Discussion in 'Journals' started by globalarbtrader, Feb 11, 2015.
@djames thanks for sharing. And of course thanks as always to GAT for sharing as well.
There's a lot of futures trading systems out there. I took a look at iSystems and they have some pretty legitimate futures trading systems. Here's the link if anyone's interested: https://cannon.isystems.com/
I am wondering if this line, "because the jump in volume is so high", should read, "because the jump in VOLATILITY is so high."
As an aside; this is a great thread, please keep up the good work.
AHL Sep results out -- Alpha -3.3%, Dim -0.8%, Div -5.7%, Evo -0.7%
Dumb question: what is GE?
Just to add my thoughts- I trade this ~40 months out, and the VIX/VSTOXX 2nd contract, to try and minimise whipsaws.
On the topic of HDF vs Arctic. HDF in Pytables mode is really the fastest solution, I recommend this for running a trading system on your PC. Arctic has roughly half the performance of HDF, but has a number of other issues; the only reason I use it is that I now run everything in Google Cloud with docker, and it makes sense to have a central tick database.
GE is the instrument code for EuroDollar. Don't confuse this with the exchange rate EUR/USD. More info about GE is here: https://www.cmegroup.com/trading/interest-rates/stir/eurodollar.html
For the forecasting portion of your system, specifically the annualisation of volatility, doesn't that assume some 'normalcy' in the volatility returns distribution, and/or stationarity? If so, how is that rationalized in context of the system at-large, be it that the looseness in trading rules compensates for it, or other factors?
Just asking in-earnest: have you followed any of these systems for several months, to see how robust their risk-adjusted returns are? Seems building one's own system is foolhardy, if the primary goal is simply to make money, and it's as simple as letting someone else's system do the grunt work....and, the page states at the top "THE FOLLOWING IS HYPOTHETICAL MODEL ACCOUNT PERFORMANCE"
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