Fully automated futures trading

Interesting to see the difference in timing. My account had a clear peak on February 24th. The horizontal time scale starts at February 1st, and ends March 2nd (at time of posting).

 

So yesterdays final number was +5.5%

So far this morning, +3.5%

Rob

 

YTD P&L. Up to now, so includes this morning

Look at the sector attribution. If I was only trading financials (some CTAs do!) I would be down ~10%

Code:

Total p&l is 20.820%

====================================
P&L by instrument for all strategies
====================================

           codes  pandl
0            AEX   -1.8
1            VIX   -0.7
2       EU-DIV30   -0.5
3            DOW   -0.5
4           BUND   -0.4
5            V2X   -0.4
6    SP500_micro   -0.3
7   NASDAQ_micro   -0.3
8    GAS_US_mini   -0.2
9            CAD   -0.1
10           BTP   -0.1
11           INR   -0.1
12       RUSSELL   -0.1
13           MXP   -0.1
14           CAC   -0.1
15       EUROSTX   -0.0
16           JPY   -0.0
17           GBP   -0.0
18           OAT   -0.0
19       BITCOIN    0.0
20           DAX    0.0
21       EURO600    0.0
22          KR10    0.1
23        KOSDAQ    0.1
24         MUMMY    0.2
25       LEANHOG    0.2
26       EU-AUTO    0.2
27    GOLD_micro    0.3
28        COPPER    0.6
29      EU-BASIC    0.7
30          IRON    0.7
31        SOYOIL    1.0
32          CORN    1.2
33       SOYBEAN    1.7
34  CRUDE_W_mini    2.5
35    BRENT-LAST    3.1
36     GASOILINE    3.8
37       HEATOIL    6.7

Total futures p&l is 17.500%
Residual p&l is 3.319%

==========================
     P&L by strategy     
==========================

              codes  pandl
0  dynamic_TF_carry  15.92
0          residual   4.90


==================
P&L by asset class
==================

    codes  pandl
0  Equity  -3.23
1     Vol  -1.05
2    Bond  -0.46
3      FX  -0.24
4  Sector   0.85
5  Metals   1.59
6     Ags   4.11
7  OilGas  15.92


********************************************************************************
                                 END OF REPORT                                 
********************************************************************************

 

Hats off, this is heroic compared to my anemic performance so far this year, which is ~ +4%. I have experienced some incredible up days (+7%) and down days fully cancelling those up days and more. The volatility has of course been emotionally draining, and served only to compound the news inflicted misery.

I have been scratching my head to understand out how you have managed to create this steady upward path despite the incredible volatility. I am guessing DO is the thing.

 

Just face it guys, I'm a flipping genius. Subscribe to my youtube channel now to find out my secrets.

Rob

PS I'm just a *very* lucky person...

 

Dang. I thought my +20.4% YTD was good.

 

That 0.4% extra is my massive alpha.

Rob

 

Or maybe it's massive beta! (Actually, based on our FS pages, I take more risk than you do.)

 

Yes, finally seeing this skew I've also heard so much about. Up more the last three days than I was all last year (and I had a good year last year).

 

great stuff

I'm looking at my prod and paper systems, both use DO, but I added ~15 new instruments including gasoline and heating oil only to paper so far, so PROD has only crude from that group and looks like it took all the allocation., In paper my biggest winner is heating oil, strangely gasoline had a position only briefly and then it was closed, but I think it's because heating oil and gasoline are big contracts and the system can't hold both even though I'm running paper at 500k USD..
So as as the result prod is only long crude and paper only Heating oil. I checked and currently all these things have 0.9 correlation (the raw value is even larger but I'm capping it to 0.9).. I'm up in general, but not hitting my HWM, neither in PROD nor in PAPER