Fully automated futures trading

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

  1. truetype


    Well, if he'd actually beaten the S&P by 6%/year for 40 years, he'd be a multi billionaire.
    #1651     Jun 19, 2018
    sle likes this.
  2. Quite.

    From many, many years experience I become so weary of such people and hearing their purely hypothetical "track records" quoted. His ideas are fine; no problem there. But he is not a genius, has not "made millions in up and down markets" (reference to Covel), and switching between or around bonds and equities is hardly a novel approach. I don't suppose it was novel 40 years ago either.
    #1652     Jun 19, 2018
  3. Yes, it's hypothetical, but how does one choose a strategy without a robust backtest? Buy and hold equities backtests at 10% per year. Is that not good enough to be considered a viable strategy?
    #1653     Jun 19, 2018
  4. I guess that you would be able to adapt it to what you mention.
    One other thing that you should take into account: trading stock goes with a much lower account value volatility. You won't be able to target for e.g. 25% annual volatility when using stock. If you were going to target for that, the program might conclude that it needs a position size which far exceeds your total account value. You may have to correct for this. Either by setting the annual volatility target to a much lower value, or to scale/limit the position size to your total account value.
    #1654     Jun 19, 2018
  5. My honest opinion after decades in markets is that for long term investment buy and hold of a broad range of stock indices spread over geographies and currencies is the best answer you will get. Buy and hold with periodic rebalancing. Plus add bonds if you are willing to sacrifice some return to ensure lower DD and Vol
    #1655     Jun 20, 2018
  6. I agree, that sounds like a good strategy. But, how can you have confidence that that strategy will work going forward? Because it has worked for such a long time into the past? Well, so have momentum strategies on nearly every kind of instrument, and they tend to generate a better sharpe than buy and hold.
    #1656     Jun 20, 2018
  7. the bold guy (completely that is) in the middle was kinda fun :)
    #1657     Jun 20, 2018
  8. truetype


    Not sure if GAT was in the audience, but AHL cleaned up the Pinnacle Awards in Chicago last night -
    P1.jpg P2.jpg
    #1658     Jun 21, 2018
  9. You're right @truetype, my calculations were off. The last 9 years have basically been a wash between Gary's strategy and buy/hold. But if you pick the 9 years after 1975, it's also basically a wash. So, naturally there will be periods of underperformance, but taken as a whole, over 40 years, the outperformance seems much more statistically significant than any cherry-picked 9 year period.
    Another thought: we have been in one of the longest bull markets ever. Gary's strategy tends to underperform during those times, since buy/hold will necessarily work out great.
    #1659     Jul 2, 2018
  10. truetype


    It's your money, but I'm not a fan of strategies that haven't worked for a decade.
    #1660     Jul 2, 2018