Fully automated futures trading

Totally batshit crazy today. My daily p&l off my 7pm GMT mark last night has swung between +2.1% and -2.5% over the last hour or so- it's at the worse number now. I'm not doing any overrides, but I am rerunning my price collection, backtesting and order generation so it reflects the most current prices and account value... whatever they are.

Using IB marks (which are COB US time), I lost 14% on Friday, gained 3.4% yesterday, and am currently down -3.5% for the day

Drawdown is ~18% at pixel time. This is about as bad as my previous worst drawdown in live trading but definitely without doubt I've had my worst day, and it's shaping up to be my worst month (I've never had a double digit down month). On reflection I've been lucky, since my performance has been considerably better than my backtest would lead me to expect.

GAT

 

Indeed, there is a lot on intraday fluctuations going on. I'm logging my account value every hour (it's one of my tools to verify that I'm still connected to IB's servers) and see more fluctuation than let's say one week ago.

 

As far as I'm concerned, calling it Black Friday was ironically spot on.

GAT

 

-8.55% on Friday
+2.49% on Monday
about -2.5% today so far

 

-10.02% on Friday
+0.12% on Monday
-2.4% so far today

I am nearly flat on equities and fixed income but a few remaining grain positions (all long) are hitting me hard today, along with a loss in one remaining natgas contract.

 

Currently at -1.9% for today, which is nothing unusual.

For me it's cotton (after being a good boy for such a long time) and gasoline that are hurting me the most.
Interestingly, of the better performers at the moment are two shorts: cocoa and EUR/USD.

 

This thread now reminds me of something else:

"Hi my names Steve"
[Everyone] "Hi Steve"
"Well I've been sober, I mean succesfully targeting risk, for 5 years straight now, but ...."
[Moderator] "Go on Steve. We're all in the same boat here."
"OK <chokes> Well: I lost 10% on Friday <breaks down into tears>"
[Moderator] "It's okay Steve <pats back> How many standard deviations was that?"
"About six <completely breaks down and starts sobbing> .... I just don't believe in the Gaussian distribution anymore <wails, cries and puts head in hands>"
[Moderator] "Thanks for sharing Steve. Who wants to go next?"

GAT

 

Well, it's better than hitting the bottle, but the day isn't over yet.

 

You can say that again... today's p&l is now -3.5%...

GAT

 

AHL MTD figures COB yesterday were around -5 to -6%

Roughly what I'd expect given their vol target.

GAT