Fully automated futures trading

Discussion in 'Journals' started by globalarbtrader, Feb 11, 2015.

  1. NZSurfer

    NZSurfer

    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.
     
    #401     May 26, 2016
  2. 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
     
    #402     May 27, 2016
  3. BobbieJ

    BobbieJ

    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.
     
    #403     May 28, 2016
  4. Hi GAT,
    Do you have any thoughts on what can be done to limit drawdowns, apart from running on a lower vol target?
     
    #404     May 29, 2016
  5. Have a higher Sharpe Ratio :)

    GAT
     
    #405     May 31, 2016
    AvantGarde likes this.
  6. 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
     
    #406     Jun 1, 2016
    AvantGarde likes this.
  7. [​IMG]
    [​IMG]


    (graph is slightly out of date up to friday close; live numbers are up to this morning)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
     
    #407     Jun 6, 2016
    gonzatti and AvantGarde like this.
  8. gonzatti

    gonzatti

    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
     
    #408     Jun 6, 2016
  9. 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
     
    #409     Jun 6, 2016
    d08 and gonzatti like this.
  10. sidzkosic

    sidzkosic

    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?
     
    #410     Jun 7, 2016