Negative Oil Prices? My Thoughts

Everyone knows it by now. On April 20, 2020, we experienced negative oil prices for the first time in history. Or did we? First, let's review. A barrel of crude oil is, well, 42 gallons of sticky, stinky, black stuff. A futures contract, on the other hand, is a...

EF, ORM, and DALs

Several years ago, I started a rewrite of my trading/research platform using Entity Framework and a relational back-end. It was my first experience using an ORM, so I read a few blog posts on whether I needed a separate data access layer (DAL) on top of the ORM. One...

Latest Project – Farmhouse Table & Bench

The latest project in the Lone Raven Woodworks shop is a custom farmhouse table. It's to be made of knotty alder and drawbore mortise-and-tenon joints. The legs will be tapered, and the skirts will have cloud lifts and carved accents. I'll add a lot more on this build...

Loss Coherence – Part II

Loss coherence applied to random variables; loss coherence matrix compared to correlation matrix; loss coherence for asset classes and trading strategies; some surprises... In the previous post, I created a way to measure the tendency of two investments to lose money...

Loss Coherence – Part I

[latexpage] What is Loss Coherence? Define the Loss Coherence Coefficient; Next post -  Explore Loss Coherence behavior and values. I'm not a fan of correlation. You can read that a couple of different ways. First, I'm not a fan of high correlations. Second, I'm not a...

Average Weighted Trend Ratio for a Portfolio

Calculating the Average Weighted Trend Ratio (AWTR) for a typical portfolio of futures contracts; Examining the relationship between AWTR and trend-following CTAs; Next, practical applications of TR, formulas, and data. In this post, I'll calculate the...

Looking Back on Trend-Following (Part 1)

The conventional wisdom is that the well-known managed futures indices overwhelmingly comprise managers following trend-following strategies.  It's also no secret that the indices have had a tough time of late. (Maybe that's being too kind, with the 12-month return of...