corpus.blog
41554 blogs · [ { "id": "01a087cc-84fc-71ae-b0de-675e5c6d45ef", "title": "Not another one! My fifth book...", "url": "https://qoppac.blogspot.com/2026/09/not-another-one-my-fifth-book.html", "published_at": "2026-09-04T08:58:00+00:00" }, { "id": "01a087cc-84fd-71e2-bcbb-ace088c88e88", "title": "Jumping back in the pool(ing): testing pooling by asset class and portfolio weight distance", "url": "https://qoppac.blogspot.com/2026/07/jumping-back-in-pooling-testing-pooling.html", "published_at": "2026-07-03T08:11:27+00:00" }, { "id": "01a087cc-84fd-71e2-bcbb-ace089179cac", "title": "Rolling, rolling, rolling.... updating statistical estimates yes or no", "url": "https://qoppac.blogspot.com/2026/06/rolling-rolling-rolling-updating.html", "published_at": "2026-06-29T11:15:45+00:00" }, { "id": "01a087cc-84fd-71e2-bcbb-ace089b9143d", "title": "One of These Things (Is Not Like the Others). Or is it? Pooling rule p&l estimates across instruments.", "url": "https://qoppac.blogspot.com/2026/06/one-of-these-things-is-not-like-others.html", "published_at": "2026-06-29T10:42:10+00:00" }, { "id": "01a087cc-84fd-71e2-bcbb-ace089c90299", "title": "Breaking Badly: finding the structural breaks in parameter estimates", "url": "https://qoppac.blogspot.com/2026/06/breaking-badly-finding-structural.html", "published_at": "2026-06-23T08:26:54+00:00" }, { "id": "01a087cc-84fd-71e2-bcbb-ace08a3438e0", "title": "To Cluster Or Not To Cluster That is the Question...", "url": "https://qoppac.blogspot.com/2026/06/to-cluster-or-not-to-cluster-that-is.html", "published_at": "2026-06-18T09:20:09+00:00" }, { "id": "01a087cc-84fd-71e2-bcbb-ace08b013fbe", "title": "Honey I shrunk the weights (instead of the inputs!)", "url": "https://qoppac.blogspot.com/2026/06/honey-i-shrunk-weights-instead-of-inputs.html", "published_at": "2026-06-17T16:07:43+00:00" }, { "id": "01a087cc-84fd-71e2-bcbb-ace08b6261e1", "title": "FIFA* World Cup (*Fitting and Forecasting Actual data) Portfolio Optimisation competition with real returns", "url": "https://qoppac.blogspot.com/2026/06/fifa-world-cup-fitting-and-forecasting.html", "published_at": "2026-06-15T11:24:01+00:00" }, { "id": "01a087cc-84fd-71e2-bcbb-ace08c04934a", "title": "Forecasting statistical estimates when data gets real", "url": "https://qoppac.blogspot.com/2026/06/forecasting-statistical-estimates-when.html", "published_at": "2026-06-08T14:44:43+00:00" }, { "id": "01a087cc-84fd-71e2-bcbb-ace08c12e02e", "title": "UFC - Ultimate Fitting Championships (Evaluating and calibrating portfolio optimisation methods with random data)", "url": "https://qoppac.blogspot.com/2026/06/ufc-ultimate-fitting-championships.html", "published_at": "2026-06-08T10:28:55+00:00" }, { "id": "01a087cc-84fd-71e2-bcbb-ace08d095fb6", "title": "The crossword puzzle of fitting - why across and then down?", "url": "https://qoppac.blogspot.com/2026/06/the-crossword-puzzle-of-fitting-why.html", "published_at": "2026-06-05T16:11:27+00:00" }, { "id": "01a087cc-84fd-71e2-bcbb-ace08d8a4cb6", "title": "Annual performance update- year 12", "url": "https://qoppac.blogspot.com/2026/04/annual-performance-update-year-12.html", "published_at": "2026-04-15T11:32:00+00:00" }, { "id": "01a087cc-84fd-71e2-bcbb-ace08e147f7a", "title": "\"Ben Jarvis\", the mysterious London Book Club scam, and one of the weirdest evenings of my life", "url": "https://qoppac.blogspot.com/2026/04/ben-jarvis-mysterious-london-book-club.html", "published_at": "2026-04-01T09:54:00+00:00" }, { "id": "01a087cc-84fd-71e2-bcbb-ace08e52f2b6", "title": "How to write a tweet that gets over 300k views; and why diversification is probably good", "url": "https://qoppac.blogspot.com/2026/03/how-to-write-tweet-that-gets-over-300k.html", "published_at": "2026-03-17T14:08:00+00:00" }, { "id": "01a087cc-84fd-71e2-bcbb-ace08f1eaaa3", "title": "I'm running a