Fully automated futures trading

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

  1. #111     Apr 28, 2015
  2. (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.
     
    #112     May 9, 2015
    sle, panganp, Raphael and 1 other person like this.
  3. jj1111

    jj1111

    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.
     
    #113     May 9, 2015
  4. 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.

    [​IMG]


    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
     
    #114     May 10, 2015
    samuel11 likes this.
  5. 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?
     
    #115     May 10, 2015
  6. 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.
     
    #116     May 10, 2015
  7. New post on futures rolling (cross post, please discuss at the other place).
     
    #117     May 18, 2015
  8. 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.
     
    #118     Jun 1, 2015
    samuel11 likes this.
  9. stt

    stt

    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
     
    #119     Jun 5, 2015
  10. 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%.
     
    #120     Jun 5, 2015