Fully automated futures trading

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

  1. The signal there isn't the forecast, but the forecast multiplied by the instrument weights, IDM, and a scalar related to how much capital is at risk. Notice how each multi signal unit is worth around £710 of annualised risk, in fact it's exactly $1000 (for reasons lost in the mists of time I scale my system to a dollar risk amount, which is calculated from my £ account value)

    I agree this isn't very intuitive and it's something I'll be changing in due course.

    GAT
     
    #321     Mar 26, 2016
  2. Alex27

    Alex27

    Are you submitting limit orders on entry / exit with a timer to get filled?

    or market orders?

    Keep up the good progress!
     
    #322     Mar 28, 2016
  3. #323     Mar 29, 2016
    Alex27 likes this.
  4. #324     Apr 1, 2016
  5. Monthly review (last one was March 5th)

    [​IMG]
    [​IMG]
    P&L period: 5.0%

    P&L to date: 98.1%

    Drawdown: 3.5%

    Almost recovered from the rather sharp drawdown that took me off my HWM set at the end of February. Interesting to see that I'm starting to build long positions in stocks again (and short vol, which amounts to the same risk-on trade). Generally though risk remains low as new trends aren't properly established in most assets.

    The number for my second full year of trading is 41% (57% in the first year, assuming current risk exposure). I'll be doing a full blog post analysing the full year in more detail, but again this is higher than I'd have expected from my back test.

    According to fundseeder my sharpe ratio is around 1.85 to date; relative to around 0.88 in back test.

    My back test is conservative, for several reasons, but the main one is that I have much fewer instruments in the past than I do now. Against this one should weigh the usual risk of overfitting (no matter how careful I've been) and the likelihood of lower returns in all assets than in the past, which will impact also on trading systems.


    Winners:

    Edollar 5.2K
    Crude 4.8K
    BTP 3.8K
    Soybean 2.1K

    Losers:

    Gas -5.2K
    Wheat -3.3K
    Leanhog -2.3K
    AEX -2.5K
    AUD -2.5K

    Once again diversification within sectors is important (gas / crude, soy / wheat).

    Positions
    Code:
           code contractid  positions   Lock WrongContract InFwdNotRoll
    5       AUD     201606          1  False         False        False
    4      BOBL     201606          3  False         False        False
    17      BTP     201606          3  False         False        False
    12     BUND     201606          1  False         False        False
    0      CORN     201612         -6  False         False        False
    8   CRUDE_W     201612         -2  False         False        False
    2   EDOLLAR     201906          9  False         False        False
    3   EDOLLAR     201909          3  False         False        False
    22  EUROSTX     201606        -13  False         False        False  (hedge)
    13   GAS_US     201606         -3  False         False        False
    16     KR10     201606          3  False         False        False
    14      KR3     201606          9  False         False        False
    15  LEANHOG     201606          1  False         False        False
    19  LIVECOW     201610         -1  False         False        False
    20   NASDAQ     201606          1  False         False        False
    7       OAT     201606          2  False         False        False
    21  SOYBEAN     201611          2  False         False        False
    1     SP500     201606          1  False         False        False
    10     US10     201606          1  False         False        False
    23      US2     201606          1  False         False        False
    9       US5     201606          1  False         False        False
    18      V2X     201605         -1  False         False        False
    11      VIX     201606         -1  False         False        False
    6     WHEAT     201612         -4  False         False        False
    

    Risk
    Code:
           code  multisignal  expected_annual_risk  expected_annual_risk_per_contract  position  expected_annual_risk_rounded_pos
    16      V2X         -2.0                  1384                                789        -1                               789
    2   LIVECOW         -6.0                  4241                               4859        -1                              4859
    17      VIX         -6.0                  4211                               6146        -1                              6146
    0      CORN        -18.8                 13161                               2256        -5                             11281
    4     WHEAT        -15.6                 10912                               2834        -4                             11334
    35   GAS_US        -24.7                 17284                               5585        -3                             16756
    34  CRUDE_W        -33.4                 23432                               9962        -2                             19925
    13      US2          4.2                  2919                               1840         1                              1840
    15      US5          4.9                  3419                               2684         1                              2684
    1   LEANHOG          6.0                  4181                               3653         1                              3653
    12     US10          3.8                  2645                               4188         1                              4188
    7      BOBL          8.7                  6068                               1938         3                              5814
    6       KR3          8.8                  6182                                650         9                              5847
    9      BUND         12.1                  8477                               5903         1                              5903
    24      AUD          9.8                  6883                               6771         1                              6771
    5      KR10         11.7                  8192                               2585         3                              7755
    23    SP500          9.4                  6599                               8808         1                              8808
    22   NASDAQ          7.0                  4881                               9254         1                              9254
    3   SOYBEAN         11.7                  8216                               2995         4                             11981
    10      OAT         17.7                 12408                               6382         2                             12764
    36  EDOLLAR         27.4                 19176                               1527        12                             18318
    8       BTP         24.6                 17226                               6927         3                             20780
    

