I experimented with this extensively and found it made no difference. If you are finding it is making a big difference, perhaps: Check you're calculating the volatility of daily returns, not the volatility of price. Check you've shifted your returns vector backwards a day before you calculate today's volatility, otherwise you introduce lookahead bias, which will be inversely proportional to the lookback time. To be honest any time I found something that 'didn't make sense', I just had to go through my code very carefully, and I would almost always find a mistake somewhere. If you have a Sharpe ratio of 0.8 for a single instrument over 30+ years, that's too high- something's wrong. 0.3 is more likely.
Two month report Overall the trend is up... but bumpy. A new HWM was set in early August. Since inception P&L period: 5.9% P&L to date: 101.5% Drawdown (new HWM): 6.1% Generally trend following CTA's did badly in August (see here); I was slightly up in my traditional futures portfolio and made pretty much all my money in the stocks + hedge portfolio. A lot of positions lost money across the board with only a few winners netting them out. P&L: Stock futures plus hedge: +22K Wheat: +8.8K Nasdaq: +2.3K Palladium +2.2K Soybean: -8.8K Eurodollar: -4.7K Gas: -4.6K Gold: -4.0K Hogs: -3K KR10: -2.8K KR3: -2.7K Oat: -2.4K Positions Code: code contractid positions Lock WrongContract InFwdNotRoll 4 AEX 201609 1 False False False 21 BOBL 201609 3 False False False 9 BTP 201609 1 False False False 6 BUND 201609 1 False False False 18 CAC 201609 1 False False False 16 COPPER 201612 -1 False False False 2 CORN 201612 -4 False False False 5 EDOLLAR 201909 9 False False False 11 EUROSTX 201609 -9 False False False (equity hedge) 8 GOLD 201612 -1 False False False 10 KR10 201609 1 False False False 14 KR3 201609 10 False False False 0 LEANHOG 201706 1 False False False 20 MXP 201609 1 False False False 15 NZD 201609 2 False False False 1 OAT 201609 2 False False False 19 SOYBEAN 201611 -2 False False False 17 US10 201612 1 False False False 3 US2 201612 2 False False False 13 V2X 201610 -10 False False False 12 VIX 201610 -3 False False False 7 WHEAT 201612 -5 False False False Risk Code: code multisignal expected_annual_risk expected_annual_risk_per_contract position expected_annual_risk_rounded_pos 28 MXP 0.9 683 2447 1 2447 13 US2 4.6 3465 1503 2 3005 1 LEANHOG 4.3 3236 3570 1 3570 12 US10 3.8 2871 4399 1 4399 5 KR10 5.2 3993 2598 2 5195 7 BOBL 7.5 5701 1848 3 5543 6 KR3 7.6 5785 587 10 5866 20 CAC 4.6 3496 5961 1 5961 9 BUND 8.3 6336 6368 1 6368 23 SP500 2.4 1848 7214 1 7214 10 OAT 12.9 9833 5272 2 10544 19 AEX 9.7 7360 10665 1 10665 8 BTP 11.5 8759 5578 2 11155 29 NZD 13.8 10487 5852 2 11704 36 EDOLLAR 15.7 11968 1448 9 13034 16 V2X -12.3 9344 885 -10 8847 31 GOLD -13.9 10539 11810 -1 11810 0 CORN -15.7 11974 2963 -4 11851 17 VIX -19.4 14754 4699 -3 14096 4 WHEAT -25.9 19673 3773 -5 18865 3 SOYBEAN -25.0 19033 9643 -2 19285 Running at about 80% of average risk... similar level as it's been for a while. Trades Code: code contractid filled_datetime filledtrade filledprice 12550 AEX 201608 2016-08-10 12:59:07 1 451.550000 12643 AEX 201609 2016-08-17 14:15:38 1 447.350000 12652 AEX 201609 2016-08-17 14:29:07 1 447.400000 12655 AEX 201608 2016-08-17 14:41:12 -1 446.850000 12670 AEX 201609 2016-08-18 08:01:49 -1 450.350000 12736 AEX 201609 2016-08-26 08:37:42 -1 448.600000 12769 AEX 201609 2016-08-30 08:04:56 1 453.800000 12544 AUD 201609 2016-08-09 13:30:06 1 0.764700 12682 AUD 201609 2016-08-22 07:13:08 -1 0.758900 12745 AUD 201609 2016-08-29 02:47:38 -1 0.753400 12526 BOBL 201609 2016-08-04 13:27:30 1 133.570000 12565 BTP 201609 2016-08-11 22:27:00 1 144.820000 12580 BTP 201609 2016-08-12 13:22:34 1 145.990000 12748 BTP 201609 2016-08-29 07:36:12 -1 145.250000 12766 BTP 201609 2016-08-30 07:47:35 1 145.650000 12790 BTP 201609 2016-09-01 07:51:08 -1 145.380000 12805 BTP 201609 2016-09-02 07:50:34 -1 144.940000 12568 CAC 201609 2016-08-11 22:29:54 1 4460.000000 12571 CAC 201608 2016-08-11 22:34:51 1 4460.000000 12574 CAC 201609 2016-08-11 22:35:53 -1 4460.000000 12649 CAC 201609 2016-08-17 14:16:49 1 4430.500000 12664 CAC 201608 2016-08-17 17:01:02 -1 4430.500000 12685 CAC 201609 2016-08-22 13:11:59 -1 4386.500000 12772 CAC 201609 2016-08-30 09:08:39 1 4468.500000 12811 