Well usually the vol of VIX/V2X gets higher closer to expiry, so it's lower on the further out legs. This isn't always the case, and I haven't checked it recently. GAT
This might sound bizarre; does it make sense to apply trend following rules (short term breakouts) to V2X front month futures even though the underlying is mean reverting by nature? V2X futures tend to go 'down the stairs' (contango) and 'up the elevator' (volatilty spike). Positive skew rules on a positive skew asset. Thanks
It makes perfect sense. Trend following on vol futures makes a lot of money. A lot of it is from the carry you nearly always get from being short (so in fact it's mostly a negative skew asset, since there is a persistent short bias). Adding trend following means you get out when things go bad, or even go long. So in fact what you're really doing is overlaying a positive skew rule on a negative skew asset. Not weird, but your strategy will behave like a bit of both. Although vol is mean reverting, that's only at longer time scales. In the short term it's fairly persistent. GAT
Sir is your strategy running on volatility futures? Last I remembered you mentioned stopping because of the margin imposed by IB.
I stopped trading them for a few months, but started again as soon as I could. GAT PS please don't call me Sir. Makes me feel old
Are other people getting hit today\yesterday ? My system lost pretty badly on JPY, Eurostoxx, Nasdaq, V2TX and a little on Corn and US2 and didn't make anything substantial on other things..
Yes, about 14% down compared to a recent high on Monday. But I must admit that my account is not fully diversified: it is a small account so I can't participate in all asset classes. I guess that because of this the hit is larger than for those who are able to participate in all asset classes.
Hi all. Here's a quick update. Still losing money although the flow seems to have stemmed somewhat. Current drawdown is 12%, bringing calendar year performance down to around 21%. If it doesn't go down much more, that will still be my best performance since 2014. For the tax year I'm up 16%, which again if I hang on to it is better than I've done for the last 3 tax years. Delivery issues have been sorted out with the book which is now selling reasonaly well, and I've had nice reviews from @kevinkdog and Andreas Clenow. If you've bought it and enjoyed it then a nice amazon review would be very welcome. Since the summer I've rethought my plan to shut down my existing trading system and pysystemtrade in favour of a completely new platform. Instead I've gone back to plan A: keep the existing system running whilst adding production logic to pysystemtrade so it will be able to replace the legacy code. I'm also going to implement my new ideas on pysystemtrade, although this will require some tweaking to the current system it's worth doing. I've now setup a new account on IB which I'm going to use purely for testing the production code of pysystemtrade, with an additional user so I can logon seperately to my existing account. Not ideal as it means some money sitting around doing nothing and paying two sets of data feeds, but seemed the cleanest solution. I have put a fresh setup on one of my linux boxes in readiness to start running the new system. My initial goal is to get FX and futures price collection running, and in preparation for that I have been copying across my legacy data and rebuilding the adjusted price curves for each market. To help with that process I've taken out a one year subscription to another price service. It cost $300, but it means I've been able to backfill some more data history. I also want to add price collection for some futures I don't currently trade, since the new system (which exists only in my head at the moment). As you may have noticed, I've had an early new years resolution of writing one new blog post a month, which I've so far managed to stick to. I've had a lot of conference requests for 2020, and so far I've said yes to all of them. Definites are New York, possibles are Australia, Hamburg and Istanbul. I'm also doing some talks at local universities. I start teaching in January, so it's looking pretty busy for next year. If I don't post again, hope everyone has a good christmas and new year and manages to end up in the blue for the year. GAT