T07:38:30.317-04:002015-10-05T07:38:30.317-04:00Great answer Rob, you just sold one more book!Great answer Rob, you just sold one more book!Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-706772597530050449.post-75462520961699567292015-10-05T05:00:01.365-04:002015-10-05T05:00:01.365-04:00Nope, no confusion at all. I'm very clear abou...Nope, no confusion at all. I'm very clear about the distinction between skew of trading rules and asset classes, as you would know if you had actually read the book (or the paragraph that is quoted).<br /><br />In my book I spend a great deal of time discussing how to avoid curve fitting.<br /><br />In any case I'm not sure how fitting affects skew; normally you fit to maximise sharpe ratio, although you could fit to maximise skew it's unusual. What affects your return profile is the combination of:<br /><br />- the style of trading rule you are using. <br />- the underlying asset you are trading<br /><br />If you're curious I'm 41 (thanks for the comment about 'early 50's'). You might consider the following:<br /><br />a) you need to have been paid a reasonable amount to retire at 39 (particularly paying UK tax marginal rates of nearly 50%), which implies I must have been kind of okay at my job<br />b) I must be quite good at trading to be living off the reasonable amount of money. Good enough that I expect to make a lot less from book sales than investment income. I don't sell software, sell newsletters, or do 'trader education'.<br />c) not everyone wants to work until they are dead. Particularly if they apparently already look 10 years older than they really are. Some of us would like to spend more time with our families and generally enjoying life; and perhaps writing the occasional book. <br /><br />A forecast is something that is proportional to sharpe ratio (mu / sigma). As you probably know position is proportional to mu / sigma^2. Your position would be scale x forecast / sigma, where sigma is the standard deviation of the instrument and scale depends on various other things like how much capital you have and the tick value of the contract. Again if you read the book this might make more sense to you. You can read a preview for free from the publisher. Rob Carverhttps://www.blogger.com/profile/10175885372013572770noreply@blogger.comtag:blogger.com,1999:blog-706772597530050449.post-40137234312990155432015-10-04T06:25:33.647-04:002015-10-04T06:25:33.647-04:00Thank you. I have also worked for this industry. Y...Thank you. I have also worked for this industry. You have to also consider the possibility that Carver confuses the skew due to curve-fitting with a positive skew from the returns of an asset class. Trend-following rules are usually curve-fitted to past data. It is peculiar to compare asset classes to trading rules. This shows confusion. trend-following is not an asset class.<br /><br />"Carver spent ten years in the City of London—initially trading exotic derivative products for Barclays and then serving as a portfolio manager for the hedge fund AHL, where he created its fundamental global macro strategy and managed its multi-billion dollar fixed income portfolio before retiring from the industry in 2013."<br /><br />Carver looks like in this 40s or early 50s. If his models were successful and his understanding was sold he would be in high demand by the fund industry. The fact that he "retired" raises some issues. <br /><br />and excuse me on this:<br /><br />[That implies the forecast for Schatz should be twice the forecast for Bunds]<br /><br />This is an incomprehensible statement. Do you mean position size? <br /><br />Thank you<br />Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-706772597530050449.post-87927367707063526522015-09-25T12:46:39.550-04:002015-09-25T12:46:39.550-04:00Don't have either.Don't have either.Brenda Jubinhttps://www.blogger.com/profile/02587551531260863509noreply@blogger.comtag:blogger.com,1999:blog-706772597530050449.post-90622921441009045932015-09-25T12:19:32.961-04:002015-09-25T12:19:32.961-04:00whats your @twitter or @stocktwits handle?whats your @twitter or @stocktwits handle?@chicagoseanhttps://www.blogger.com/profile/09313833033634402722noreply@blogger.comtag:blogger.com,1999:blog-706772597530050449.post-86990081257107128062015-09-23T09:22:14.113-04:002015-09-23T09:22:14.113-04:00File clerks? File clerks? Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-706772597530050449.post-27988025090772651522015-07-30T09:16:44.015-04:002015-07-30T09:16:44.015-04:00Margins deserve respect because they don't cau...Margins deserve respect because they don't cause catastrophes? Building on "Invert, Always Invert"? No?Prashanth Jnanendrahttps://www.blogger.com/profile/03487593589264021397noreply@blogger.comtag:blogger.com,1999:blog-706772597530050449.post-68146112797966701152015-04-28T10:07:37.590-04:002015-04-28T10:07:37.590-04:00Thanks for bringing such books to notice! Any clue...Thanks for bringing such books to notice! Any clue whether similar book exists on locks? their history?Prashanth Jnanendrahttps://www.blogger.com/profile/03487593589264021397noreply@blogger.comtag:blogger.com,1999:blog-706772597530050449.post-45292051574475732082015-04-16T18:00:40.594-04:002015-04-16T18:00:40.594-04:00I assume that this spreadsheet is no longer availa...I assume that this spreadsheet is no longer available.Brenda Jubinhttps://www.blogger.com/profile/02587551531260863509noreply@blogger.comtag:blogger.com,1999:blog-706772597530050449.post-49281755577509833762015-04-16T10:51:52.979-04:002015-04-16T10:51:52.979-04:00I found your article about where i can found this ...I found your article about where i can found this indicators, link does not work<br />http://dvindicators.cssanalytics.comAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-706772597530050449.post-20191365172543949112015-04-16T10:50:46.171-04:002015-04-16T10:50:46.171-04:00Hi i found your article
http://readingthemarkets....Hi i found your article <br />http://readingthemarkets.blogspot.ru/2010/08/dv-indicators-xl.html<br />Where i can found this indicators because link does not work http://dvindicators.cssanalytics.comAnonymousnoreply@blogger.com