Fully automated futures trading

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

  1. You're right - it isn't possible. Great experiment by the way.

    I see a lot of people getting really tied up about the 'correct' value of these things. But it doesn't matter as much as people think. For example if you apply random noise to all your forecasts scalars, such that they're only right within an order of magnitude, what effect would it have on your Sharpe Ratio? Not as much as you might expect.

    #261     Jan 19, 2016
  2. Another milestone this morning - just passed 500K of accumulated profits (before taxes, sadly)

    #262     Jan 20, 2016
    jj1111 likes this.
  3. jj1111


    What're you going to spend all that loot on?
    #263     Jan 20, 2016
  4. Tax take is about a quarter (it's classed as capital gains, which attracts a marginal rate of 28%).

    Some goes towards living costs; but I've got enough other investment income to cover most of that.

    So most of it is ploughed into buying other investments; firstly through funding ISA allowances (if you're not UK based this is a tax sheltered investment scheme), then buying stuff outside tax shelters. The plan being to have my passive investment income outside of tax shelters increase to the point where it's covering wouldn't matter if my trading account earned zero.

    Once I've got that, with a reasonable amount of safety, I might consider paying off my mortgage or buying another place. Only then will I even think about the usual mid life crisis stuff - cars, bikes and boats.

    These days are behind me (from 1:30 onwards)

    #264     Jan 20, 2016
    gonzatti likes this.
  5. jj1111


    Well, bravo sir, honestly.
    #265     Jan 20, 2016
  6. #266     Jan 20, 2016
  7. done
    #267     Jan 21, 2016
  8. #268     Jan 22, 2016
  9. Hi,

    Thanks for the all to info you provide on this subject.
    Can you point me to sources for the "theory" of correctly optimizing the parameters of strategies ? By "correctly" I mean:
    -avoiding over fitting
    -correctly using in sample and out of sample data
    -resting on solid statistical models (esp. w.r.t. no over fitting).
    Thank you.
    #269     Jan 24, 2016
  10. I'm assuming you've read my book already :)

    If you need more detail then is probably the best book specific to trading.

    If you're really serious about it then is the best book in terms of giving you an understanding of distribution of sample statistics.

    #270     Jan 24, 2016