Fully automated futures trading

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

  1. I'm down about 4% YTD but up about 2.5% on the tax year that I usually analyse.

    #1731     Nov 9, 2018
  2. FCT


    Is this futures-only, GAT? I think -4% YTD is actually ‘good’ - most trend followers are substantially below that.
    On statistical significance: I think that if you test how ‘abnormal’ the last few years have been given the returns before that (backtest or actual track records), the null of no difference will get rejected. My hunch is that TF performance over the last few years is statistically worse than what’s expected give long-term track records like Winton’s. Having said that, GAT’s performance actually seems better, with less extreme drawdowns.
    #1732     Nov 10, 2018
  3. It's everything, so yes it's plausible i'm being flattered by my equity hedge. Don't forget I'm only about 60% TF even in my futures bucket, so other stuff could be helping there. I'll break it down as usual in April.

    My hunch is that your hunch is wrong :)


    #1733     Nov 11, 2018
  4. Elder


    Any rates experts out there? Don't know if anyone can see the posted image but in summary the bid/ask of stg stir were equal at 98.68 all afternoon today. Checked depth of book and could see bid and ask volume at that price but not executing. How can the bid-ask be equal?

    #1734     Dec 4, 2018
  5. It can happen, I've seen it occasionally before. Unusual for this length of time though, which suggests it was stale data maybe or something else weird.

    #1735     Dec 4, 2018
  6. Elder


    Thanks GAT, the needle did move briefly and I saw a 1 cent spread on Mar 21 but its back to 0 spread again. Mar 20 hasn't budged from 0. I think I will post this as a question to IB and hopefully get their 2 cents worth and revert back if I hear anything.
    #1736     Dec 4, 2018
  7. I'm seeing a spread of 0.005 on another feed which suggests it might be an issue with IB

    #1737     Dec 4, 2018
  8. Quiet1


    Short-sterling trades in half-basis points but IB is showing whole-basis points from 2019 on (Dec is showing half ticks). Not sure when it changed to half-ticks as I don't trade it but it was whole ticks in the past.
    #1738     Dec 4, 2018
  9. #1739     Dec 4, 2018
  10. djames


    Well done Quandl, was only a matter of time.
    #1740     Dec 4, 2018