The Road Forward

I am at an inflection point. Time to take a step back, review where I’ve been, and more clearly define where I am going.

I haven’t been happy with my downside risk after 2018 when, for all practical purposes, I lost money for the first year since switching to full-time trading in 2008.

Initially, I thought the way around this was migration to a portfolio of diversified asset classes. I found Following the Trend by Andreas Clenow (2013) to be quite the eye-opener.

I then thought I should learn some Python to backtest some noncorrelated futures markets to validate Clenow’s book (especially because of this comment).

In between, I took a course on algorithmic trading and spent several months trying to develop my own trading system. Some of this time included use of a genetic algorithm. Although the total number of strategies I tested amounts to a proverbial “drop in the bucket,” none of this worked.

I spent a minute trying to build a futures backtester in Python. I wasn’t encouraged by the speed of my program and I wasn’t sure how to proceed coding the trading rules. Although I did not expend great effort in searching, I was not able to find a project collaborator.

Late February through March 10, 2021, I contemplated preparation for CFA Level I. I had several contacts with the CFA Institute and board members of the local CFA societies. As it turns out, my trading experience does not qualify me for CFA Charter because I haven’t been working in the industry proper. I could still take (and hopefully pass) the exams, but in order to become an official charterholder I would have to work 4,000 hours over at least three years at a financial firm.

Because of the low pass rates, I believe passing the exams would get me in the door with many prospective employers. Even without the charter, anyone who talks to me about what I have been doing since 2008 will quickly find out that I have learned a great deal about trading and investing over the 13+ years (regardless of how well I have performed doing it, which is another discussion altogether).

I decided not to begin preparation for the CFA exam and since making that decision, I have caught up on my 18-month backlog of financial publications.

Most recently, I have done some intense reading and studying of the writings of KR: an online investment contributor. This individual has been very generous writing many articles and answering questions about his approach, which hedges downside risk, for free. His is really a compilation of trading strategies that would best be served by backtesting each strategy independently and, if I could nail down allocation for each component, computing a weighted average of % PnL by date. This assumes I can get daily performance exported to .csv, which is not a trivial matter. The backtester I’d like to try for $39/month cannot do this.

Over the next few posts, I will start slow by discussing some of KR’s content.