I've added some material about implementing price capture systems to my blog. Cross post: http://www.elitetrader.com/et/index...stematic-system-part-one-data-capture.291170/ Please add any comments to the other thread.
(This post doesn't form part of this thread, but I will be perma-linking to it from other posts to save time and hassle) I don't feed trolls. So if you see a reply to my posts that I've ignored, its because I've ignored that poster entirely (so I literally won't see anything they write on elitetrader). Trolls will often cast aspersions on other peoples abilities, skill or experience; or ask for proof. I do not think such criticism is valid in my case. If you click through to my blog (http://qoppac.blogspot.co.uk/p/about-me.html) you will see that there is a link to my linked in profile (http://uk.linkedin.com/pub/robert-carver/27/75a/132). So my real name and experience are there for all to see. When another poster claims I am ignorant in some way I suggest you have a look at my publically available CV and ask yourself whether it is really likely that such a claim is true. As the rest of this thread shows I'm also posting my actual trading record. Trolls will often claim that other people are "selling" something. Well I'm not. I will sometimes post links to my blog, but if you check you'll see there are no ads on my blog; it earns me nothing. I am writing a book on systematic trading. However as anyone who has done that themselves will know, its unlikely this will be hugely profitable. YesI also do consulting; but I don't tote for business on ET, and indeed I've turned away people who've offered to pay me to help them. I work only for institutional managers with whom I already have a relationship. Nearly all of my income comes from investment and trading. My overwhelming motivation for posting here is to educate others, and myself, and to have interesting, civil discussions.
I do hope the volpikers of the world don't get you down and keep you from continuing to post. A lot of us are finding value in your posts. Thanks.
Report since April 25th Market moves: Well in case you've had your head in the sand it's been quite exciting (http://www.bloomberg.com/news/articles/2015-05-06/there-have-been-some-big-mysterious-moves-in-markets-lately) The rout in European bonds continues with OAT and BUND really hard hit. FX continues its bounce against the dollar. P&L: LOSS £29,362 or 7.3% of capital Biggest losses in GAS_US, AUS10 year bonds. Drawdown is 16.7% of capital The average DD from simulation is 9.2%. I haven't done a formal comparision but I'm not the only one who has suffered from the sharp ending of these lovely trends (http://www.valuewalk.com/2015/05/cantab-returns-april-2015/). The trick is to hang on to as much of the profits as you can. Risk: £3150 per day, vs long run target of £6250. Note "Kelly" risk cutting would reduce my risk to £5237. The rest comes from signal changes. Trades since I last posted: Code: code contractid filled_datetime filledtrade filledprice 3514 AUD 201506 2015-04-28 06:28:42 1 0.785000 3625 AUS10 201506 2015-05-06 03:20:46 -1 97.050000 3580 AUSSTIR 201606 2015-05-04 05:06:28 4 97.900000 3538 BOBL 201506 2015-04-29 07:34:02 -1 129.500000 3544 BOBL 201506 2015-04-29 09:33:18 -1 129.370000 3565 BOBL 201506 2015-04-30 08:34:23 -1 128.880000 3586 BOBL 201506 2015-05-04 07:34:55 1 128.750000 3667 BOBL 201506 2015-05-07 10:27:54 -1 127.940000 3547 BTP 201506 2015-04-29 14:48:52 -1 138.490000 3541 BUND 201506 2015-04-29 07:36:07 -1 159.180000 3631 BUND 201506 2015-05-06 08:10:34 -1 154.530000 3559 CAC 201505 2015-04-30 08:04:40 -1 4989.000000 3589 CAC 201505 2015-05-04 08:04:04 1 5002.500000 3607 CAC 201505 2015-05-05 06:41:09 1 5009.000000 3610 CAC 201505 2015-05-05 08:01:37 -1 5035.000000 3634 CAC 201505 2015-05-06 08:17:27 -1 4942.500000 3601 CORN 201512 2015-05-04 14:30:00 -1 377.500000 3679 EDOLLAR 201809 2015-05-08 17:35:22 -1 97.735000 3508 GAS_US 201506 2015-04-27 12:03:54 3 2.518000 3511 GAS_US 201507 2015-04-27 12:03:54 -3 2.575000 3571 GAS_US 201507 2015-04-30 16:50:29 1 2.766000 3658 GAS_US 201507 2015-05-06 18:14:10 1 2.866000 3517 GBP 201506 2015-04-28 12:26:49 1 1.528000 3670 GBP 201506 2015-05-08 02:00:12 1 1.539600 3523 GOLD 201506 2015-04-28 19:23:52 1 1213.500000 3550 JPY 201506 2015-04-30 02:14:09 1 0.008411 3535 KR3 201506 2015-04-29 02:27:01 -1 108.970000 3583 KR3 201506 2015-05-04 