Adding one contract causes no problem. But to add 10 Asian equities would A: reduce the size I had in all other instruments proportionally causing me size issues elsewhere B: seriously un diversify my portfolio as right now I only have 4% optimal in Asian equitirs All in Chapter 12 ..... coming soon!
Hope everyone is surviving the greek related panic. Just to let you know that the website for my book is now up and running: www.systematictrading.org And you can pre-order your copy here: http://www.harriman-house.com/book/view/4598/trading/robert-carver/systematic-trading/
the e-book isn't like, Kindle dependent, right? is it basically a downloadable pdf? i did a quick scan on the site and couldn't readily find the answer..
No it isn't kindle dependent. You get an option of kindle or using a free e book reader. By the way it looks like the publisher haven't yet got the back end working for the pre-order. I'll let you know when that is sorted. Thanks for the support. GAT
Time for the semi regular update (sorry been busy proofreading the book [pre-ordering system is now working] and doing TV stuff). Up a 'massive' 0.4% or £1600 in money terms, although it's been an interesting ride (you can probably see the point at which the greek government decided to shrug their shoulders and say 'sue' me). I had to reduce my Eurostoxx hedge, since it was clear that the beta was all wrong with what was going on. Drawdown is 17.1%. All about the ags complex this fortnight: Big gainers Soybeans £8.9K Wheat £2.6K NZD £2.4K PALLAD £1.9K GOLD £1.8K MXP £1.8K Big losers: Corn -£5.8K Kospi -£1.6K Soya: Was long 1 contract 2 weeks ago; now long 3 contracts Trades: 4267 SOYBEAN 201511 2015-06-22 14:30:00 1 947.250000 4294 SOYBEAN 201511 2015-06-24 15:22:48 1 961.750000 4315 SOYBEAN 201511 2015-06-29 12:15:04 1 985.250000 4375 SOYBEAN 201511 2015-07-02 12:03:36 -1 1029.750000 Corn: Was short 5 contracts two weeks ago; now short just one contract Trades: 4291 CORN 201512 2015-06-24 14:30:00 1 378.750000 4303 CORN 201512 2015-06-25 18:11:08 1 391.250000 4354 CORN 201512 2015-06-30 17:18:26 1 412.750000 4390 CORN 201512 2015-07-02 14:30:00 1 430.000000 .... I think this is what is known as a 'hedge'. Classic trend following behaviour; one system was the right way round and bought into the strengthening rally (with a little bit of profit taking at the end), the other cut it's position which was the wrong way round. These are such fascinating moves I will do a blog post in more detail explaining in more detail why I had these two positions on, and why I traded as I did. Current position: Code: code contractid positions Lock WrongContract InFwdNotRoll 1 AUD 201509 -1 False False False 3 BOBL 201509 1 False False False 16 COPPER 201512 -1 False False False 17 CORN 201512 -1 False False False 10 CRUDE_W 201512 -1 False False False 18 EDOLLAR 201812 3 False False False 19 EDOLLAR 201809 2 False False False 11 EUROSTX 201509 -13 False False False (hedge) 2 GAS_US 201509 -1 False False False 8 GOLD 201508 -2 False False False 14 JPY 201509 -1 False False False 6 KR3 201509 6 False False False 9 MXP 201509 -6 False False False 15 NZD 201509 -3 False False False 20 PALLAD 201509 -2 False False False 12 PLAT 201510 -3 False False False 13 SOYBEAN 201511 3 False False False 7 US2 201509 3 False False False 5 US5 201509 1 False False False 0 V2X 201508 3 False False False 4 VIX 201508 -2 False False False Risk: Code: Expected annual risk more than GBP6400 per year, GBP400 per day code multisignal expected_annual_risk expected_annual_risk_per_contract position expected_annual_risk_rounded_pos 25 EUR -23.4 14867 38552 0 0 24 AUD -11.4 7227 5549 -1 5549 30 COPPER -16.3 10342 6898 -1 6898 34 CRUDE_W -15.8 10039 9963 -1 9963 28 MXP -16.1 10227 1845 -6 11067 17 VIX -20.6 13104 5852 -2 11704 33 PLAT -25.6 16259 4882 -3 14645 31 GOLD -32.1 20418 8127 -2 16254 29 NZD -23.1 14677 5472 -3 16415 32 PALLAD -26.5 16858 9646 -2 19292 36 EDOLLAR 11.7 7466 1757 5 8786 3 SOYBEAN 35.5 22576 7342 3 22026 This is a new table so let me explain. 'multisignal' is the signal I have on. 'expected annual risk expected' is the risk I would ideally have on if I could buy/sell partial contracts (in £ of annualised standard deviation). 'annal_risk_per_contract' is the risk of each contract. 'position' is in contracts. 