course...", "url": "https://qoppac.blogspot.com/2026/02/im-running-course.html", "published_at": "2026-02-27T08:41:00+00:00" }, { "id": "01a087cc-84fd-71e2-bcbb-ace08f5e88a8", "title": "Prediction markets and lotteries (and my one simple trick for winning the lottery)", "url": "https://qoppac.blogspot.com/2026/01/prediction-markets-and-lotteries-and-my.html", "published_at": "2026-01-19T10:08:00+00:00" }, { "id": "01a087cc-84fd-71e2-bcbb-ace08f77fd85", "title": "Are markets that are good for trend good just because they have also gone up a lot, or because carry, or...", "url": "https://qoppac.blogspot.com/2026/01/are-markets-that-are-good-for-trend.html", "published_at": "2026-01-09T16:51:00+00:00" }, { "id": "01a087cc-84fd-71e2-bcbb-ace08fd3ae08", "title": "Wordle (TM) and the one simple hack you need to pass funded trader challenges", "url": "https://qoppac.blogspot.com/2025/11/wordle-tm-and-one-simple-hack-you-need.html", "published_at": "2025-11-14T11:50:00+00:00" }, { "id": "01a087cc-84fd-71e2-bcbb-ace08ff0c996", "title": "Is predicting vol better worth the effort and does the VIX help?", "url": "https://qoppac.blogspot.com/2025/11/is-predicting-vol-better-worth-effort.html", "published_at": "2025-11-11T09:44:00+00:00" }, { "id": "01a087cc-84fd-71e2-bcbb-ace0904b954c", "title": "R squared and Sharpe Ratio", "url": "https://qoppac.blogspot.com/2025/11/r-squared-and-sharpe-ratio.html", "published_at": "2025-11-01T17:12:00+00:00" }, { "id": "01a087cc-84fd-71e2-bcbb-ace090d37b34", "title": "Is the degradation of trend following performance a cohort effect, instrument decay, or an environmental problem?", "url": "https://qoppac.blogspot.com/2025/10/is-degradation-of-trend-following.html", "published_at": "2025-10-07T13:55:00+00:00" }, { "id": "01a087cc-84fd-71e2-bcbb-ace091aca857", "title": "PCA analysis of Futures returns for fun and profit, part deux", "url": "https://qoppac.blogspot.com/2025/09/pca-analysis-of-futures-returns-for-fun.html", "published_at": "2025-09-08T15:12:00+00:00" }, { "id": "01a087cc-84fd-71e2-bcbb-ace092963f83", "title": "PCA analysis of Futures returns for fun and profit, part #1", "url": "https://qoppac.blogspot.com/2025/07/pca-analysis-of-futures-returns-for-fun.html", "published_at": "2025-07-01T15:59:00+00:00" }, { "id": "01a087cc-84fd-71e2-bcbb-ace0931d386e", "title": "Quickies #1: Overfitting and EWMAC forecast scalars", "url": "https://qoppac.blogspot.com/2025/06/quickies-1-overfitting-and-ewmac.html", "published_at": "2025-06-02T07:47:00+00:00" }, { "id": "01a087cc-84fd-71e2-bcbb-ace093f5a30e", "title": "Can I build a scalping bot? A blogpost with numerous double digit SR", "url": "https://qoppac.blogspot.com/2025/05/can-i-build-scalping-bot-blogpost-with.html", "published_at": "2025-05-05T16:28:00+00:00" }, { "id": "01a0be00-d568-7355-9bba-d5386eefa40d", "title": "Annual performance update returneth - year 11", "url": "https://qoppac.blogspot.com/2025/04/annual-performance-update-returneth.html", "published_at": "2025-04-14T18:56:00+00:00" }, { "id": "01a0be00-d568-7355-9bba-d5386f314888", "title": "Very.... slow... mean reversion .... and some thoughts on trading at different speeds", "url": "https://qoppac.blogspot.com/2025/03/very-slow-mean-reversion-and-some.html", "published_at": "2025-03-04T11:05:00+00:00" }, { "id": "01a0be00-d568-7355-9bba-d5386f43e9c4", "title": "How much should we get paid for skew risk? Not as much as you think!", "url": "https://qoppac.blogspot.com/2025/02/how-much-should-we-get-paid-for-skew.html", "published_at": "2025-02-06T15:56:00+00:00" }, { "id": "01a0be00-d568-7355-9bba-d5386f9c5178", "title": "Do less liquid assets trend better or is that they are just more diversified?", "url": "https://qoppac.blogspot.com/2025/01/do-less-liquid-assets-trend-better-or.html", "published_at": "2025-01-07T15:33:00+00:00" }, { "id": "01a0be00-d568-7355-9bba-d5386fb8caf7", "title": "Taking an income from your