Hopefully I can follow in your (& jcl's very large) footsteps someday...
You're too kind!
One question: Since the system is long-only - are you concerned about a severe, very deep, no-recovery crash, as many are currently predicting?
Good question. Attached are the 2008 crash (in sample as of 2009) and the coronavirus crash.
I have put in place lots of risk management. Once a certain amount of equity of the overall system is drawn down too much since the last rotation, all of the losing positions are cut. If we are approaching a margin call, the losing positions are cut. The risk management checks for problems on every tick. So I feel pretty good about it.
a severe, very deep, no-recovery crash
And how many times were such "end-of-capitalism" predictions correct?
