Portfolio Compilation Step 4 - Mapping Correlations to Reduce Global Portfolio Drawdowns This next step is an essential component of portfolio compilation that many....just don't get as they like to deal with single statistics. Hopefully I can ...

Systematic Trend Trading

Portfolio Compilation Step 3 - Eliminating Return Stream Weaknesses This is an essential part of portfolio construction. The aim of this step is to identify any return streams with weaknesses that could compromise the overall global portfolio. ...

Systematic Trend Trading

Portfolio Compilation Step 2 - Risk Adjusting This step taken in this risk treatment phase refers to the standardization of volatility across all return streams. image Refer to Column C. This is the original drawdown of the different strategies ...

Systematic Trend Trading

Portfolio Compilation Step 1 - The Raw Portfolio Let us say that you have a number of different strategies and/or systems, each with varying volatile equity curves. The temptation is to select the overall best performer and go with that one, but ...

Systematic Trend Trading

That is so right. It is the mind and it's biases that causes this 'pain'. The need to be right is a huge bias in itself. The mind that has evolved in a different complex environment to the trading floor and possesses features that we naturally want ...

Systematic Trend Trading

This is how it should be. Levererage in its true form. You give me a leg up and I try to give you a leg up. FF can be toxic or it can be sublime. It is what you make of it I s'pose. Cheers 60

Systematic Trend Trading

Definitely mate. I use the CFD space extensively to diversify across futures derivatives and ETF's. Lot's of great markets that suit our styles in there. Yes there is a bit heavier transaction cost with CFD's as opposed to futures but there is a lot ...

Systematic Trend Trading

It is hard not to be impressed with Nick Radge mate. He offers a signal service for his portfolios which have been doing very well over the past decade or so...but I hate giving personal recommendations. Keep your eyes on this monthly report as ...

Systematic Trend Trading

That's quitter talk 60. I reckon your systems have the juice with a bit of sculpting to do it yourself.....however I certainly keep track of the FM's in the trend following space and could share a fund of funds solutions that you might want to use ...

Systematic Trend Trading

The problem with compounding is that it applies a slight bias to the return stream. In the first few years you will not notice it but as time elapses and the curve builds, then the volatility accentuates. This is not a problem of the actual ...

Systematic Trend Trading

There is a nugget of gold in that statement 60 :-)

Systematic Trend Trading

Mate in regards to compounding you hit the nail on the head. The problem with it is that compounding accentuates volatility inherent in the return streams. Here is an example. The charts below represent the same portfolio with no monthly compounding ...

Systematic Trend Trading

Mate....There are some great curves in there. It makes me salivate when thinking how we could deploy them at the portfolio level to go to infinity and beyond. :-) The great thing about all of them is: 1. We know they have positive skew. Portfolio ...

Systematic Trend Trading

These eyes of mine are so deceptive :-)

Systematic Trend Trading

If you are numbers oriented you need to convert your return streams to percentages first. Use monthly sums of your system trades no matter what timeframe. If you are a short term trader then a daily correlation method might be better. For example ...

Systematic Trend Trading

Under automation the wider I can diversify generally the better. What this means is that I allocate a smaller % risk to each system in the portfolio. What this does is take the heat off a particular system to perform and spread the performance to ...

Systematic Trend Trading

Thanks D. Interesting how profitable it gets as you go further out in timeframe. Reminds me of Nick Radge's weekend trader that makes smaller timeframe trading seem a waste of time. It keeps the brokers happy though the more you churn :-)

Systematic Trend Trading

Wow. What monsters :-) You are a patient trader. Do you trade forex and deploy a trail?

Systematic Trend Trading

The old risk to return chestnut. Higher returns with higher risk where risk is expressed as potential value variation per unit of time (aka as a measure of the volatility expressed in your total equity allocated to a system). Risk is not the ...

Systematic Trend Trading

Spot on 60 I think it is as simple as that. As much as I like to get sciencey with this stuff....it all boils down to a simple feature of the markets. They have 'fat tails'. They cannot be faithfully described by a normal distribution. ...

Systematic Trend Trading