Fully automated futures trading

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

  1. nemo4242


    #231     Jan 8, 2016
  2. Oh yeah I have a smooth as well EWMA look back varies with window size

    #232     Jan 8, 2016
  3. Hi GAT,

    Are you able to provide an approximate breakdown of each of your strategies (trend, carry, vol, etc) and the approximate win:loss ratio and winning% vs losing% of trades?

    If you cannot break it down at the strategy level due to continuous position sizing, are you able to provide the stats at the portfolio level?
    #233     Jan 12, 2016
  4. You're right I can't easily do this because I don't have "trades". The continous position sizing problem occurs at both the trading rule and portfolio level. I'd need to write some quite involved code to map my changing positions into discrete trades.

    I might do this at some point, but since knowing this statistic will not improve my p&l it's hard to prioritise this task....

    #234     Jan 13, 2016
  5. Good news I managed to reconfigure my tax calculation to do this.

    So for the last tax year (which was unusually good in terms of performance) at least the figures are 45% win rate, 1.92 win:loss rate.

    #235     Jan 13, 2016
  6. Great, thanks! I think this is useful to know in order to psychologically prepare oneself before running such strategies.
    #236     Jan 13, 2016
  7. Hi GAT,
    A while ago you showed the equity curves for each strategy in your portfolio. I am aware of your use of EWMAC for trend, but could you offer any insight into your use of breakouts and your general breakout strategy? I understand this feeds into an aggregated position based on forecast weights, etc, but what does the core of the breakout look like? Is it similar to initiating longs/shorts if an x-day breakout occurs using a series of values for x? e.g., x = 10,20,30 etc?
    #237     Jan 14, 2016
  8. I've since found out that what I call 'breakout' is referred to as 'stochastic' by the TA crowd (see earlier message on this thread).

    So for an L day lookback my forecast would be EWMA with an L/4 smooth of ([ x_t - (x_average)] / [x_range] ) where x_t is current price, x_range is x_high - x_low, x_average is (x_high+x_low)/2 and x_high is the highest price in the last L days, x_low in the last L days.

    #238     Jan 14, 2016
  9. #239     Jan 14, 2016
  10. Can you elaborate on how you do relative carry?
    #240     Jan 14, 2016