It has been four months since my last confession. Life has been out-of-control busy, and as soon as I get home from work, I’m punching stuff into spreadsheets, blogging, working on my coding skills, and backtesting. It seems I have little time to do anything other than work. When I’m home, if I’m not in [...]
I am happy to note that since my last confession, my account has recovered from the drawdown. Were it not for platform fees, I would be positive on the year.
Since I trade mean reversion strategies, I’m not sure if this means that the markets are slowly returning to a more “normal” (whatever that is) environment [...]
If I’m honest with myself, I’m officially pissed off about missing this rally. I’ve been telling myself for weeks not to worry about missing out, that I’m executing my plan. And I have been, faithfully, but it turns out that maybe it has been the wrong plan for the current conditions.
Mean reversion systems have been [...]
I have to say that I am thoroughly $%^#!@# bored. This market is not fit to short or go long, at least from my vantage point. So here I sit, in cash.
I do not, however, feel anymore that I have missed the party. Now it has become obvious that the beer, liquor, and wine are [...]
Discretionary alpha is a term I’m rather enamored with right now. It is a derivative of “incremental alpha attributable to discretion,” which is described here by Henry Carstens, who attributes the phrase to Dr. Brett Steenbarger.
Due to discretionary alpha, short positions in my personal account are just a smidge in the green as of Friday’s [...]
Some time ago I wrote a post where I repented for the sins I committed as a system trader. This prompted Gio to title the post “Confession of a System Trader.” I liked the sound of it and so here is the first installment of Confessions of a System Trader.
3/17/09
The last three weeks have been [...]
