Monthly Archives: February 2011

New futures portfolio

I initiated a new futures portfolio at Collective2 using the same methodology (with some modifications) as the ETF portfolios. The starting capital is $100,000. Here are the initial positions: bonds: GEU11 (September Eurodollars), long, 3 contracts US equities: ESH11 (March … Continue reading

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Updates and changes for the small and hedge fund portfolios

For both the small and hedge fund portfolios, I have decided to use gold (GLD) for the currency asset class exclusively. Thus the short position in UUP will be closed when the market opens tomorrow. New long positions are: small … Continue reading

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Quantitative Finance – Stack Exchange

Quantitative Finance – Stack Exchange “is a free, community driven Q&A for finance professionals and academics”. From a quick read of a few posts, it appears that the level of discussion is high enough to provide useful content. Hopefully this … Continue reading

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Automated and Intelligent Trading Blog

Automated and Intelligent Trading is an interesting blog written by Chenghui Cai, a Ph. D. mechanical engineer who is a quant at Cantor Fitzgerald. On this section of his blog, he posts links to recently published papers on machine learning … Continue reading

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Applying the Cybernetic System to Futures

The progress of the cybernetic system for the two unleveraged ETF portfolios is meeting my expectations. I was aiming for 15% annual return with <10% maximum drawdown. Both portfolios are a little below 15% with drawdowns substantially below 10% (see … Continue reading

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More on Ed Thorp

William Poundstone is the author of “Fortune’s Formula” an interesting book about the relationship between ideas from information theory, gambling, trading, and risk management. Ed Thorp is featured prominently in the book. Poundstone created a website for the book and … Continue reading

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Probabilistic programming and trading systems

Brian Wang of Next Big Future blog has an interesting article about recent developments in the field of probabilistic programming. Here is a description of the type of problems being explored with these methods: Daphne Koller of Stanford University, for … Continue reading

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