COPPER 201612 2016-09-02 18:10:51 -1 2.078500 12592 CORN 201612 2016-08-12 14:36:45 -1 332.000000 12763 CORN 201612 2016-08-29 15:27:53 -1 322.250000 12616 CRUDE_W 201612 2016-08-15 12:43:22 1 46.550000 12541 EDOLLAR 201906 2016-08-08 16:44:22 -1 98.720000 12589 EDOLLAR 201906 2016-08-12 14:05:29 -1 98.820000 12535 GAS_US 201610 2016-08-08 12:25:13 1 2.766000 12553 GAS_US 201610 2016-08-10 13:12:15 -1 2.687000 12577 GAS_US 201611 2016-08-12 13:16:48 -1 2.808000 12724 GAS_US 201610 2016-08-24 13:05:10 1 2.786000 12730 GAS_US 201611 2016-08-25 16:03:43 1 3.001000 12595 GBP 201609 2016-08-15 01:05:03 -1 1.291700 12637 GBP 201609 2016-08-17 02:04:21 1 1.305500 12775 GOLD 201612 2016-08-30 19:20:22 -1 1315.800000 12781 GOLD 201612 2016-08-31 12:07:43 -1 1317.400000 12784 GOLD 201612 2016-08-31 12:16:33 1 1316.400000 12625 KOSPI 201609 2016-08-16 01:36:26 1 258.100000 12733 KOSPI 201609 2016-08-26 05:12:03 -1 256.600000 12634 KR10 201609 2016-08-17 01:42:25 -1 133.260000 12802 KR10 201609 2016-09-02 02:43:52 -1 132.020000 12715 KR3 201609 2016-08-24 05:28:52 1 111.070000 12667 MXP 201609 2016-08-18 12:16:56 1 0.055130 12676 MXP 201609 2016-08-18 12:31:10 -1 0.055140 12619 NASDAQ 201609 2016-08-15 14:05:59 1 4812.250000 12661 NASDAQ 201609 2016-08-17 16:09:56 -1 4783.750000 12799 NASDAQ 201609 2016-09-01 15:01:12 -1 4775.000000 12688 NZD 201609 2016-08-22 15:13:14 1 0.726800 12547 OAT 201609 2016-08-10 12:54:09 1 161.880000 12640 OAT 201609 2016-08-17 14:11:41 -1 161.100000 12751 PALLAD 201609 2016-08-29 12:05:11 -1 686.850000 12754 PALLAD 201612 2016-08-29 12:05:11 1 688.300000 12778 PALLAD 201612 2016-08-31 12:01:13 -1 684.400000 12586 PLAT 201610 2016-08-12 13:39:25 -1 1156.000000 12727 PLAT 201610 2016-08-24 15:51:47 -1 1083.400000 12562 SMI 201609 2016-08-11 22:23:21 1 8260.000000 12658 SMI 201609 2016-08-17 16:08:54 -1 8142.000000 12631 SOYBEAN 201611 2016-08-16 13:41:46 1 1012.500000 12757 SOYBEAN 201611 2016-08-29 12:45:34 -1 962.750000 12787 SOYBEAN 201611 2016-08-31 18:45:23 -1 944.500000 12808 SP500 201609 2016-09-02 14:04:40 -1 2175.000000 12694 US10 201609 2016-08-23 14:04:11 -1 132.218750 12697 US10 201612 2016-08-23 14:04:11 1 131.234375 12700 US2 201609 2016-08-23 14:04:56 -2 109.312500 12703 US2 201612 2016-08-23 14:04:56 2 109.242188 12706 US5 201609 2016-08-23 14:05:56 -1 121.492188 12709 US5 201612 2016-08-23 14:05:56 1 121.500000 12760 US5 201612 2016-08-29 14:23:20 -1 121.046875 12538 V2X 201609 2016-08-08 13:22:15 -1 22.250000 12583 V2X 201610 2016-08-12 13:26:22 -1 23.250000 12598 V2X 201609 2016-08-15 08:04:25 1 21.850000 12601 V2X 201610 2016-08-15 08:04:25 -1 23.100000 12604 V2X 201609 2016-08-15 08:24:00 3 21.550000 12607 V2X 201610 2016-08-15 08:24:00 -3 23.250000 12628 V2X 201610 2016-08-16 08:18:29 -1 23.600000 12679 V2X 201610 2016-08-19 08:29:10 -1 24.200000 12721 V2X 201610 2016-08-24 09:44:00 -1 24.050000 12796 V2X 201610 2016-09-01 08:45:57 -1 23.600000 12610 VIX 201609 2016-08-15 10:03:38 2 14.780000 12613 VIX 201610 2016-08-15 10:03:38 -2 16.480000 12691 VIX 201610 2016-08-23 10:05:52 -1 16.650000 12622 WHEAT 201612 2016-08-15 18:06:54 -1 437.750000 12739 WHEAT 201612 2016-08-26 14:45:38 -1 421.500000 12742 WHEAT 201612 2016-08-26 19:07:00 1 406.250000 Expected slippage: £358 Actual: £344 A very small saving this month. One trade 12775 (Gold) cost me £116 in slippage. Any trading algo is a negative skew strategy; lots of small profits when it gets filled passively; big losses when the market runs away from it. I've started rolling and this will continue over the next few weeks. GAT
Hi GAT, I guess you trade most of your futures on CME, are there any other exchanges you use? Thanks, itb
Yes CME GLOBEX and "across the street" at CBOE, CBOT; also NYMEX.In Europe DTB, MONEP, FTA, SOFFEX. In Asia KSE.
Some thoughts on risk management http://qoppac.blogspot.co.uk/2016/09/systematic-risk-management.html
Fully automated futures trading. If the OP wouldn`t mind some stats attached.Would love to hear some expert opinion.
I can't see any stats, just pictures? The account is from a few years ago. Is this your account, or a system you're hoping to invest in? Just trying to understand what feedback you want, and why. GAT
It`s a system,fully automated.Pictures you see are Cumulative profit and Draw Down.Feedback?Do you think DD is too big?