Fully automated futures trading

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

  1. isotope1

    isotope1

    Hi Rob,

    Great talk last night! Would love to see that as a blog post so I can go over it in detail!

    Thank you for all of this, I've learnt so much from you.
     
    #341     Apr 20, 2016
  2. Thanks glad you enjoyed. Please let me have the link when you have it (I'm assuming you are something to do with the MTA?!).

    GAT
     
    #342     Apr 21, 2016
  3. just21

    just21

    There is a link to your 2nd March presentation up but not your recent talk. I am not anything to do with the MTA.

    https://www.mta.org/video/systematic-trading/
     
    #343     Apr 21, 2016
  4. #344     Apr 23, 2016
  5. isotope1

    isotope1

    Hi Rob,

    I've decided to try building your system from the ground up, as I figured this would be a good exercise to understand it properly.

    I've been using your book/blog, and I'm stuck on the forecast weights. I've calculated the individual EWMAC forecasts, scaled them to have a mean forecast of +/-10, and clipped them to +/-20. Now I'm trying to combine them with a weighted average, but I can't figure out the weights.

    I'm guessing I want to downweight highly correlated forecasts and upweight uncorrelated ones.

    What I can't tell here is if I'm supposed to do a calculation with the correlation matrix, or use bootstrapping in order to get the weights to combine the forecasts?

    (I've attached a PDF of my ipython notebook as ET won't let me upload it directly).

    Thanks!
     
    #345     Apr 25, 2016
  6. I think there is some confusion here. You can eithier do a single period optimisation or bootstrap. In both cases you get some data and calculate a correlation matrix (and optionally some expected returns although I don't bother) from which you work out the optimal weights. The difference is with bootstrapping is that you take sub samples and work out the weights on each of those before taking an average; with single period you do the whole thing just once.

    http://qoppac.blogspot.co.uk/2015/10/a-little-demonstration-of-portfolio.html

    GAT
     
    #346     Apr 25, 2016
  7. Hi, just wondering if anyone has a link to the video? I have the presentation, but it is a little difficult to intrepret without the video/GAT's explanations. Thanks
     
    #347     Apr 29, 2016
  8. Hi GAT,

    Do you vol standardise your breakout rule?
     
    #348     May 3, 2016
  9. No, the standardisation by the range of the price is good enough.

    GAT
     
    #349     May 3, 2016
    AvantGarde likes this.
  10. isotope1

    isotope1

    I'm up to bootstrapping trading rules on single instruments with rolling windows.

    I've been writing my code from scratch to better understand it, only looking at pysystemtrade for clues.

    I have one problem. I wrote my accountCurve using a walk-forward backtester. It's extremely slow, so even a simple bootstrap with limited scope takes several hours, despite having multithreaded the optimisations.

    I noticed in your code that you use a vectorised implementation based on statistics, but I'm struggling to understand why it works. Would you mind explaining it, as if I were five years old?

    Thanks a million! :)
     
    #350     May 5, 2016