Something went wrong. Please try your request again later.
Follow to get new release updates and improved recommendations
About Robert Carver
Customers Also Bought Items By
Are you an author?
Help us improve our Author Pages by updating your bibliography and submitting a new or current image and biography.
Author Updates
-
-
Blog postHard to believe, but it has been five and a half years since I had to go to an office to manage other peoples money, and exactly five years since I began systematically trading my own. Time then for another annual review. Perhaps it is confusing for overseas readers, but these reviews follow the UK tax year which runs from 6th April to 5th April, rather than any logical period like a calendar year (or even 1st to April to 31st March would make more sense, frankly).
Previous updates -
Blog postQuite a few of my recent blog pieces have been picked up by the lovely folk at allocate smartly. So I thought I'd write an asset allocation piece, as the readers of my second book "Smart Portfolios" probably feel neglected with the lack of articles on investment rather than trading.
Absolute or relative momentum?
The motivation for this comes from a table in my second book, which exposes an interesting problem. Here is the table (actually a slightly modifie -
Blog postIn this post I discuss a well known stylised fact of the investment industry: "Trend following is a positively skewed strategy".
Spoiler alert: yes it is (sort of), but it's much more complicated (and interesting!) than you might think.
A quick primer on positive skew
So what actually is positive skew? Essentially it's an asset, or trading strategy, whose returns have the following profile:A high proportion of relatively poor returnsThe losing returns ar -
Blog postThis post is all about handcrafting; a method for doing portfolio construction which human beings can do without computing power, or at least with a spreadsheet. The method aims to achieve the following goals:Humans can trust it: intuitive and transparent method which produces robust weightsCan be easily implemented by a human in a spreadsheetCan be back testedGrounded in solid theoretical foundationsTakes account of uncertainty in data estimatesDecent out of sample performanceAddresses the
-
Blog postThis post is all about handcrafting; a method for doing portfolio construction which human beings can do without computing power, or at least with a spreadsheet. The method aims to achieve the following goals:Humans can trust it: intuitive and transparent method which produces robust weightsCan be easily implemented by a human in a spreadsheetCan be back testedGrounded in solid theoretical foundationsTakes account of uncertainty in data estimatesDecent out of sample performanceAddresses the
-
Blog postThis post is all about handcrafting; a method for doing portfolio construction which human beings can do without computing power (although realistically you'd probably need a spreadsheet unless you're some kind of weird masochist). The method aims to achieve the following goals:Humans can trust it: intuitive and transparent method which produces robust weightsCan be easily implemented by a human in a spreadsheetCan be back testedGrounded in solid theoretical foundationsTakes account of uncertai
-
Blog postI've talked around a type of portfolio construction called "Handcrafting" for some time now, in both of my first two books, and in the odd blog post. I thought it would be useful to explain how the technique works in a more thorough and complete series of blog posts, and also share some code that implements the method.
This is the first of four posts on the handcrafting method.The first post motivates the need for a method like this.In the second post I build up -
Blog postLet's begin this post with a gross generalisation:
Professional traders tend to measure risk and target risk using standard deviation. Amateur traders tend to use a funky little number called the ATR: 'Average True Range'.
Both try and achieve the same aim: summarise the typical movement in the price of something using a single number. However they are calculated differently. Can we reconcile the two measures? This is an important thing to do - it will help us understan -
Blog postI get asked this question at least once a week. As those of you that have met me IRL ('in real life') will know I have limited patience and I'm easily bored. I'm definitely bored of answering this question. This post is the last time I'll answer it.
There are broadly two ways to answer this question:Looking at fundamental reasons why trend following is less likely to workSome kind of statistical analysisAre there fundamental reasons why trend following won't work any more?
Som -
Blog postFirst an apology. It's been quite a few months since my last blog post. I've been in book writing mode and trying to minimise outside distractions. Though looking at my media page since my last blog post I've done two conferences, a webinar, a book review, a guest lecture, a TV panel discussion and written six articles for efinancialcareers.com. So maybe I haven't done a great job as far as filtering out the noise goes.
Anyway the first draft of the book is now complete, and I -
Blog postWe are long.The price jumps up. Good.But this means the risk goes upSo cut our position, just as we're finally making serious money. How can this make sense?
This is a post about volatility targeting - dynamically adjusting your positions according to your estimate of market volatility - in the context of trend following systems. I blindly do this when building all my trading strategies without thinking about it - but is this a good thing to do?
It's also a po -
Blog postSince I was a young lad there has been an ongoing fight in Financial Academia 'n' Industry between two opposing camps:In the red corner are the Utilitarians. The people of classical finance, of efficient frontiers, of optimising for maximum return at some level of maximum risk.In the blue corner are the Kellyites. Worshipping at the feet of John Kelly and Ed Thorpe they have only one commandment in their holy book: Thou shalt maximise the expectation of log utility of wealth.This post is sort of
-
Blog postTime flies, and it's time for another annual update on the performance of my own investment and trading. Previous updates can be found here, here and here. These updates follow the UK tax year; from 6th April to 5th April, as I have to do my taxes anyway it makes sense to analyse everything at the same time.
