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
Are you submitting limit orders on entry / exit with a timer to get filled? or market orders? Keep up the good progress!
I'm presenting to the MTA London chapter on 19th April https://www.mta.org/event/united-kingdom-chapter-meeting-featuring-robert-carver/?instance_id=3225 Non members welcome GAT PS: I am not a member of, and I don't endorse in any way, the MTA
Monthly review (last one was March 5th) 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
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.
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
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
Full analysis of last 12 months in this blog post http://qoppac.blogspot.co.uk/2016/04/futures-trading-performance-year-two.html
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!