Hello Rob, I think you are doing a great job in your goal of educating traders - very impressive. The quote above suggests you are moving to daily price checking. Is the reason that hourly price checking is not worth the grief given your time frame? Thanks.
Yes I'm thinking of doing that. Also I'm considering including some faster trading systems. Reducing my slow system to daily checking will reduce congestion during the day. GAT
This is interesting. Do you think there are more trend following opportunities in the faster / intraday space, or would you consider employing a different strategy such as mean reversion? Would you be worried about competition with HFT algos? I'm guessing fundamental strategies are not cut out for short term.
Hi GAT, Do you have any thoughts on what can be done to limit drawdowns, apart from running on a lower vol target?
Just in case you were wondering my last reply was both a little joke, and almost perfectly true. Drawdown distributions are a function of sharpe ratio, volatility target and the autocorrelation and skew of the return distribution. So if for example you do something like equity curve trading (see fuller analysis here) on something like an option selling strategy (which has positive autocorrelation of returns, and negative skew), then you'll reduce the drawdown but at the expense of the average return (there is no free lunch). GAT
(graph is slightly out of date up to friday close; live numbers are up to this morning) P&L period: -3.2% P&L to date: 84.9% Drawdown: 16.7% Losses continue - May was the third losing month in a row' although right now I'm slightly up on the worst drawdown which was running at just over 20%. Winner: Soybean 12.4K OAT 2.2K Losers: GBP -1.1K Eurodollar -1.3K Gold -1.6K Nasdaq -1.6K EUR -1.8K Crude -1.9K Wheat -2.1K Gas -3.5K Stocks + hedge -16K Another standout performance from Soy, bailing out the rest of the portfolio. Positions Code: code contractid positions Lock WrongContract InFwdNotRoll 2 AEX 201606 1 False False False 23 BOBL 201609 2 False False False 7 BUND 201609 1 False False False 14 CAC 201606 1 False False False 9 COPPER 201609 -1 False False False 3 CORN 201612 2 False False False 5 EDOLLAR 201906 5 False False False 6 EDOLLAR 201909 4 False False False 20 EUROSTX 201606 -9 False False False (Hedge) 10 GOLD 201606 -1 False False False 16 KR10 201606 3 False False False 13 KR3 201606 9 False False False 15 LEANHOG 201606 1 False False False 0 MXP 201606 -1 False False False 18 NASDAQ 201606 1 False False False 1 OAT 201609 3 False False False 11 SMI 201606 1 False False False 19 SOYBEAN 201611 2 False False False 4 SP500 201606 1 False False False 12 US2 201609 2 False False False 17 US5 201609 1 False False False 22 V2X 201607 -5 False False False 21 VIX 201607 -2 False False False 8 WHEAT 201612 -2 False False False Risk: Code: code multisignal expected_annual_risk expected_annual_risk_per_contract position expected_annual_risk_rounded_pos 28 MXP -5.1 3544 2174 -1 2174 16 V2X -5.4 3733 695 -5 3474 30 COPPER -9.6 6635 6528 -1 6528 24 AUD -1.7 1157 6554 -1 6554 4 WHEAT -7.4 5130 4337 -2 8675 25 EUR -7.1 4893 9136 -1 9136 17 VIX -13.6 9460 5131 -2 10263 31 