Fully automated futures trading

Variable IDM


Doesn't make much difference after the first few years, since the IDM goes up to the maximum of 2.5 fairly quickly, but definitely much more even risk.

GAT

 

There is now a live vs backtest plot at the end of the blog post, for those who are curious.

GAT

 

About a third of the largest drawdown (in 2018/19) is caused by VIX; in particular VIX is short and gets smashed in early 2018.

I have a 5% allocation to VIX (and another to V2X), so reducing these would be an easy way of improving the skew/drawdown whilst of course hurting the SR.

Alternatively, a more sophisticated risk overlay might make sense, where I limit exposure to certain risk factors. I will look into this.

GAT

 

Thanks for that, tis interesting. I might try and highlight significant instrument rotations on the dynamic plot, now that I can! Thanks again for posting the full config for the blog post.

 

That would be very interesting to see. The long term Sharpe ratio will also be more meaningful when the volatility is kept at the same rate throughout the whole period.

I have done a correlation calculation on daily returns of my live results (from May 2021 to now) versus your backtest and got correlation at 0.64 (btw I outperformed, not that it matters within such a short period of time). Will do the same on weekly returns later.

I do my own personal mix of trend following and carry rules and don't use any of the mean reversion/relative value/short volatility stuff. 30 futures markets (I'd like to do more but currently am limited by the account size), heavier towards commodities, lighter towards bonds.

 

Interesting would like to earn that

 

Rob, since your system targets risk hourly, have you ever noticed any repeated rebalance trades on the same day? For example, in my paper trade account I implemented similar hourly risk target with rebalance and last week one MBT future was sold, next hour it was bought and then sold again. This is with 10% buffer on normalized position size. MBT normalized position size was around 12% of account size. Is it better to use some combination of buffer and annual SD or just enlarge buffer size to 15%?

 

Not any more. But yes before when it did very occasionally

GAT

 

Our you could put a maximum limit on the number of times an instrument trades. For example: an instrument can trade three times within a 24 hour window.

 

With the new backtest, the 1970s still have high volatility at about 45%, which is then gradually falling down and by the 1980 it's right on the target of 25% and continues to be around this value to this day.