Fully automated futures trading

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

  1. What are cold futures?
    #1471     Feb 9, 2018
  2. Elder


    Yes, completely agree.
    #1472     Feb 9, 2018
  3. Vol
    Damm autocorrect

    #1473     Feb 9, 2018
  4. Haha, funny. Vol futures are not particularly cold at the moment.
    #1474     Feb 9, 2018
  5. Elder


    I knew what you meant :)
    #1475     Feb 9, 2018
  6. traider


    Hey GAT,

    Is it a good use of time to try to build a more accurate trend filter? Say using machine learning techniques and using more factors/features to redue noise/detection? If not why so?
    #1476     Feb 9, 2018
  7. No, a bad use of time IMHO. I'd be surprised if you could get significantly better out of sample performance from the ragtag bunch of simple trend rules I use myself (I've seen people try, and fail, at this).

    You're better off diversifying your system to different instruments and different styles of trading.

    #1477     Feb 9, 2018
  8. Quiet1


    This was insanely lucky!
    #1478     Feb 9, 2018
    isotope1 likes this.
  9. Of the different styles of trading, what would you recommend?
    #1479     Feb 9, 2018
  10. traider


    Hi GAT,

    I know you mentioned that trading rules that are too fast can be excluded due to costs.
    Let's assume that costs are low or near 0. Is there a timescale at which momentum effect is overwhelmed by noise such that it is useless as a trading rule?
    #1480     Feb 14, 2018