Following the mind numbing detail of the performance analysis there are some concluding thoughts on life, the universe, and everything pertaining to systematically investing / t -
Blog postAs most of you know my last proper job (part time lecturing and occasional consulting gigs do not count) was managing the fixed income portfolio for AHL, a large systematic hedge fund. I had the pleasure of that job from late 2010 until mid 2013. It's fair to say that the main topic of discussion around our desk was Quantitative Easing.
The US QE2 programme began in November 2010, and it finished in late 2014. We knew that QE was keeping interest rates relatively low and stable -
Blog postNo, I'm not dead.
You'd be forgiven for thinking I was given my lack of blog posts in the last few months, but I was busy; first promoting "Smart Portfolios" (thanks to all who have bought it), then on the conference circuit (here, here and here), and then more recently I've been preparing the course material for this.
So this is a post about Bitcoin. I have dissed BTC before [and the price has gone from $500 then to ~$13K now FWIW], but in recent we -
Blog postSeptember 18th is the official publishing date of my second book, "Smart Portfolios: A practical guide to building and maintaining intelligent investment portfolios (Harriman House, 2017)".
This blog post will give you some more information about the book, and more importantly help you decide if it's worth buying. I'll also let you know about a couple of forthcoming conferences where I will be talking about some of the key points (at Quantcon Singapore and QuantExpo Prague -
Blog post"Smart Portfolios" - my second book - is now ready for pre-order.
A blog post talking in more detail about the book is here: https://qoppac.blogspot.co.uk/2017/09/smart-portfolios-post-about-book-nn.html
For more information see the website, here: https://www.systematicmoney.org/smart
To pre-order you can go here: https://www.harriman-house.com/smart-portfolios
-
Blog postIt is a common misconception that the most important thing to have when you're trading, or investing, systematically is good trading rules. In fact it is much, much, much more important to have a good position management framework (as discussed in my first book) and to trade a diversified set of instruments. Combine those with a couple of simple trading rules, and you'll have a pretty decent system. Adding additional rules will improve your expected return, but with rapidly diminishing returns.
-
Blog post"Today the VIX traded below 10 briefly intraday. A pretty rare occurrence. Since 1993, there have been only 18 days where it traded below 10 intraday and only 9 days where it closed below 10." (source: some random dude on my linkedin feed)
... indeed 18 observations is a long.... long... way from anything close to a statistically significant sample size. (my response to random dude)
You can't move on the internet these days for scare stories about the incred -
Blog postAs you'll know if you've been following any of my numerous social media accounts I spent the weekend in New York at QuantCon, a conference organised by Quantopian who provide a cloud platform for python systematic trading strategy backtesting.
Quantopian had kindly invited me to come and speak, and you can find the slides of my presentation here. A video of the talk will also be available in a couple of weeks to attendees and live feed subscribers. If you didn't attend this will cos -
Blog postIt's now almost three and a half years since I got my last pay cheque and started on my new career as a speculator (also sometime writer, and itinerant consultant), and exactly three years since I started running my fully automated futures trading system, for which my accounting period is the UK tax year ending on 5th April. Which means it's the third in this trilogy of which the first two instalments were:
http://qoppac.blogspot.co.uk/2015/04/futures-trading-performance-year-one.ht -
Blog postThis is the final post. Not the final post of the blog; which may be good news or bad. But the final post in my short series on using the new native python API for interactive brokers. Having got some prices and submitted some orders we want to know whether we made any money or not; and what positions we have. Although the code is rather trivial, interpreting the results requires some understanding.
This is an update of the following post where I used the non native swigib -
Blog postThis the fourth in a series of posts on using the native python API for interactive brokers. You should read the first, second, and third, before this one.
It is an updated version of this older post, which used a third party API (swigibpy) which wraps around the C++ API. I've changed the code, but otherwise the post is pretty similar.
We are nearly at the end of our journey of simplistic examples of how to get the swigibpy package to mediate between the -
Blog postThis the third in a series of posts on using the native python API for interactive brokers. You should read the first, and the second, before this one.
It is an updated version of this older post, which used a third party API (swigibpy) which wraps around the C++ API. I've changed the code, but not the poor attempts at humour.
In my last post we looked at getting a single snapshot of historical prices. In this one we will look at streamed prices - 'm -
Blog postThis is the second in a series of posts on how to use the native python API for interactive brokers. This post is an update of the post I wrote here, which used the 3rd party API swigibpy.
Okay so you have managed to run the time telling code in my last post.
Now we will do something a bit more interesting, get some market prices. Arguably it is still not that interesting, and this stuff will never be as interesting as a decent book or a good bottle of red win
Books By Robert Carver
$29.99
$45.21
$69.99
Get it by Friday, Aug 23
Only 19 left in stock (more on the way).
Only 19 left in stock (more on the way).
More Buying Choices
$35.35
(46 Used & New offers)
Smart Portfolios: A practical guide to building and maintaining intelligent investment portfolios
Sep 18, 2017
$30.01
$39.31
$60.00
Get it by Thursday, Aug 22
Only 17 left in stock (more on the way).
Only 17 left in stock (more on the way).
More Buying Choices
$29.99
(31 Used & New offers)
More Information
Anything else? Provide feedback about this page