Portfolio construction through handcrafting: motivating

I've talked around a type of portfolio construction called "Handcrafting" for some time now, in both of my first tw…

The relationship between ATR and standard deviation

Let's begin this post with a gross generalisation: Professional traders tend to measure risk and target risk using standard d…

Vol Targeting and Trend Following

We are long. The price jumps up. Good. But this means the risk goes up So cut our position, just as we're finally making seri…

Systematic risk management

As the casual reader of this blog (or my book ) will be aware, I like to delegate my trading to systems , since humans aren't…