Sunday, January 18, 2009

More Excellent Resources From Henry Carstens and Vertical Solutions

Over the several years writing the TraderFeed blog, I've been pleased to feature the work of Henry Carstens, who is a designer/trader of trading systems and now the portfolio manager of his own hedge fund. Among the valuable resources on the Vertical Solutions site are a forecasting algorithm for predicting the week's low in the S&P 500 Index; a series of papers on trading and market themes; and tools for forecasting your P/L, given the metrics of your trading.

Most recently, Henry has laid out a new metric for assessing the performance of trading systems, which can also be applied to assessing one's own discretionary trading. He has developed a tool that employs this metric, that allows anyone who trades to enter in their data and evaluate their performance. Such ways of objectively measuring performance are valuable in institutional settings (where performance dictates capital allocations), but can also be helpful in self-evaluation and goal-setting. Great stuff!