System


 

July was another down month for the State of Trend Following, which broke through the double-digit level on the downside for the year.

Covering over 50 instruments across Equities, Interest Rates, Currencies, Agriculturals, Metals and Energies, from around the world, the portfolio contains the following futures (CSI Symbols): AD, BP, C, CC, CD, CFC, CL2, CT, CU, EBL, EBM, EBS, ED, EOX, ESM, FC, FEI, FFI, GC, HG, ICL, IND, JK2, JP2, JP6, JR2, JRB, JTI, JY, KC, KPO, KTB, LC, LGO, LH, MFX, MP, NG2, RA, RS, S, SB, SF, SI, STW, SXE, TRY, US, W, YM, YTC .

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Momentum Portfolio August Update [0.10]

Posted on Aug. 3, 2017, 2:52 a.m. by SCOTT'S INVESTMENTS @ [source]

In 2011 Scott’s Investments began tracking a momentum portfolio which ranks a basket of ETFs based on price momentum and volatility. In 2014 I also introduced a pure momentum system, which ranked the same basket of ETFs based solely on price momentum.

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Only a few actions matter, and they require the CEO’s attention.

That said, statistically speaking, four sets of interventions appear to matter most: contextualizing the program based on the organization’s position and strategy, ensuring sufficient reach across the organization, designing the program for the transfer of learning, and using system reinforcement to lock in change (Exhibit 2).

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Lean management creates enormous value, but improvement that’s truly continuous is often elusive.

Over the past two decades, the world has embraced lean-management thinking.

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Trend and Carry Everywhere [0.26]

Posted on July 26, 2017, 10:08 a.m. by Cantab - We think @ [source]

Simple rules on macro assets can create very attractive returns. We present a simple trend system and a simple carry system and show how the combination of the two return streams appears very attractive.

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Trend Is Not Your Only Friend [0.26]

Posted on July 26, 2017, 10:08 a.m. by Cantab - We think @ [source]

Simple rules on macro assets can create very attractive returns. We present a simple trend system and a simple carry system in which the combination of the two return streams appears very attractive.

attractive fat financial investors patterns performance returns system systematic tail

 

Book Bits | 22 July 2017 [0.11]

Posted on July 22, 2017, 12:02 p.m. by The Capital Spectator @ [source]

By Josh Ryan-Collins, et al. What is the relationship between the financial system and land?

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Every system developer has a list of rules and indicators that they want to test out. The problem every developer faces is narrowing down that list of rules and indicators to the select few that are best worth focusing on.

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A Verily Life Sciences executive explains how the company targets better patient outcomes by harnessing analytics, machine learning, and other digital tools. In this interview, part of our Biopharma Frontiers series on how the pharmaceutical industry is evolving, Jared Josleyn, global head of corporate development at Alphabet-owned Verily Life Sciences, talks with McKinsey’s Michele Raviscioni about the need to integrate health data and apply it to patients’ lives in ways that achieve enduring impact.

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That’s right, he’s found a way to combine what he was already doing and the systematic edges that the Build Alpha software can find to further increase his OVERALL edge in the markets.

It is hard to market user success without the proof otherwise you all would have your doubts (rightfully so) – but after receiving this I cannot help but feel proud and share.

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Are Breakeven Stops Worth The Effort? [0.16]

Posted on July 10, 2017, 10 a.m. by System Trader Success @ [source]

One favorite “gotta have” of many traders is a breakeven stop.

One common variation of this is to include commissions in the breakeven, and even possibly a tick of profit.

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To get more precise guidance on what companies should do to adhere to the PDPA, it is useful to go through actual decisions made by the Personal Data Protection Council. The cases above give us some guidance.

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Hacking a HFT system [0.09]

Posted on July 8, 2017, 1:26 p.m. by The Financial Hacker @ [source]

Compared with machine learning or signal processing algorithms of conventional trading strategies, High Frequency Trading systems can be surprisingly simple. C is easy to read, but very effective and almost as fast as machine language.

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Randomly Pushing Buttons [0.05]

Posted on July 8, 2017, 4:07 a.m. by Throwing Good Money After Bad @ [source]

Before my current circumstances, and before I was a photographer (see above), I used to make music for a living.

Now if you’re like me, you’re thinking what on earth can the comparison between prices 11 and 12 days ago have to do with current prices?

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Momentum Portfolio July Update [0.11]

Posted on July 5, 2017, 11:55 a.m. by SCOTT'S INVESTMENTS @ [source]

In 2011 Scott’s Investments began tracking a momentum portfolio which ranks a basket of ETFs based on price momentum and volatility. In 2014 I also introduced a pure momentum system, which ranked the same basket of ETFs based solely on price momentum.

conservative etfs momentum portfolio pure ranked system turnover volatility weighted

 

Workflow is one of the most useful automation apps available on the app store. Workflow aims to bridge those gaps and make iOS devices productive and efficient.

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Protecting critical and sensitive information is of paramount importance in business and government, but plans must be in place to handle inevitable breaches too.

Nathaniel Gleicher: If you look at security disciplines through the ages, whether it’s law enforcement, executive protection, physical security for locations, military security, any of these sort of well-built disciplines, the foundation of every security discipline is understanding the environment you’re protecting and exerting control over that environment.

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Multiplex For Greater Profit [0.12]

Posted on June 26, 2017, 10 a.m. by System Trader Success @ [source]

Two problems that often result from system optimization are, (1) a reduction in the number of trades, a system that generates too few trades can both be more difficult to trade and a low number of trades does not inspire confidence; and (2) there is a selectivity or specialization risk that, by sheer bad luck, the specific chosen parameter values will under perform in the future even while the basic system continues to work across most other parameters. It is thought that hedge funds often run classes of similar systems to avoid the risk of simply choosing a set of unlucky parameters but individual futures traders may not have the capital to deploy a class of similar systems for essentially a single trading concept.

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Autonomous vehicles, electric powertrains, vehicle sharing, and other advances are transforming urban mobility. Automakers can expect the automotive revenue pool to grow and diversify as the mix of vehicles sold tilts toward electric and autonomous vehicles.

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Before I start today’s post, I’d like to announce my plans for an economic trends newsletter.

In this post we’ll update the top 6 economic indicators as of mid June 2017.

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