Fully automated futures trading

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

  1. FCT


    Brilliant and congrats! Does that include the stocks or just futures trading?

    On the holding period: think that’s not really informative if rolls are included. Given that you trade long-term signals, we’re probably just looking at your weighted average futures roll cycle. Even a long-and-hold futures trader, who never changes position, would have a 30d hp simply because she has to roll futures.
    #1091     Nov 3, 2017
  2. Includes stocks but both components are up.

    Your comments about rolls are correct.

    #1092     Nov 4, 2017
  3. Elder


    Hi GAT, I am trying to work through and make sure my backtesting logic is sound. I note the industry practice, and your preference, is to use the 'current' day's signal on the next day's price for backtests, which I understand is linked to avoiding some sort of data snooping. However, if the system is set up to trade live based on the live signal during a trading day (as your system is) then presumably the closing price (and the signal associated with it) later in the trading day can just be considered random noise around the live price and live signal which you used to trade (and both are perfectly synchronised in this scenario). In which case, I would think it might be reasonable to apply the current day's forecast against the current day's closing price as opposed to the next day's closing price (for which the live price at which you traded is a proxy). Would you disagree?
    #1093     Nov 7, 2017
  4. Yes the backtesting logic is just to be conservative. In practice you'd take last nights close, calculate your forecast and then trade that during the subsequent trading day.

    #1094     Nov 8, 2017
  5. Elder


    Thanks and congrats on your latest performance!
    #1095     Nov 8, 2017
  6. isotope1


    I know this is off topic, but I just wanted to see if anyone here has any experience of writing automated market making strategies?
    #1096     Nov 8, 2017
  7. truetype


    As expected, the London megatrendies reporting a big October. All AHL's programs now up on the year, as is Winton's.
    #1097     Nov 8, 2017
  8. traider


    What's causing this? Is it the US tax reform?
    #1098     Nov 8, 2017
  9. truetype


    In a sense. Back of the envelope, the trend crowd made 15% long equities this year, and lost about the same thrashing around in other sectors.
    #1099     Nov 8, 2017
  10. Most macro markets have been sideways trading in broad envelopes. If you didn't take profits at broad ATR zones, you essentially got chopped up. But trendies aren't expected to take profits, expected to let things ride. The only ride really was equities.
    #1100     Nov 8, 2017