Fully automated futures trading

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

  1. isotope1


    One more question.

    Why own the futures contracts in favour of spread bets on the underlying?

    Advantages as I see them: No rolling necessary, lower block size, simpler API (IG), CGT.
    #361     May 10, 2016
  2. I'm not sure I agree with the API comment, but that's opinion. Lower block size is the main advantage of spread bets.

    Disadvantages - much higher costs, OTC with all that represents

    You need to roll quarterly bets; daily bets are very expensive spreadwise.

    #362     May 10, 2016

  3. Hi GAT, I have included your breakout rule with several parameters ranging from 20 to 320 in pysystemtrade as well as ewmac (parameters from 2 to 256) and carry, and applied the optimization process to these.

    I have used the same sample set of instruments as you include with pysystemtrade. For curiosity, I grouped all breakout and ewmac rules together and mapped out their equity curves to compare with what you produced in the post above.

    I am concerned that my breakout system and ewmac system are very highly correlated (see attached graph below), where as yours do not seem to be correlated. Have you adjusted any other parameters around your breakout strategy / do you have any insight as to why my ewmac and breakout curves move very close to one another?


    #363     May 12, 2016
  4. I agree that looks wrong. If I was to guess, perhaps the forecast and instrument weights that have come out are creating the high correlation?

    If it's any help I'm going to do some coding for psystemtrade in the next week or so, and one of the things I'll include will be the breakout rule.

    #364     May 12, 2016
  5. #365     May 12, 2016
  6. isotope1


    Hi GAT,

    So I'm up to bootstrapping weights on single instruments now, using an expanding window, looking at Corn using EWMAC.

    I'm concerned the weights never really seem to stabilise:

    (legend is LFast).

    For reference I've plotted the price series here:
    download (1).png

    I've taken slippage of 0.25/380 + $2.80 in fees for every contract traded.

    Does this look right? Would you feel comfortable trading this? (I'm beginning to wonder if my implementation is sound).

    Last edited: May 13, 2016
    #366     May 13, 2016
  7. No doesn't look right at all. All the money going into a pair that I wouldn't include at all would terrify me. Have you got the account curves of the individual rules just on corn? What do they look like before and after costs?

    #367     May 13, 2016
  8. isotope1


    Yes. Returns are in $ based on annual volatility target of $25000.

    download (2).png
    #368     May 13, 2016
  9. Looks wrong. Curves are way too smooth (not enough standard deviation)

    #369     May 13, 2016
  10. isotope1


    (And without costs): download (3).png
    Thanks, duly noted! I will go back and check everything.

    Thank you!
    #370     May 13, 2016