For those looking for a smaller size contract for oil: MCL is going to start this weekend, which is 10 times smaller than CL, and 5 times smaller than QM. Financially settled, so no risk of ending up with a swimming pool full of oil. https://www.cmegroup.com/trading/energy/micro-wti-crude-oil-futures.html
Weekly but IBCAlpha avoids all that given you have opted out of 2FA. Personally, I have automated restart via IBC daily (cron), to avoid memory leaks and other issues.
Do you suggest any security measures when 2FA optout? IB sugests static IP with IP filtering + secondary username + SSL encryption. Anything else?
One cool thing about their MFA optout is that you can't withdraw money using it. So an intruder is kinda stuck trading your account. Re IB gateway - another option to automate is to put it in a docker container, configure health rule to a presence of a Java process inside and set auto restart if it dissapears. That's what I do.
@globalarbtrader Rob, are you able to call up your realized sharpe ratio over the lifetime of running your system for each individual instrument? I was wondering what the realized sharpe is for VIX particularly, since there is risk premium embedded in the term structure. In the same vein I would expect bond and equity futures to have higher avg sharpe than commodity futures because some of the natural yield produced should be captured by your carry rules. Just curious if this turned out to be the case over your trading timeframe or if performance of risk instruments are not very distinguishable from the commodities when trading with a momentum/carry framework. Would appreciate input from some of you other systemic guys as well if you have data on this particularly through the last 5-10 years.
Not easily and I'm not sure how valuable an exercise it would be. For starters, even with 40 years of data from a backtest, I don't see any statistically significant differences in performance between different instruments; so using a mere 7 years would be a total waste of time. Secondly, the returns in eg bond futures especially, would be heavily influenced by the long term secular upward trend in these instruments which are unlikely to be repeatable. GAT
Okay, thanks. That pretty much answers my question. Interesting that the backtest didn’t produce any noticeable difference between instruments. Since long bonds/equity (similarly short vol) has a moderately positive sharpe ratio vs. SR a lot closer to zero for constant one-way exposure to commodities I would have expected rules controlling portfolio volatility and reducing exposure to weakening momentum to enhance that differential further. Or even if TF rules added the same benefit to each asset class, the traditional assets should still be noticeably ahead. I didn’t expect there to be no difference over a relatively long time period. Perhaps a lot of the avg returns from buy&hold risk asset portfolios come from mean-reversion or un-expected upside shocks that can’t reliably be forecasted in a systemic manner?
I didn't say there was no noticeable difference, I said there was no statistically significant difference. Not the same thing at all; you need a massive Sharpe Ratio difference for statistical significance. GAT