We had one question actually from one of the guys that came to the live event that we hosted last year, and that's from Seth.

And he just asked whether we could just discuss a little bit about how you incorporate correlation into a trend following program.

So again, obviously you trade 35 markets you said, but what are your thoughts about correlations

in terms of thinking about it in building that system or model so I sort of deal with

it on two levels the first is is to think about the long-term correlation between the trading

systems and we've already discussed that right we've we've said that's generally lower than it's

for the the actual instruments themselves so what you you want to do is obviously measure correlation and use it

to construct the most diversified set of portfolios you can do. So that means, for example,

that you want to diversify across asset classes because they do have a lower correlation than say, you know,

five and ten year bonds. The trading systems themselves, as I said, not as correlated as the

underlying assets, but they're still going to be reasonably well correlated, whereas, you

know, a trading system trading lean hogs versus Aussie dollar, there's going to be quite a low correlation

there so those are two things you want to have in your portfolio the same thing

applies actually interestingly with with the question of speed so a

199 day and a 200 day moving average are very highly correlated so as well as costs coming in in terms of thinking about how you allocate across speeds,

the other thing is that you want to have probably, ideally, you know, ignoring all other

effects a bit more fast momentum and a bit more slow momentum and not so much medium momentum because that medium momentum is going to be correlated with both the fast and the slow

whereas the fast and the slow are going to be more diversifying because they're kind of quite

spread out on the frequency spectrum. So you have this weird kind of effect that you

want to have a sort of a U-shape set of weights allocating to speeds,

a lot on the fast, a lot of the slow, not so much in the medium, but if you then apply

the kind of question of costs on that, then obviously that's going to push you potentially

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