Take every opportunity to communicate with your investor – here is a good example.
It is well known that there is increasing pressure on CTA fees. We see this in the proliferation of smart beta products offered with relatively low fees. Institutions don’t want to pay for beta. Putting aside what beta means in the CTA world, let’s look at the options for CTA fee structure and how to negotiate.
Exploring Monte Carlo convergence issues allows us to make the trade-off between estimation error and computing resources. This can have a big impact on trading system development times.
An example of a 5-Fold Cross-Validation study to investigate the robustness of a simple systematic trading strategy.
My biggest fear is to be fooled by randomness: curve-fitting is the enemy hidden in plain sight. Cross-validation can be our ally, but there are plenty of challenges to overcome.