This Blog is Systematic

Well yes, I am pleased to announce that as of this week I completed final proof reading of my new book "The Art And Science of Trading"(AAST).

This is post #10 in my 2026 series on portfolio optimisation.

The mega blog post series on portfolio optimisation continues!

This is the eighth post in a series I'm writing on portfolio optimisation.

Here's a nice picture from a lovely book written by a top bloke: It shows the cumulative p&l from different speeds of momentum over time (for portfolios containing 102 instruments) over 50 years of data.

This is the sixth (!)

TLDR: This is a post about something that doesn't work.

This is my fourth post in my summer 2026 mini series on portfolio optimisation.

This is my third post in a series about optimisation and fitting.

As I said in my last post I'm currently in the process of a mega-sized research project on fitting.

This will be the first in a series of posts about portfolio optimisation.

This is how I started last years update: "Mad out there isn't it?

Not a finance post today, but something I feel compelled to write about after one of the strangest experiences of my life.

Well that blew up: https://x.com/investingidiocy/status/2032438612961165409 At eight words this is almost certainly* my most viewed and liked tweet ever (although I have nearly 25k followers, so thats 18,000 or so that didn't like it) .

No, it's not one of those 'make $$$ easy by trading' courses, it's a dull and tedious one about robust fitting and backtesting.

A short and slightly mad post today, inspired by weird thoughts I was having when I awoke from my sleep this morning (yes, you are all thinking, a completely unwanted insight into the life of Rob).

I have a friend, ex-colleague and TTU co-host who runs a fixed income focused CTA.

An unusual (but quick) mid month post, as this is a live issue I thought I'd publish this whilst it's relevant.

I'm a vol scaler.

Here's some research I did whilst writing my new book (coming next year, and aimed at relatively inexperienced traders).

It's probably bad luck to say this, but the most recent poor performance of CTAs and trend following managers this year appears to have been reversed.

In my previous post I discussed what would happen if you did the crazy thing of doing a PCA on the whole universe of futures across assets, rather than just within US equities or bonds like The Man would want you to.

I know I had said I wouldn't be doing any substantive blog posts because of book writing (which is going well, thanks for asking) but this particular topic has been bugging me for a while.

I'm now in full book writing mode, so I don't have the time to do full blog posts.

I did post recently, from which I shall now quote: Two minute to 30 minute horizon: Mean reversion works, and is most effective at the 4-8 minute horizon from a predictive perspective; although from a Sharpe Ratio angle it's likely the benefits of speeding