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Rob Carver
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39 followers
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Can you eat geometric returns?
This post is about a slightly obscure, but very important, issue. Should we use geometric or arithmetic means of returns to evaluate investments? This might seem boring, but answering this will help us with some other serious problems: Does diversification ...

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Playing with Docker - some initial results (pysystemtrade)
This post is about using  Docker - a containerisation tool - to run automated trading strategies. I'll show you a simple example of how to use Docker with my python back testing library  pysystemtrade to run a backtest in a container, and get the results ou...

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Systematic risk management
As the casual reader of this blog (or my book ) will be aware, I like to delegate my trading to systems , since humans aren't very good at it (well, I'm not). This is quite a popular thing to do; many systematic investment funds are out there competing for ...

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Obligatory Brexit ex-post (Survival, Skew, Politics & Data, )
This is a two part post which blends my favourite subjects: finance, economics, and politics. It's about the stunning victory of the "leave" campaign that has left the UK facing a period of serious uncertainty. Part one is an ex-post update on whether my po...

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Obligatory Brexit post
I've had a few questions along the lines of "what are you going to be doing to prepare your trading system for Brexit?" (and I'll admit there is a strong element of bandwagon jumping here). The short answer is nothing . The slightly longer answer forms the ...

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