trading account - probabilistic Kelly with regular withdrawals", "url": "https://qoppac.blogspot.com/2016/03/taking-income-from-your-trading-account.html", "published_at": "2024-12-06T17:43:00+00:00" }, { "id": "01a0be00-d568-7355-9bba-d53870935b5f", "title": "CTA index replication and the curse of dimensionality", "url": "https://qoppac.blogspot.com/2024/11/cta-index-replication-and-curse-of.html", "published_at": "2024-11-19T14:51:00+00:00" }, { "id": "01a0be00-d568-7355-9bba-d538718832b0", "title": "Fitting with: exponential weighting, alpha and the kitchen sink", "url": "https://qoppac.blogspot.com/2024/03/fitting-with-exponential-weighting.html", "published_at": "2024-03-06T19:18:00+00:00" }, { "id": "01a0be00-d568-7355-9bba-d53872296b52", "title": "Introducing max-GM (median@p), a new(?) performance statistic", "url": "https://qoppac.blogspot.com/2024/02/introducing-max-gm-medianp-new.html", "published_at": "2024-02-05T16:47:00+00:00" }, { "id": "01a0be00-d568-7355-9bba-d53872924b55", "title": "Skew preferences for crypto degens", "url": "https://qoppac.blogspot.com/2024/01/skew-preferences-for-crypto-degens.html", "published_at": "2024-01-09T15:44:00+00:00" }, { "id": "01a0be00-d568-7355-9bba-d53872bdc867", "title": "Portfolio optimisation, uncertainty, bootstrapping, and some pretty plots. Ho, ho, ho.", "url": "https://qoppac.blogspot.com/2023/12/portfolio-optimisation-uncertainty.html", "published_at": "2023-12-12T16:42:00+00:00" }, { "id": "01a0be00-d568-7355-9bba-d53873230129", "title": "The State Of Vol", "url": "https://qoppac.blogspot.com/2023/10/the-state-of-vol.html", "published_at": "2023-10-03T13:47:00+00:00" }, { "id": "01a0be00-d568-7355-9bba-d5387339183a", "title": "Does CAPM work across and within asset classes - done correctly", "url": "https://qoppac.blogspot.com/2023/09/does-capm-work-across-and-within-asset.html", "published_at": "2023-09-26T10:34:00+00:00" }, { "id": "01a0be00-d568-7355-9bba-d5387370c187", "title": "Clustering trading rule p&l", "url": "https://qoppac.blogspot.com/2023/05/clustering-trading-rule-p.html", "published_at": "2023-05-12T13:01:00+00:00" }, { "id": "01a0be00-d568-7355-9bba-d538744b6902", "title": "Trading and investing performance year nine - part 2: Futures trading", "url": "https://qoppac.blogspot.com/2023/05/trading-and-investing-performance-year.html", "published_at": "2023-05-05T11:45:00+00:00" }, { "id": "01a0be00-d568-7355-9bba-d538749f13d0", "title": "Trading and investing performance: year nine, part one", "url": "https://qoppac.blogspot.com/2023/04/trading-and-investing-performance-year.html", "published_at": "2023-04-28T12:14:00+00:00" }, { "id": "01a0be00-d568-7355-9bba-d53875748c8e", "title": "Advanced Futures Trading Strategies", "url": "https://qoppac.blogspot.com/2023/04/advanced-futures-trading-strategies.html", "published_at": "2023-04-17T09:20:00+00:00" }, { "id": "01a0be00-d568-7355-9bba-d53875ade3e7", "title": "I got more than 99 instruments in my portfolio but butter ain't one of them - another take on instrument diversification", "url": "https://qoppac.blogspot.com/2023/03/i-got-more-than-99-instruments-in-my.html", "published_at": "2023-03-01T08:36:00+00:00" }, { "id": "01a0be00-d568-7355-9bba-d5387615ff6d", "title": "Equities, Bonds and maximising CAGR", "url": "https://qoppac.blogspot.com/2023/02/equities-bonds-and-maximising-cagr.html", "published_at": "2023-02-09T14:44:00+00:00" }, { "id": "01a0be00-d568-7355-9bba-d538764cbb8c", "title": "ESG - Extremely Serious Goalpost moving: Rob goes green", "url": "https://qoppac.blogspot.com/2023/02/esg-extremely-serious-goalpost-moving.html", "published_at": "2023-02-09T11:48:00+00:00" }, { "id": "01a0be00-d568-7355-9bba-d5387740ed32", "title": "Percentage or price differences when estimating standard deviation - that is the