Systematic Trading
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My $47,000 Mistake Trading the Fed (And Why I'd Make It Again)
- Fabio Capela
- Trading mistakes , Fed trading , Risk management , Systematic trading , Market events , Trading psychology , Strategy development , Volatility trading
March 2022. Fed day. I’m sitting at three monitors with $470k positioned for a rate hike that “everyone knew was coming.”
Read MoreThe Strategy That Lost Money for 2 Years (Then Made 19% Annually)
- Fabio Capela
- Systematic trading , Trading psychology , Portfolio management , Risk management , Personal journey , Algorithmic trading , Market regimes , Strategy development
Most trading success stories skip the embarrassing part. Here’s what actually happened.
Read MoreThe 7 Backtesting Sins That Kill Trading Strategies Before They Start
- Fabio Capela
- Algorithmic trading , Quantitative finance , Risk management , Systematic trading , Portfolio management , Backtesting , Trading systems , Investment strategy
Bottom Line Up Front: Even the most sophisticated trading algorithms fail in production because of fundamental backtesting errors. After analyzing thousands of strategy failures, we’ve identified seven critical mistakes that account for over 90% of the gap between backtest and live performance. Master these, and you’ll avoid the graveyard of “perfect” strategies that blew up on day one.
Read MoreCarry Strategies Across Asset Classes: Mathematical Foundations
- Fabio Capela
- Carry trading , Quantitative finance , Asset pricing , Risk premia , Cross asset strategies , Mathematical finance , Alternative beta , Systematic trading
Imagine borrowing money at 1% and lending it at 5%. The 4% difference seems like an obvious profit, yet financial theory suggests this opportunity shouldn’t exist. Markets should quickly eliminate such discrepancies through arbitrage. But across currencies, bonds, and stocks, these “carry” opportunities persist with remarkable consistency.
Read MoreTrend Following Strategies: What 137 Years of Research Reveals (2024 Guide)
- Fabio Capela
- Finance , Investing strategies , Portfolio management , Risk management , Trend following , Systematic trading , Market momentum , Volatility targeting , Machine learning , Reinforcement learning , Alternative data
Trend following has long been a cornerstone strategy for traders and investors. By systematically riding market momentum, trend following strategies have historically delivered strong risk-adjusted returns across various asset classes. But how does the strategy hold up in different environments, and what does academic research say about its efficacy? Let’s explore the key insights from a wealth of scientific literature on trend following.
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