01:08:39 1 108.910000 3628 KR3 201506 2015-05-06 05:18:47 -1 108.630000 3673 KR3 201506 2015-05-08 02:18:03 -1 108.730000 3604 LIVECOW 201510 2015-05-04 15:33:31 1 150.350000 3568 NASDAQ 201506 2015-04-30 14:13:25 -1 4455.500000 3574 NZD 201506 2015-05-04 01:03:33 1 0.749500 3598 PLAT 201507 2015-05-04 12:07:27 -1 1133.400000 3622 SMI 201506 2015-05-05 16:07:37 -1 9017.000000 3655 SP500 201506 2015-05-06 15:18:57 -1 2075.750000 3505 V2X 201506 2015-04-27 11:26:06 1 21.650000 3520 V2X 201506 2015-04-28 16:14:30 1 21.300000 3562 V2X 201506 2015-04-30 12:18:36 1 21.800000 3592 V2X 201506 2015-05-04 10:25:12 2 21.750000 3637 V2X 201506 2015-05-06 08:31:03 1 22.400000 3664 V2X 201506 2015-05-07 12:04:49 2 23.200000 3619 VIX 201507 2015-05-05 10:14:32 -1 16.850000 3661 VIX 201506 2015-05-06 19:49:17 1 17.000000 3595 WHEAT 201512 2015-05-04 12:01:00 -1 496.250000 Total slippage £8.23 Expected slippage (crossing the spread) £222.64 Positions: Code: AUS10 201506 1 AUS3 201506 3 AUSSTIR 201606 9 BOBL 201506 1 CORN 201512 -6 EDOLLAR 201809 4 EUROSTX 201506 -12 FTSE 201506 -2 GAS_US 201507 -1 JPY 201506 -2 KR10 201506 1 KR3 201506 3 LEANHOG 201506 -1 LIVECOW 201510 -1 MXP 201506 -4 PLAT 201507 -1 SOYBEAN 201511 -1 US10 201506 1 US2 201506 4 US5 201506 2 VIX 201507 -1 VIX 201506 -2 WHEAT 201512 -3 Big shorts in WHEAT, CORN, VIX, MXP, JPY Big longs in AUSSTIR, EDOLLAR, US2, US5
Thanks for updating. Like jj said, I find values in this thread. Two questions (and sorry if they have been answered already). 1. How do you select which market to trade? 2. If you trade a contract denominated in a foreign currency, do you hedge the fx exposure?
1. I trade the most diversified portfolio I can given the capital I have. In terms of choosing which instruments in which asset classes I look at costs, diversification, cost of data, volatility, liquidity and minimum size. So for example I don't trade gilts because of the data cost. I don't trade Buxl's because the contract is too big. This can only be a brief answer. The full one is a whole chapter! 2. Well with futures your only FX exposure is on the margin, and on any profits or losses you make. If there was no margin, and the price in local currency was unchanged, even if the FX rate halved there would be no impact on your p&l. Obviously your net cash position in any currency will be a result of your current margin plus accrued p&l. I constantly monitor these net exposures. I try not to borrow in expensive currencies (KRW and AUD), but I'm happy to borrow in cheaper ones. I also try and diversify both my net borrowing and lending. When things move out of balance I do an FX trade.
Report since May 10th (3 weeks, rather than two) P&L: GAIN £20,400 or 5.1% of capital Drawdown is 11.6% of capital I'm a bit short of time so I won't be posting a full report. What might interest you to know is that I was on holiday for a week, during which my system ran perfectly with just one fill missed in JPY (which I then had to manually update this morning), and started to draw itself nicely out of drawdown.
Hi globalarbtrader, nice thread and blog. I found your blog last week and this thread now. i have CTA experience (similar to yours). I have a question about the margin you need to post to run your strategies.. what percentage of the account value gets tied up in margin (range). if you are trading in 40+ markets and have even 1 lot position then assuming 5k per lot (similar to CL), you will need to post 200k (i am sure you are using portfolio margin which shd reduce this). What is your range of margin requirement during past year? TIA
Right now I'm using on my 400K account (running at 25% annualised risk target a year) about £102K in margin; so about 25.5% cash. However this will vary depending on how close I am to HWM and signal strength. Right now I'm running at about 73% of average risk. At average risk then my margin usage would be around 35%. To take a few other days as a sample April 1st: 29.5% Jan 1st: 30% 2014: Sep 1st: 29.4% June 1st: 37.8% The numbers are perhaps less than you might expect (I have never been about 50%), perhaps because I won't always have positions in all 40 markets unless I have sufficiently strong signals in all of them, and also because margins aren't as chunky in say Eurodollar as they are in Emini's. But it's reasonable to say I'll use between 20 and 50% of account value as margin, averaging 35%.