'annual_risk_rounded' is the risk I actually have on. So you can see the effects of rounding; I'd like to have a EUR position on but each contract has an enormous risk so I can't justify it. Current expected portfolio risk is @ 95% of average; on 82% of maximum capital (due to the drawdown) or in money terms £4,880 a day or £78K a year (or if you like, 19.5% of my maximum capital, and 23.7% of my current reduced capital; versus long run targets of 25%). Trades: Code: code contractid filled_datetime filledtrade filledprice 4306 AUD 201509 2015-06-29 01:29:33 -1 0.759200 4372 BOBL 201509 2015-07-02 07:32:49 1 129.590000 4264 BTP 201509 2015-06-22 07:34:45 1 131.260000 4291 CORN 201512 2015-06-24 14:30:00 1 378.750000 4303 CORN 201512 2015-06-25 18:11:08 1 391.250000 4354 CORN 201512 2015-06-30 17:18:26 1 412.750000 4390 CORN 201512 2015-07-02 14:30:00 1 430.000000 4312 CRUDE_W 201512 2015-06-29 12:09:45 -1 59.480000 4255 EUROSTX 201509 2015-06-19 13:53:52 -10 3478.000000 4336 EUROSTX 201509 2015-06-30 08:06:16 3 3460.000000 4363 EUROSTX 201509 2015-07-01 07:59:58 3 3465.000000 4366 EUROSTX 201509 2015-07-01 19:59:09 -1 3474.000000 4252 FTSE 201509 2015-06-19 13:46:46 2 6677.500000 4273 GAS_US 201508 2015-06-23 12:02:37 1 2.768000 4276 GAS_US 201509 2015-06-23 12:02:37 -1 2.782000 4261 GBP 201509 2015-06-22 02:39:42 1 1.587800 4282 GBP 201509 2015-06-23 13:51:13 -1 1.573100 4249 GOLD 201508 2015-06-19 12:05:23 1 1200.200000 4279 GOLD 201508 2015-06-23 12:09:48 -1 1181.800000 4300 GOLD 201508 2015-06-25 12:10:40 -1 1172.900000 4360 JPY 201509 2015-07-01 01:45:00 1 0.008167 4369 JPY 201509 2015-07-02 06:01:53 -1 0.008113 4270 KOSPI 201509 2015-06-23 02:42:08 1 255.250000 4297 KR3 201509 2015-06-25 01:48:59 1 108.970000 4387 MXP 201509 2015-07-02 12:38:43 -1 0.062870 4285 NASDAQ 201509 2015-06-23 14:41:02 1 4537.000000 4318 NASDAQ 201509 2015-06-29 14:08:05 -1 4429.000000 4393 NZD 201509 2015-07-02 18:20:29 -1 0.668300 4309 PALLAD 201509 2015-06-29 12:08:42 -1 670.750000 4378 PALLAD 201509 2015-07-02 12:09:34 1 695.850000 4342 PLAT 201507 2015-06-30 12:01:36 2 1081.700000 4345 PLAT 201510 2015-06-30 12:01:36 -2 1082.700000 4348 PLAT 201507 2015-06-30 12:04:28 1 1081.500000 4351 PLAT 201510 2015-06-30 12:04:28 -1 1082.500000 4267 SOYBEAN 201511 2015-06-22 14:30:00 1 947.250000 4294 SOYBEAN 201511 2015-06-24 15:22:48 1 961.750000 4315 SOYBEAN 201511 2015-06-29 12:15:04 1 985.250000 4375 SOYBEAN 201511 2015-07-02 12:03:36 -1 1029.750000 4288 SP500 201509 2015-06-23 14:44:03 1 2116.500000 4321 SP500 201509 2015-06-29 14:11:26 -1 2075.000000 4258 US5 201509 2015-06-19 14:36:31 1 119.328125 4333 VIX 201508 2015-06-29 17:12:02 1 16.400000 4339 VIX 201508 2015-06-30 11:08:56 1 16.600000 4357 WHEAT 201512 2015-06-30 18:23:59 1 603.750000 Slippage was £192 vs £204 expected (so my simple execution algo saved me £12).
There's a fuller post here about the commodity move http://www.elitetrader.com/et/index.php?threads/a-tale-of-two-positions.292751/
Just read this thread and scrolled through your blog - nice work! I understand your current system is 'always-in' but can you run though how you would deal with position sizing if your signals would allow for 'no holding'? With position sizing a function of total portfolio risk, this would either require very frequent adjustment of 'existing' positions when a 'new' position is added / removed (and thereby potentially creating undesired 'noise' returns), or being constantly under invested by assuming a position in all instruments.
First my system isn't 'always in'. There is a minimum signal strength I need before establishing a position. However if I had enough capital it would be 'always in'. Anyway, on to your question. I wouldn't trade any differently if I had a binary system, or a system where I had a lot of potential bets few of which were rarely active. I don't, as you are suggesting, have a constant target expected risk that I'm hoping to achieve. Effectively I size my portfolio according to the average number of bets I expect to have on over the long run; and according to what I expect the average correlation of those bets to be. Let's suppose that on average I expect to have 10 trinary (long/short or no position) bets on out of a total of 20 possibilities. I'll scale the overall system so I have on average the required amount of risk assuming I have 10 bets on, and for some average correlation of bets. If I had fewer bets on than normal I would be taking less risk than average. That makes sense; you should always have risk on proportional to the opportunities available. If I had more bets on than normal I would be taking more risk than average. Closing a bet or adding a new bet has no effect on existing bets, and so doesn't require any trading.