question", "url": "https://qoppac.blogspot.com/2023/02/percentage-or-price-differences-when.html", "published_at": "2023-02-03T11:17:00+00:00" }, { "id": "01a0be00-d568-7355-9bba-d53877bbc795", "title": "Playing around with leveraged ETFs; or how to get positive skew without trend following", "url": "https://qoppac.blogspot.com/2023/02/playing-around-with-leveraged-etfs-or.html", "published_at": "2023-02-02T14:06:00+00:00" }, { "id": "01a0be00-d568-7355-9bba-d5387854a6c6", "title": "Fast but not furious: Do fast trading rules actually cost a lot to trade?", "url": "https://qoppac.blogspot.com/2023/02/fast-but-not-furious-do-fast-trading.html", "published_at": "2023-02-01T08:50:00+00:00" }, { "id": "01a0be00-d568-7355-9bba-d53878cf5aab", "title": "Scream if you want to go faster", "url": "https://qoppac.blogspot.com/2023/01/scream-if-you-want-to-go-faster.html", "published_at": "2023-01-05T14:08:00+00:00" }, { "id": "01a0be00-d568-7355-9bba-d53879bb4afb", "title": "If you're so smart, how come you're not SBF? The Kelly criterion and choice of expectations and utility function when bet sizing", "url": "https://qoppac.blogspot.com/2022/11/if-youre-so-smart-how-come-youre-not.html", "published_at": "2022-11-14T16:42:00+00:00" }, { "id": "01a0be00-d568-7355-9bba-d53879e59547", "title": "Optimal trend following allocation under conditions of uncertainty and without secular trends", "url": "https://qoppac.blogspot.com/2022/11/optimal-trend-following-allocation.html", "published_at": "2022-11-02T16:17:00+00:00" }, { "id": "01a0be09-426b-729d-95a6-8de5c351029c", "title": "What exactly is a CTA?", "url": "https://qoppac.blogspot.com/2022/09/what-exactly-is-cta.html", "published_at": "2022-09-20T09:58:00+00:00" }, { "id": "01a0be09-426b-729d-95a6-8de5c3fe7945", "title": "Vol targeting: A CA(g)R race", "url": "https://qoppac.blogspot.com/2022/06/vol-targeting-cagr-race.html", "published_at": "2022-06-27T14:10:00+00:00" }, { "id": "01a0be09-426b-729d-95a6-8de5c46c0c4d", "title": "Historic and recent performance by trading rule", "url": "https://qoppac.blogspot.com/2022/05/historic-and-recent-performance-by.html", "published_at": "2022-05-11T10:14:00+00:00" }, { "id": "01a0be09-426b-729d-95a6-8de5c4f452f3", "title": "Trading and investing performance: year eight", "url": "https://qoppac.blogspot.com/2022/04/trading-and-investing-performance-year.html", "published_at": "2022-04-14T16:18:00+00:00" }, { "id": "01a0be09-426b-729d-95a6-8de5c5412f3e", "title": "Is 60:40 a dead parrot? Or just resting?", "url": "https://qoppac.blogspot.com/2022/03/is-6040-dead-parrot-or-just-resting.html", "published_at": "2022-03-01T07:02:00+00:00" }, { "id": "01a0be09-426b-729d-95a6-8de5c55499c2", "title": "Exogenous risk overlay: take two", "url": "https://qoppac.blogspot.com/2022/02/exogenous-risk-overlay-take-two.html", "published_at": "2022-02-02T12:48:00+00:00" }, { "id": "01a0be09-426b-729d-95a6-8de5c574c7c9", "title": "Clustering and correlations", "url": "https://qoppac.blogspot.com/2016/08/trend-following-and-correlation.html", "published_at": "2022-01-18T17:50:00+00:00" }, { "id": "01a0be09-426b-729d-95a6-8de5c608febf", "title": "My trading system", "url": "https://qoppac.blogspot.com/2021/12/my-trading-system.html", "published_at": "2021-12-02T11:33:00+00:00" }, { "id": "01a0be09-426b-729d-95a6-8de5c66b887d", "title": "Mr Greedy and the Tale of the Minimum Tracking Error Variance - Part two", "url": "https://qoppac.blogspot.com/2021/11/mr-greedy-and-tale-of-minimum-tracking.html", "published_at": "2021-11-19T15:36:00+00:00" }, { "id": "01a0be09-426b-729d-95a6-8de5c6e8b161", "title": "Mr Greedy and the Tale of the Minimum Tracking Error Variance [optimising portfolios for small accounts dynamic optimisation testing / yet another method!]", "url": "https://qoppac.blogspot.com/2021/10/mr-greedy-and-tale-of-minimum-tracking.html", "published_at": "2021-10-01T07:32:00+00:00" }, { "id": "01a0be09-426b-729d-95a6-8de5c75dddb0", "title": "Truth