GOLD -10.7 7432 14204 -1 14204 7 BOBL 3.5 2401 1265 2 2530 0 CORN 3.7 2562 2808 1 2808 15 US5 3.2 2225 2918 1 2918 1 LEANHOG 3.8 2627 3581 1 3581 13 US2 4.2 2880 2023 2 4047 9 BUND 10.4 7244 4885 1 4885 6 KR3 7.9 5464 645 9 5808 20 CAC 10.1 7015 5857 1 5857 5 KR10 9.4 6532 2234 3 6703 23 SP500 9.3 6474 7160 1 7160 22 NASDAQ 7.4 5109 7699 1 7699 21 SMI 10.0 6922 7922 1 7922 19 AEX 8.4 5817 10193 1 10193 3 SOYBEAN 26.2 18144 6803 2 13606 36 EDOLLAR 17.5 12119 1628 9 14648 10 OAT 20.9 14488 4929 3 14788 Given the pesky drawdown, and lack of clear signals, risk is running at just over half of the long term target. Trades: Code: code contractid filled_datetime filledtrade filledprice 10921 AEX 201606 2016-05-30 07:59:18 1 451.850000 10270 AUD 201606 2016-05-09 18:13:34 -1 0.730600 11062 AUD 201606 2016-06-06 00:57:45 1 0.734200 11020 BOBL 201606 2016-06-02 07:33:15 -1 131.460000 11023 BOBL 201609 2016-06-02 07:33:15 1 132.360000 11047 BOBL 201609 2016-06-03 07:59:54 1 132.390000 10228 BUND 201606 2016-05-05 16:00:26 1 163.420000 11014 BUND 201606 2016-06-02 07:28:16 -1 164.150000 11017 BUND 201609 2016-06-02 07:28:16 1 163.130000 10888 CAC 201606 2016-05-25 08:02:34 1 4418.500000 10477 COPPER 201609 2016-05-17 14:02:26 -1 2.093000 10369 CORN 201612 2016-05-13 14:30:00 1 393.500000 10843 CORN 201612 2016-05-23 15:39:35 1 403.250000 10852 CORN 201612 2016-05-24 09:05:37 1 398.750000 10882 CORN 201612 2016-05-24 14:30:00 -1 400.500000 11059 CORN 201612 2016-06-03 15:58:53 1 417.000000 11068 CORN 201612 2016-06-06 09:13:06 1 416.250000 10267 CRUDE_W 201612 2016-05-09 17:48:26 -1 45.760000 10324 CRUDE_W 201612 2016-05-11 17:50:45 1 48.470000 10813 EDOLLAR 201906 2016-05-19 14:31:26 -1 98.450000 10903 EDOLLAR 201906 2016-05-26 19:09:12 -1 98.465000 10948 EDOLLAR 201906 2016-05-31 15:44:36 -1 98.420000 11056 EDOLLAR 201906 2016-06-03 14:38:30 -1 98.595000 10486 EUR 201606 2016-05-18 19:22:27 -1 1.123550 10846 EUR 201606 2016-05-24 02:08:18 -1 1.121750 11053 EUR 201606 2016-06-03 14:36:26 1 1.131150 11065 EUR 201606 2016-06-06 02:00:56 1 1.135000 10480 GAS_US 201608 2016-05-18 12:30:22 -1 2.228000 10855 GAS_US 201607 2016-05-24 12:05:03 2 2.194000 10858 GAS_US 201608 2016-05-24 12:05:03 -2 2.264000 10915 GAS_US 201608 2016-05-27 13:01:11 -1 2.217000 10918 GAS_US 201608 2016-05-27 18:17:36 1 2.299000 10951 GAS_US 201608 2016-05-31 17:11:02 1 2.369000 11011 GAS_US 201608 2016-06-01 13:45:56 1 2.424000 11050 GAS_US 201608 2016-06-03 13:02:17 1 2.515000 10273 GBP 201606 2016-05-10 02:08:39 -1 1.441800 10894 GBP 201606 2016-05-26 01:54:53 1 1.471000 10954 GBP 201606 2016-05-31 17:37:35 -1 1.451000 10912 GOLD 201606 2016-05-27 12:53:40 -1 1219.900000 10906 JPY 201606 2016-05-27 04:37:17 -1 0.009100 11032 JPY 201606 2016-06-02 09:33:31 1 0.009185 10327 KOSPI 201606 2016-05-12 03:25:56 -1 242.650000 10897 KOSPI 201606 2016-05-26 02:06:46 1 241.700000 10294 KR10 201606 2016-05-11 03:33:38 1 129.760000 10816 KR10 201606 2016-05-20 01:00:51 -1 129.090000 11005 KR3 201606 2016-06-01 03:20:17 -1 110.360000 10255 LEANHOG 201606 2016-05-06 14:30:33 1 82.100000 10363 LIVECOW 201610 2016-05-12 16:19:14 1 118.750000 10258 MXP 201606 2016-05-09 02:10:43 -1 0.055710 10849 