Rob Carver is back to discuss the economic unpredictability that has defined this year so far and how Rob approaches backtesting his system, how to make a signal continuous in a discrete system and if there are ways to figuring out when is the right time to trend follow. We also unpack what Rob means by “you can’t eat sharpe ratio” and what he would change in his strategy if he had more resources available. We then turn to discuss the CTA industry and how to find out which CTA you should buy, why Niels is skeptical about predicting the performance of a strategy and why you need to know what you don’t know, the absurdity of the debt ceiling and much more.
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Episode TimeStamps:
00:52 - Update from Rob
07:13 - Calculating slippage and "midprice"
12:41 - Industry performance update
15:26 - Q1, David: About continuous trading signal construction
20:49 - Hidden Markov models - What and why?
27:34 - Q2.1, Elie: Is there value in relative vol targeting for traders who can't take on leverage?
32:37 - Q2.2, Elie: About alternative ways of rebalancing signals
37:49 - Q3, QuantLurk: What would more resources do to your strategies?
42:41 - Which CTA should you buy?
49:12 - Can you really predict the performance of a strategy?
56:08 - You need to know what you don't know
58:36 - The U.S debt ceiling
01:03:09 - Thanks for listening
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