and Liebor", "url": "https://qoppac.blogspot.com/2021/09/truth-and-liebor.html", "published_at": "2021-09-06T13:52:00+00:00" }, { "id": "01a0be09-426b-729d-95a6-8de5c838ffe0", "title": "The three kinds of (over) fitting", "url": "https://qoppac.blogspot.com/2015/11/the-three-kinds-of-overfitting.html", "published_at": "2021-09-02T10:23:00+00:00" }, { "id": "01a0be09-426b-729d-95a6-8de5c8beb0ae", "title": "Talking to the dead / simple heuristic position selection / small account problems - part four / EPIC FAIL #2", "url": "https://qoppac.blogspot.com/2021/07/talking-to-dead-simple-heuristic.html", "published_at": "2021-07-02T15:06:00+00:00" }, { "id": "01a0be09-426b-729d-95a6-8de5c966b620", "title": "Static optimisation of the best set of instruments to hold in a futures trading system", "url": "https://qoppac.blogspot.com/2021/06/static-optimisation-of-best-set-of.html", "published_at": "2021-06-29T11:03:00+00:00" }, { "id": "01a0be09-426b-729d-95a6-8de5c9806e4d", "title": "Optimising portfolios for small accounts: Dynamic optimisation testing -> EPIC FAIL", "url": "https://qoppac.blogspot.com/2021/06/optimising-portfolios-for-small.html", "published_at": "2021-06-25T14:46:00+00:00" }, { "id": "01a0be09-426b-729d-95a6-8de5c9cb4703", "title": "Optimising my way out of a small fund problem - part one", "url": "https://qoppac.blogspot.com/2021/06/optimising-my-way-out-of-small-fund.html", "published_at": "2021-06-07T16:40:00+00:00" }, { "id": "01a0be09-426b-729d-95a6-8de5ca23f266", "title": "Fit forecast weights by instrument, by group or fit across all markets? Or all three?", "url": "https://qoppac.blogspot.com/2021/05/fit-forecast-weights-by-instrument-by.html", "published_at": "2021-05-27T10:53:00+00:00" }, { "id": "01a0be09-426b-729d-95a6-8de5cb215bff", "title": "Adding new instruments, or how I learned to stopped worrying and love the Bitcoin (future)", "url": "https://qoppac.blogspot.com/2021/05/adding-new-instruments-or-how-i-learned.html", "published_at": "2021-05-07T05:39:00+00:00" }, { "id": "01a0be09-426b-729d-95a6-8de5cb314971", "title": "Trading and investing performance - year seven", "url": "https://qoppac.blogspot.com/2021/04/trading-and-investing-performance-year.html", "published_at": "2021-04-13T09:45:00+00:00" }, { "id": "01a0be09-426b-729d-95a6-8de5cbd7e1d8", "title": "Does it make sense to change your trading behaviour in different periods of volatility?", "url": "https://qoppac.blogspot.com/2021/03/does-it-make-sense-to-change-your.html", "published_at": "2021-03-04T15:08:00+00:00" }, { "id": "01a0be09-426b-729d-95a6-8de5cc2af100", "title": "Does X work, some brief thoughts and choose your adventure", "url": "https://qoppac.blogspot.com/2021/03/does-x-work-some-brief-thoughts-and.html", "published_at": "2021-03-01T11:45:00+00:00" }, { "id": "01a0be09-426b-729d-95a6-8de5ccc6e800", "title": "So you want to be a quant/systematic trader?", "url": "https://qoppac.blogspot.com/2021/02/so-you-want-to-be-quantsystematic-trader.html", "published_at": "2021-02-01T17:21:00+00:00" }, { "id": "01a0be09-426b-729d-95a6-8de5cd861da2", "title": "Using maximum drawdowns to set capital sizing - not as bad as I first thought", "url": "https://qoppac.blogspot.com/2015/12/relating-different-performance-measures.html", "published_at": "2021-01-05T17:23:00+00:00" }, { "id": "01a0be09-426b-729d-95a6-8de5ce261c87", "title": "Dynamic trend following", "url": "https://qoppac.blogspot.com/2020/12/dynamic-trend-following.html", "published_at": "2020-12-04T10:29:00+00:00" }, { "id": "01a0be09-426b-729d-95a6-8de5ce842392", "title": "Improving the use of correlations in portfolio optimisation when handcrafting", "url": "https://qoppac.blogspot.com/2020/11/improving-use-of-correlations-in.html", "published_at": "2020-11-03T17:00:00+00:00" } ] posts Claim your blog
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2026

