Fully automated futures trading

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

  1. Ideally you'd trade forwards which always start on quarterly IMM dates. This is what they do in CTA land. Then you have something that looks almost exactly like a future (assuming you also cash settle the forwards on expiry).

    Last time I checked some spreadbetting firms offer something similar to this, although as usual the spreads are too wide for my taste.

    GAT
     
    #471     Aug 31, 2016
  2. Non equal instrument weights don't "offset" correlations exactly but I think I understand what you mean.

    On a portfolio like this where most of the correlations are pretty similar it wouldn't make much difference.

    GAT
     
    #472     Aug 31, 2016
  3. I see, thanks. What is the benefit to trading an OTC forward vs a listed future?
     
    #473     Aug 31, 2016
  4. Wider choice of currencies.

    GAT
     
    #474     Aug 31, 2016
    AvantGarde likes this.
  5. I see, this makes sense. You could still control the frequency you're trading at to keep costs in check, but obtain greater diversification.

    I was wondering, where do you source your Korean 3yr, 10yr and Kospi200 futures data from? I see none of this is available on Quandl...
     
    #475     Sep 1, 2016
  6. Interactive brokers

    GAT
     
    #476     Sep 1, 2016
  7. tradrjoe

    tradrjoe

    GAT, how do you calculate your individual instrument volatility forecasts (for risk targeting)? I've tried various timeframes for rolling stdev of daily returns, and I find that the results from my backtest are sensitive to how I calculate this volatility (sharpe could vary from 0.3-0.8 depending on how I measure the vola).
     
    #477     Sep 1, 2016
  8. Exponential weighting 25 day halflife
     
    #478     Sep 1, 2016
  9. tradrjoe

    tradrjoe

    How did you pick this value? Do you know why the results would be so sensitive to how long the lookback is?
     
    #479     Sep 1, 2016
  10. Same as riskmetrics (to be precise I use a=.054 where v_t=a*x_t + (1-a)*v_t-1 and x_t = r_t ^ 2)

    I'm very surprised the results are so sensitive. For lookbacks from 1 week up to around 20 weeks I found almost no difference in pre cost SR. Of course the faster lookbacks cost more to trade. For cheap futures using the default is fine. For expensive ETF's using a slower lookback makes sense, up to a point.

    If you're interested there is much much much more on this in chapter 12 of my book.

    GAT
     
    #480     Sep 1, 2016