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This filter is based on extreme volatilities but I have also seen traders using abnormal correlation filters (when many markets in the portfolio exhibit sudden spurious correlations such as during credit events).

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Geometric Information Ratio | blog - Automated

I have been an educator for just about as long as I've been a trader. My degree is in Journalism from the University of Oregon.

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I used daily returns of my portfolio against the daily changes in the benchmark. Does this affect the quality of results?

Since assigning all or none seems like a rather artificial constraint, I don t see the utility of this geometric IR.

More useful to you is probably this spreadsheet which implements the calculation for an arbitrary CTA (TransTrend) and a benchmark (Conquest Capital Group MFS fund).

This approach is what triggered this post. One of my current working assumption is how Trend Following represents a trading strategy positioned to benefit from positive kurtosis and positive serial correlation.

Prior to practicing law, I worked in the field of computer architecture and am an inventor on a patent related to runtime software optimization.

Many people struggle with being successful stock, futures and commodity traders. I am here to share with you my 55 years of experience. My goal is to help you overcome the problems between you and success.

If you allow yourself the flexibility of assigning some fraction, f, of your money to the best manager, and putting the rest in the benchmark, then all that matters is their original IR. Their geometric IR is neither necessary nor sufficient information to make an investment decision. You can invest with Viv above, and have your wealth grow over time if you use an appropriate f 6, and rebalance each period.


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