Fully automated futures trading

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

  1. Elder


    Following this interesting discussion. Insufficient margin is the stuff that would keep me up at night. One thing that I didn’t quite follow is the bit about an override parameter ‘to avoid having to change instrument weights’. In your system GAT, I thought you only changed instrument weights annually? Probably have crossed wires on this...
    #1051     Oct 17, 2017
  2. No basically position = natural position (which is a function of instrument weight, amongst other things) x override factor (between 0 and 1, normally 1). So if for some reason I have to cut the risk on an instrument I just change the override. You're correct in saying that I haven't touched my instrument weights for years; I only adjust them if I have to permanently stop trading an instrument (last example was Aussie bonds, because they changed the data fee).

    #1052     Oct 17, 2017
  3. Elder


    Ahh, I see. Thanks.
    #1053     Oct 17, 2017
  4. It did indeed keep me awake the first times IB sent me those warning messages as I was afraid how they were going to mess up my account. I didn't know whether they would modify any position, and if so, which position they would select. But when you've been a few times in this situation it becomes more normal and doesn't affect the number of hours of sleep you get any longer.
    #1054     Oct 17, 2017
  5. I'm using the IB nomenclature here: Cash Balance divided by Net Liquidation is 27.6%. That seems about right to me as I hold about 70% of the account value in ETF stock.
    #1055     Oct 17, 2017
  6. truetype


    Cantab Quant Hedge Fund Rebounds -- Market Talk
    Today 9:14 AM ET (Dow Jones)
    1314 GMT - A hedge fund run by Cantab Capital, based in Cambridge, England has bounced back from two years of losses to be one of the top-performing computer-driven funds this year. The Quantitative Aristarchus fund is up more than 20% this year, said a person who had seen the numbers. That comes after a loss of 1.1% last month, when many quant funds took bigger hits as central banks hinted at rate rises, causing reversals in bond and currency markets. Aristarchus, which was down 8.2% in 2015 and 7.4% last year, has recently made money from relative value positions in currencies and interest rates and long positions in equities, the person said.
    #1056     Oct 18, 2017
  7. truetype


  8. truetype


    Winton raises capital for event-driven fund

    Systematic strategy managed by Sunil Sodha
    Daniel Rzasa Tuesday 17th October, 2017 12:42 PM ET

    Winton is raising external capital for a systematic event-driven equity strategy it has been running with internal capital since January last year, according to sources.

    The Winton Equity Event Fund uses datasets from Hivemind, a data platform and consultancy owned by Winton. It was part of Winton’s research division before being incorporated as a separate company in July. (.. )

    It returned over 8% in 2016 and was up 6.4% YTD through the second week of October, a source familiar with the performance said. (.. )

    Winton trades large and mid-cap stocks in its $743m long-only program, which launched in 2009.

    It started to add individual cash equities to the trading universe of its now $16bn Winton Diversified Program in 2011, having previously traded only stock index futures. (.. )
    #1058     Oct 18, 2017
  9. Elder


    Hi GAT, quick question: I assume on your backtests you didn't worry about any timing mismatches between historic daily data on currency settlement prices and instrument futures closing prices (for position sizing for example)?
    #1059     Oct 19, 2017
  10. No. I don't worry.

    #1060     Oct 19, 2017