Systematic Multi-Strategy. Commodities/Financials Diversified.
Australia
Joined July 2014
- Tweets8.2K
- Following606
- Followers1.3K
- Likes18.9K
Lots of markets really edging.. part of me wishes they would get it over with, but there's always a chance right?
1
12
581
Yes, I trade my own money as my primary occupation.
No I'm not good enough to work as a pro in an institution (nor do I want to tie myself up).
No I won't make more money with a W2 and the index.
I love when people make absolute statements like they apply to everyone!
October. It seems like last month - starts well and spends the rest of the time whipsawing sideways.
BRL hit from the election looks small compared to grains, was an absolutely horrible month for grains that had built up a lot of exposure. TTF natty had such a straight-line trend the whole month that it covered for any of that pain.
Seems it was a tough month for many, I got lucky with my Universe selection and the choice not to trade individual equities on momentum/trend.
TTF was really nice to us this month - but look at the mess we had to hold through last month in Sep...
Then zooming out can see the fully messy trend since the start in March.
That's why I don't really believe in what all the famous stock traders and furus say about tight stops - tight stops just cost a lot of money and mess everything up.
Wide trailing stop the whole time, taking on risk because that's what we're paid for if lazy trading like this.
2
364
I already got hosed on the BRL, ouch!
Never liked forex, but system's better with them than without.
3
12
949
Busy day for CME there xitter.gq/CMEGroup/status/211466…
Approximately $2.4bn notional of our BRL futures have already traded today following the Brazilian election overnight, a new record for APAC hours.
Our futures are fast becoming the main venue globally for price discovery and risk management in the Brazilian Real outside of onshore hours.
Liquidity that matters, when it matters most.
252
One thing I found analysing the biggest intraday loss days is that for long term trend systems the downward movement is almost always a give-back of recent open profits. So the account margin simulation was flush with cash (if futures), and extra free margin at the time of the drop.
It does mean that we shouldn't withdraw after a big unrealised gain though. I'd wait for the exits of big positions or scale down when withdrawing.
For me big backtest loss days are always from futures positions (eg 2022 energies), except for the famous 2010 flash crash that was a short sharp move down in stocks.
I suspect those trading stocks for momentum might find similar givebacks on the biggest days (depending on allocation).
Speaking of big moves like yesterday, some newer stats for Realtest that show single day risk in a better way than MAE (from v32.4)
1
13
891
Speaking of big moves like yesterday, some newer stats for Realtest that show single day risk in a better way than MAE (from v32.4)
Green line looks smooth enough, but calculating Sharpe on daily settlements is hiding that sometimes we suffer big intraday vol like yesterday. Commodities & Financials reversing at the same time, longs down, shorts up.
My phone woke me up with an alert, but there was nothing to do but wait and see. That kind of alert is just in case I've underestimated my margin buffer and need to move some cash around.
My trading system is return stacking and should be kind of correlated to a combination of RSST + RSSY (Trend + Carry + 75% Stocks + 25% Tbills).
Difference is my Universe, no replication, more smaller futures strategies, and my equities layer is active trading not passive.
Good products for retirement accounts but I'd prefer higher vol and an internal ensemble of trend + carry for more efficiency. youtu.be/m1NYOn_03E0?si=mRr2…
3
25
5,527
The trend that doesn't end, TSR20 Rubber.
Slow Mean Reversion and Carry also came along for the ride buying dips on this one, while the original 2025-07 position is still holding on.
This kind of trade can make up for over 10 losing trades.
I don't do options, but this is nice coming from someone that actually knows what they are doing (also wrote a good book).
Another example why you don't need to pay the Furus for "secrets", just put in screen time and learn.
Excited to announce Options 101!
It's a site that provides free, no-ads, no-shill education on financial options (calls + puts).
The first course is one I'm now teaching this fall at Charles University in Prague. Lecture notes, videos, assignments.
options-101.com/
1
6
589
September was all in the first 10 days, 1%/day is all you need right?
August - after 3 stale months finally had a good one, my best systematic month actually. For some reason August is always good, last year came off a DD.
Can't control the market, can only control myself so I just spent the flat months working on improvements so that the system would be ready when the trends came. Made a bunch of changes, too many to list.
Also some new dynamic reports that help me figure out performance attribution for date ranges without needing to manually work with data.
Productivity is higher than ever. My need for a rest is also. Next week is always going to be the week I stop working on the system and take some time off.. but next week keeps getting moved to the week after!