    Trades
    Code:
     code contractid filled_datetime filledtrade filledprice
    9124 AEX 201604 2016-03-21 10:09:48 1 445.500000
    9157 AEX 201604 2016-03-29 11:01:35 -1 438.450000
    9169 AEX 201604 2016-03-30 07:27:54 1 442.000000
    9223 AEX 201604 2016-04-01 07:18:42 -1 433.350000
    8962 AUD 201603 2016-03-11 06:30:04 -2 0.745200
    8965 AUD 201606 2016-03-11 06:30:04 2 0.742100
    8968 AUD 201606 2016-03-11 06:36:52 -2 0.746800
    9013 AUD 201606 2016-03-14 01:00:04 2 0.754300
    9091 AUD 201606 2016-03-16 13:03:06 -1 0.740100
    9100 AUD 201606 2016-03-17 02:25:18 1 0.756800
    9142 AUD 201606 2016-03-24 07:53:24 -1 0.745600
    9172 AUD 201606 2016-03-30 08:35:10 1 0.764800
    9781 AUD 201606 2016-04-05 10:15:55 -1 0.753900
    8971 BOBL 201606 2016-03-11 07:52:20 -1 130.670000
    9241 BOBL 201606 2016-04-01 11:58:07 1 131.150000
    8974 BTP 201606 2016-03-11 07:54:08 -1 139.050000
    9187 BTP 201606 2016-03-31 07:49:11 1 140.610000
    9031 BUND 201606 2016-03-14 07:33:07 -1 161.720000
    9109 BUND 201606 2016-03-18 07:49:34 1 162.780000
    9040 CAC 201604 2016-03-14 12:05:09 1 4506.000000
    9148 CAC 201604 2016-03-24 13:16:30 -1 4324.000000
    9133 CORN 201612 2016-03-22 14:02:08 1 388.250000
    9205 CORN 201612 2016-03-31 17:05:37 1 373.250000
    9208 CORN 201612 2016-03-31 18:06:57 2 368.000000
    9793 CORN 201612 2016-04-06 14:30:00 -1 369.750000
    9004 CRUDE_W 201612 2016-03-11 18:12:59 1 43.660000
    9193 CRUDE_W 201612 2016-03-31 11:47:31 -1 42.920000
    8986 EDOLLAR 201906 2016-03-11 12:07:11 -1 98.335000
    9097 EDOLLAR 201906 2016-03-16 19:40:06 -1 98.370000
    9238 EDOLLAR 201909 2016-04-01 11:25:39 1 98.490000
    9784 EDOLLAR 201909 2016-04-05 13:22:24 1 98.555000
    8929 EUR 201603 2016-03-11 00:58:32 1 1.118750
    9034 EUROSTX 201603 2016-03-14 09:06:40 13 3099.000000
    9037 EUROSTX 201606 2016-03-14 09:06:40 -13 3021.000000
    9112 GAS_US 201605 2016-03-18 13:02:33 1 2.009000
    9145 GAS_US 201606 2016-03-24 13:02:07 -1 1.978000
    9160 GAS_US 201605 2016-03-29 11:41:39 3 1.939000
    9163 GAS_US 201606 2016-03-29 11:41:39 -3 2.051000
    9175 GAS_US 201606 2016-03-30 11:34:13 1 2.104000
    9199 GAS_US 201606 2016-03-31 13:51:16 1 2.126000
    9244 GAS_US 201606 2016-04-01 14:53:20 -1 2.035000
    9118 GBP 201606 2016-03-21 02:11:25 1 1.445200
    9130 GBP 201606 2016-03-22 13:11:03 -1 1.424200
    8926 GOLD 201606 2016-03-10 13:12:49 -1 1249.000000
    8950 KR10 201603 2016-03-11 02:30:09 -1 128.270000
    9016 KR10 201606 2016-03-14 01:01:32 2 127.810000
    9019 KR10 201606 2016-03-14 01:03:21 2 127.790000
    9022 KR10 201606 2016-03-14 01:06:56 2 127.780000
    9025 KR10 201606 2016-03-14 01:08:32 2 127.780000
    9028 KR10 201603 2016-03-14 01:09:33 -2 127.810000
    9055 KR10 201606 2016-03-15 00:59:19 -3 127.870000
    9079 KR10 201606 2016-03-16 01:02:05 -3 127.900000
    9220 KR10 201606 2016-04-01 01:48:08 1 129.280000
    8959 KR3 201603 2016-03-11 03:35:33 -1 109.980000
    9010 KR3 201603 2016-03-14 00:59:06 -8 109.930000
    9058 KR3 201606 2016-03-15 01:02:41 5 110.050000
    9082 KR3 201606 2016-03-16 01:08:57 1 109.980000
    9139 KR3 201606 2016-03-24 03:06:20 1 110.200000
    9217 KR3 201606 2016-04-01 01:34:10 1 110.360000
    9775 KR3 201606 2016-04-05 02:56:45 1 110.410000
    9043 LEANHOG 201606 2016-03-14 17:03:59 1 82.900000
    9151 LEANHOG 201606 2016-03-28 14:30:00 -1 80.575000
    9787 LEANHOG 201606 2016-04-05 14:33:17 -1 79.350000
    8932 MXP 201603 2016-03-11 01:31:57 1 0.056000
    8935 MXP 201606 2016-03-11 01:31:57 -1 0.055580
    9106 MXP 201606 2016-03-18 03:05:06 1 0.057250
    9184 NASDAQ 201606 2016-03-30 16:46:10 1 4479.000000
    8977 OAT 201606 2016-03-11 07:56:22 -1 156.080000
    9121 OAT 201606 2016-03-21 07:33:31 1 157.130000
    9190 OAT 201606 2016-03-31 08:54:24 1 158.430000
    8989 SOYBEAN 201611 2016-03-11 12:00:55 1 906.000000
    8995 SOYBEAN 201611 2016-03-11 13:11:20 1 905.000000
    9052 SOYBEAN 201611 2016-03-14 17:16:06 1 906.500000
    9115 SOYBEAN 201611 2016-03-18 13:31:07 1 912.750000
    9136 SOYBEAN 201611 2016-03-22 15:44:25 1 923.250000
    9178 SOYBEAN 201611 2016-03-30 11:49:37 1 929.250000
    9196 SOYBEAN 201611 2016-03-31 11:56:19 -1 922.750000
    9790 SOYBEAN 201611 2016-04-06 12:07:26 -2 918.500000
    9094 SP500 201606 2016-03-16 14:03:17 1 2006.250000
    8998 US10 201606 2016-03-11 13:58:01 -1 128.562500
    9514 US10 201606 2016-04-04 14:25:51 1 130.453125
    9103 US2 201606 2016-03-17 14:19:44 -1 109.039062
    9001 US5 201606 2016-03-11 13:58:54 -1 119.710938
    9166 US5 201606 2016-03-29 17:00:41 1 120.468750
    8923 V2X 201604 2016-03-10 12:55:13 -1 26.100000
    8980 V2X 201604 2016-03-11 09:16:09 -3 27.150000
    8983 V2X 201605 2016-03-11 09:16:09 3 26.950000
    9088 V2X 201605 2016-03-16 13:11:01 -1 26.400000
    9127 V2X 201605 2016-03-22 08:55:41 -1 25.600000
    9154 V2X 201605 2016-03-29 08:06:35 -1 25.500000
    9226 V2X 201605 2016-04-01 08:20:36 -1 26.200000
    9778 VIX 201606 2016-04-05 10:19:26 -1 18.850000
    8992 WHEAT 201612 2016-03-11 12:02:34 1 505.750000
    9064 WHEAT 201612 2016-03-15 13:30:00 1 506.250000
    9181 WHEAT 201612 2016-03-30 15:09:28 1 499.500000
    Expected slippage £502
    Actual £73. A good result

