Fully automated futures trading

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

  1. Elder


    @djames thanks for sharing. And of course thanks as always to GAT for sharing as well.
    #1021     Oct 3, 2017
  2. 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/
    #1022     Oct 3, 2017
    ThunderThor likes this.
  3. NZSurfer


    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.:)
    #1023     Oct 5, 2017
  4. truetype


    AHL Sep results out -- Alpha -3.3%, Dim -0.8%, Div -5.7%, Evo -0.7%
    #1024     Oct 7, 2017
  5. newwurldmn


    Dumb question: what is GE?
    #1025     Oct 8, 2017
  6. isotope1


    It's Eurodollar.

    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.
    #1026     Oct 8, 2017
  7. #1027     Oct 8, 2017
  8. newwurldmn


    Thanks guys.
    #1028     Oct 8, 2017
  9. joederp


    Hi GAT,
    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?
    #1029     Oct 8, 2017
  10. joederp


    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"
    #1030     Oct 8, 2017