Not another one! My fifth book...original ↗
4 Sept 2026
Jumping back in the pool(ing): testing pooling by asset class and portfolio weight distanceoriginal ↗
3 Jul 2026
Rolling, rolling, rolling.... updating statistical estimates yes or nooriginal ↗
29 Jun 2026
One of These Things (Is Not Like the Others). Or is it? Pooling rule p&l estimates across instruments.original ↗
29 Jun 2026
Breaking Badly: finding the structural breaks in parameter estimatesoriginal ↗
23 Jun 2026
To Cluster Or Not To Cluster That is the Question...original ↗
18 Jun 2026
Honey I shrunk the weights (instead of the inputs!)original ↗
17 Jun 2026
FIFA* World Cup (*Fitting and Forecasting Actual data) Portfolio Optimisation competition with real returnsoriginal ↗
15 Jun 2026
Forecasting statistical estimates when data gets realoriginal ↗
8 Jun 2026
UFC - Ultimate Fitting Championships (Evaluating and calibrating portfolio optimisation methods with random data)original ↗
8 Jun 2026
The crossword puzzle of fitting - why across and then down?original ↗
5 Jun 2026
Annual performance update- year 12original ↗
15 Apr 2026
"Ben Jarvis", the mysterious London Book Club scam, and one of the weirdest evenings of my lifeoriginal ↗
1 Apr 2026
How to write a tweet that gets over 300k views; and why diversification is probably goodoriginal ↗
17 Mar 2026
I'm running a course...original ↗
27 Feb 2026
Prediction markets and lotteries (and my one simple trick for winning the lottery)original ↗
19 Jan 2026
Are markets that are good for trend good just because they have also gone up a lot, or because carry, or...original ↗
9 Jan 2026