MXP 201606 2016-05-24 02:23:20 -1 0.053850 10237 NASDAQ 201606 2016-05-06 14:03:05 -1 4279.000000 10321 NASDAQ 201606 2016-05-11 14:03:05 1 4388.250000 10933 NASDAQ 201606 2016-05-31 14:16:54 1 4519.000000 10261 NZD 201606 2016-05-09 02:14:49 -1 0.682000 10276 OAT 201606 2016-05-10 08:36:05 1 158.370000 10900 OAT 201606 2016-05-26 07:31:05 1 158.630000 10909 OAT 201606 2016-05-27 07:48:13 1 158.930000 10924 OAT 201606 2016-05-30 14:03:02 -1 158.260000 11008 OAT 201606 2016-06-01 08:37:35 1 158.790000 11026 OAT 201606 2016-06-02 07:40:22 -3 158.770000 11029 OAT 201609 2016-06-02 07:40:22 3 156.810000 10393 PLAT 201607 2016-05-17 12:25:04 -1 1047.200000 10891 SMI 201606 2016-05-25 08:05:31 1 8141.000000 10231 SOYBEAN 201611 2016-05-05 18:19:39 -1 1002.250000 10366 SOYBEAN 201611 2016-05-12 18:06:50 -1 1054.750000 10861 SOYBEAN 201611 2016-05-24 12:15:14 -1 1022.500000 10930 SOYBEAN 201611 2016-05-31 12:16:42 1 1062.750000 10927 SP500 201606 2016-05-30 14:27:24 1 2101.750000 10243 US10 201606 2016-05-06 14:14:39 1 130.765625 10792 US10 201606 2016-05-19 14:02:55 -1 129.453125 10831 US2 201606 2016-05-23 14:01:42 -2 109.039062 10834 US2 201609 2016-05-23 14:01:42 2 108.921875 10279 US5 201606 2016-05-10 14:13:47 1 121.390625 10483 US5 201606 2016-05-18 17:56:54 -1 120.617188 10837 US5 201606 2016-05-23 14:10:44 -1 120.437500 10840 US5 201609 2016-05-23 14:10:44 1 120.046875 10234 V2X 201606 2016-05-06 09:02:41 -1 28.700000 10372 V2X 201606 2016-05-16 08:10:47 5 28.200000 10375 V2X 201607 2016-05-16 08:10:47 -5 26.150000 10828 V2X 201607 2016-05-23 09:06:47 -1 25.250000 10885 V2X 201607 2016-05-24 14:45:13 1 24.650000 10378 VIX 201606 2016-05-16 09:59:23 1 17.910000 10381 VIX 201607 2016-05-16 09:59:23 -1 19.090000 11035 VIX 201607 2016-06-02 10:01:27 -1 17.600000 10264 WHEAT 201612 2016-05-09 12:35:25 -1 491.750000 Quite a lot of rolling, as you'd expect given the time of year. Stocks, currencies and some odds and sods remain to be rolled. Expected slippage £315 Actual £269. GAT
GAT, Don you have or use any seasonality analysis to infer if there is something that impacts negatively the results of the TF strategies for your portfolio of futures? ("i usually do not perform so well in grains in the months of full moon, blablabla etc etc..") If there is such, you could maybe allocate a bigger part of your capital to the hedged equities strategy, even though the futures probably don't use much $ besides margin deposits.. Best Regards
No (except that I always trade December Crude and fixed points for other commodities where prices show seasonal patterns to avoid confusing signals). I've never been convinced by seasonal effects. There normally isn't enough data to test whether an annual signal works or not. Turn of month is more compelling, but requires high trading costs (buy and then sell within a couple of days of month end). GAT
Hello, I have a smaller account and to prevent problems with small account size I was thinking if trading shares of SPY instead of futures of S&P500 and QQQ instead of futures NQ (even stock options ?) etc. would do the trick? I would be definetly more free what goes to position sizing. Have you tried something similar?