    GAT
     
    #325     Apr 7, 2016
  6. jj1111

    jj1111

    i've brought it up before, it seems that your results are consistently better than expected, which to me feels like you've embedded quite a bit of conservatism in your system, which portends that you could maybe be more aggressive/are missing out on trades, extra performance?

    and again, i'm having trouble articulating where this conservatism might exist (i bought and read your book and "everything makes sense").

    anyway, kudos. really, really neat to see you crank them out over the center field fence time and time again.
     
    #326     Apr 7, 2016
  7. As discussed earlier in the thread I don't "miss out on trades".

    I think the main conservatism is definitely coming from the lack of diversification earlier in the sample.

    So right now for example I expect to get roughly 2.5 times the performance I'd get from a single instrument. For most of the backtest though I average around 10 instruments, which implies diversification benefit of 1.7 times an individual instrument. If I assume that the historic sharpe ratio of 0.9 is valid for 10 instruments, then for what I've got now I should expect a SR of 1.3 going forward.

    Ultimately though it's worth remembering that there is a HUGE amount of noise around even year on year returns, and there's a chance (a remote one now) that my true Sharpe is zero (assuming of course that trading system returns are coming from a latent, unchanging distribution).

    GAT
     
    #327     Apr 7, 2016
  8. One more thing to add; this year about 1/2 of my performance came from my equity neutral strategy which isn't backtested. Stripping that out I made around 20% this year; still good, but more in line with expectations.

    GAT
     
    #328     Apr 7, 2016
  9. #329     Apr 7, 2016
  10. Hi GAT,
    Great post. Your posts to date have focused on your futures portfolio, yet your equity portfolio seems to be significantly contributing to your returns. Can you offer more insight into your equity portfolio? Does it have a value/momentum/etc bias? What sort of strategy is it and how does it work?
    Thanks!
     
    #330     Apr 7, 2016