Well, that was quick. We were hailing natural gas futures as the return of the widow maker just before Thanksgiving as it headed up close to $5 per MMBtu. But a few holidays later following MLK weekend, the natural gas news isn’t good – as we’re back down nearly $2 lower, representing a loss of […]
Category: Trend Following and Systematic Strategies
17
Jul
2017
Rise of the Robots: The Quant Revolution
What we find interesting isn’t classifying the money flows into quant strategies, but discussing what people are doing in the quant space overall; who and how algorithms are being built; where the lines blur with FinTech; and the lineup of players in the space.
16
Nov
2010
Newsletter: Analyzing the Strategic ES/SP Trading System Drawdown
Our weekly newsletter is up at https://bit.ly/cARoV4 We cover the recent new max drawdown in the Strategic ES/SP trading system, analyzing whether the systems remains within historical risk parameters. (it is..) Of interest in the piece is a chart posted on Barry Ritholtz’s blog showing the American Association of Individual Investors survey, which tracks whether […]
30
Nov
2010
Managed Futures/Trading Systems Week in Review
We took the liberty of extending the Thanksgiving holiday through yesterday for our research team, resulting in no Monday newsletter this week. But we actually did do the week in review write up as if there were a newsletter, and are happy to share it with you here: Summary: With only two day’s remaining in […]
22
Feb
2011
Managed Futures Week in Review for the week of February 14th
In lieu of our newsletter which did not run yesterday due to President’s day we are posting our normal week in review on the blog. Also – we are thinking of making this a permanent feature of the blog, so please feel free to give us your feedback and let us know what you think. […]
15
Nov
2011
Putting Trading System Filters to the Test
Nobody likes to lose… least of all us. Don’t get us wrong- we know that drawdowns are a part of the game when investing in a trading system, but that doesn’t mean we have to be content to stare those losses in the eye. As such, we’re constantly looking for ways to minimize losses and […]
19
Jan
2016
Stay away from Commodity ETFs
For the umpteenth time – you wouldn’t buy a car that only goes forwards (you probably want reverse).
