Thank you Noel. Kind of shyed away from making videos because If you edit and prepare they are a ton of work. So will do fun stuff that is 1:1 out of the box with no filter... better like this than no videos at all...
So valuable, thank you. The idea of systems performing better or worse depending on how their design relates to the broad "factor environment" was a lightbulb moment for me. Explains a lot of headaches I've had in the past :-)
Yes: I look at the big three in macro (ROC GDP, ROC Inflation, Roc Fed policy) --> which drive factor momentum. Further more I look at crowding (https://www.msci.com/research-and-insights/insights-gallery/which-factors-may-be-crowded). And then I look at the cap curve of my trading systems which have clean factors (not like the SPY who is mixed factors). Then be long strong systems which have a big three macro + crowding tailwind and short vice versa. Will summarize the framework so I am really clear for my self...
In P123, they have the Optimizer tool, which I usually use to experiment with many variables simultaneously. But you are inspiring me to try something else: take a successful trading system and remove one factor at a time in each run as a way of seeing if the relative importance of each factor is changing over time. Maybe another way to investigate what you are seeing with your "clean factor" models? Thank you.
Did not think there was anyone in the world who opened more browser tabs than me :-)
Andreas, I appreciate you sharing this. This is quite relevant to my current focus which is discovering/creating a daily process for myself.
Thank you Noel. Kind of shyed away from making videos because If you edit and prepare they are a ton of work. So will do fun stuff that is 1:1 out of the box with no filter... better like this than no videos at all...
So valuable, thank you. The idea of systems performing better or worse depending on how their design relates to the broad "factor environment" was a lightbulb moment for me. Explains a lot of headaches I've had in the past :-)
Yes: I look at the big three in macro (ROC GDP, ROC Inflation, Roc Fed policy) --> which drive factor momentum. Further more I look at crowding (https://www.msci.com/research-and-insights/insights-gallery/which-factors-may-be-crowded). And then I look at the cap curve of my trading systems which have clean factors (not like the SPY who is mixed factors). Then be long strong systems which have a big three macro + crowding tailwind and short vice versa. Will summarize the framework so I am really clear for my self...
In P123, they have the Optimizer tool, which I usually use to experiment with many variables simultaneously. But you are inspiring me to try something else: take a successful trading system and remove one factor at a time in each run as a way of seeing if the relative importance of each factor is changing over time. Maybe another way to investigate what you are seeing with your "clean factor" models? Thank you.