Fully automated futures trading

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

  1. sle


    I guess. I was just giving a general idea :) For example, if I was a vol seller via put or call spreads, thats where this method would really shine - in fact, I'd recon that despite the higher costs due to split executions it would be still worth it.
    #1401     Jan 20, 2018
  2. itb


    Thanks for the reply! To be clear, my plan is to keep the 80K in the bank account and withdraw 1000 every month as long as there are funds in the account. I don`t plan on investing the 80K in anything riskier than a deposit/savings account. And of course when I make losses on the futures trading, the amount in the bank account would be used to meet margin calls.

    For a strategy with a given Sharpe and skewness, it seems to me one of the biggest decisions is what risk to target. The reasons referred to so far mostly have to do with how much losses one can take mentally before losing sleep. In the Systematic Trading book you do refer to the Kelly rule, but indeed the vol target suggested by the Kelly rule is too spicy for me. Thus it becomes a trade-off between having the optimal target according to Kelly and being able to sleep well, which is very qualitative and subjective decision in the end...
    #1402     Jan 22, 2018
  3. Hi Rob,

    I am building an integration of pysystemtrade and IB (I know, I know, you are building it too... but I didn't have the patience).
    I am making some tests, and the only data that IB provides free of charge is Forex data. So, I have made some changes to the code in order to use it with Forex. Nevertheless, I got stuck in something apparently very simple but that is making my forecasts to look not very accurate: the block value.

    How would you calculate the block value for, let's say, USDJPY and EURGBP, taking a Standard Lot (100,000$) as the minimum amount you can invest?

    Thanks again!
    #1403     Jan 25, 2018
  4. The block value is the value of a 1% change in the value of a block.

    If you own $100K of USDJPY or EURGBP the block value is just $1K

    #1404     Jan 26, 2018
  5. isotope1


    @globalarbtrader is there a preferred method for learning parameters in an online fashion, where a backtest isn’t possible?
    #1405     Jan 27, 2018
  6. What do you mean by 'online'? When you say 'learning' do you mean 'finding the optimal set of parameters according to some criteria'?

    #1406     Jan 27, 2018
  7. isotope1


    Yes exactly, but where you can only use live trading to inform you of the parameters. I'm conscious of using a naive method that may overfit. I can handcraft a prior, but still need a reasonable posterior.
    #1407     Jan 27, 2018
  8. traider


    I use kalman filters for linear stuff.
    #1408     Jan 27, 2018
  9. isotope1


    #1409     Jan 28, 2018
  10. traider


    Identify a linear relationship between variables related to your trading
    Once you have that, then you need to calibrate the Kalman Filter

    It really depends on what problem you have formulated. For me I formulated my trading into a linear equation so I could use a KF.
    #1410     Jan 28, 2018