2025

Wordle (TM) and the one simple hack you need to pass funded trader challengesoriginal ↗
14 Nov 2025
Is predicting vol better worth the effort and does the VIX help?original ↗
11 Nov 2025
R squared and Sharpe Ratiooriginal ↗
1 Nov 2025
Is the degradation of trend following performance a cohort effect, instrument decay, or an environmental problem?original ↗
7 Oct 2025
PCA analysis of Futures returns for fun and profit, part deuxoriginal ↗
8 Sept 2025
PCA analysis of Futures returns for fun and profit, part #1original ↗
1 Jul 2025
Quickies #1: Overfitting and EWMAC forecast scalarsoriginal ↗
2 Jun 2025
Can I build a scalping bot? A blogpost with numerous double digit SRoriginal ↗
5 May 2025
Annual performance update returneth - year 11original ↗
14 Apr 2025
Very.... slow... mean reversion .... and some thoughts on trading at different speedsoriginal ↗
4 Mar 2025
How much should we get paid for skew risk? Not as much as you think!original ↗
6 Feb 2025
Do less liquid assets trend better or is that they are just more diversified?original ↗
7 Jan 2025

2024

Taking an income from your trading account - probabilistic Kelly with regular withdrawalsoriginal ↗
6 Dec 2024
CTA index replication and the curse of dimensionalityoriginal ↗
19 Nov 2024
Fitting with: exponential weighting, alpha and the kitchen sinkoriginal ↗
6 Mar 2024
Introducing max-GM (median@p), a new(?) performance statisticoriginal ↗
5 Feb 2024
Skew preferences for crypto degensoriginal ↗
9 Jan 2024

2023

Portfolio optimisation, uncertainty, bootstrapping, and some pretty plots. Ho, ho, ho.original ↗
12 Dec 2023
The State Of Voloriginal ↗
3 Oct 2023
Does CAPM work across and within asset classes - done correctlyoriginal ↗
26 Sept 2023
Clustering trading rule p&loriginal ↗
12 May 2023
Trading and investing performance year nine - part 2: Futures tradingoriginal ↗
5 May 2023
Trading and investing performance: year nine, part oneoriginal ↗
28 Apr 2023
Advanced Futures Trading Strategiesoriginal ↗
17 Apr 2023
I got more than 99 instruments in my portfolio but butter ain't one of them - another take on instrument diversificationoriginal ↗
1 Mar 2023
Equities, Bonds and maximising CAGRoriginal ↗
9 Feb 2023
ESG - Extremely Serious Goalpost moving: Rob goes greenoriginal ↗
9 Feb 2023
Percentage or price differences when estimating standard deviation - that is the questionoriginal ↗
3 Feb 2023
Playing around with leveraged ETFs; or how to get positive skew without trend followingoriginal ↗
2 Feb 2023
Fast but not furious: Do fast trading rules actually cost a lot to trade?original ↗
1 Feb 2023
Scream if you want to go fasteroriginal ↗
5 Jan 2023

2022

If you're so smart, how come you're not SBF? The Kelly criterion and choice of expectations and utility function when bet sizingoriginal ↗
14 Nov 2022
Optimal trend following allocation under conditions of uncertainty and without secular trendsoriginal ↗
2 Nov 2022
What exactly is a CTA?original ↗
20 Sept 2022
Vol targeting: A CA(g)R raceoriginal ↗
27 Jun 2022
Historic and recent performance by trading ruleoriginal ↗
11 May 2022
Trading and investing performance: year eightoriginal ↗
14 Apr 2022
Is 60:40 a dead parrot? Or just resting?original ↗
1 Mar 2022
Exogenous risk overlay: take twooriginal ↗
2 Feb 2022
Clustering and correlationsoriginal ↗
18 Jan 2022

2021

My trading systemoriginal ↗
2 Dec 2021
Mr Greedy and the Tale of the Minimum Tracking Error Variance - Part twooriginal ↗
19 Nov 2021
Mr Greedy and the Tale of the Minimum Tracking Error Variance [optimising portfolios for small accounts dynamic optimisation testing / yet another method!]original ↗
1 Oct 2021
Truth and Liebororiginal ↗
6 Sept 2021
The three kinds of (over) fittingoriginal ↗
2 Sept 2021
Talking to the dead / simple heuristic position selection / small account problems - part four / EPIC FAIL #2original ↗
2 Jul 2021
Static optimisation of the best set of instruments to hold in a futures trading systemoriginal ↗
29 Jun 2021
Optimising portfolios for small accounts: Dynamic optimisation testing -> EPIC FAILoriginal ↗
25 Jun 2021
Optimising my way out of a small fund problem - part oneoriginal ↗
7 Jun 2021
Fit forecast weights by instrument, by group or fit across all markets? Or all three?original ↗
27 May 2021
Adding new instruments, or how I learned to stopped worrying and love the Bitcoin (future)original ↗
7 May 2021
Trading and investing performance - year sevenoriginal ↗
13 Apr 2021
Does it make sense to change your trading behaviour in different periods of volatility?original ↗
4 Mar 2021
Does X work, some brief thoughts and choose your adventureoriginal ↗
1 Mar 2021
So you want to be a quant/systematic trader?original ↗
1 Feb 2021
Using maximum drawdowns to set capital sizing - not as bad as I first thoughtoriginal ↗
5 Jan 2021

2020

Dynamic trend followingoriginal ↗
4 Dec 2020
Improving the use of correlations in portfolio optimisation when handcraftingoriginal ↗
3 Nov 2020