Fully automated futures trading

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

  1. isotope1

    isotope1

    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.
     
    #481     Sep 2, 2016
    CannonTrading_Ilan likes this.
  2. Two month report

    Overall the trend is up... but bumpy. A new HWM was set in early August.

    [​IMG]
    Since inception
    [​IMG]
    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
     
    #482     Sep 4, 2016
  3. itb

    itb

    Hi GAT,

    I guess you trade most of your futures on CME, are there any other exchanges you use?

    Thanks,
    itb
     
    #483     Sep 5, 2016
  4. Yes CME GLOBEX and "across the street" at CBOE, CBOT; also NYMEX.In Europe DTB, MONEP, FTA, SOFFEX. In Asia KSE.
     
    #484     Sep 5, 2016
  5. vanzandt

    vanzandt

    "Fully automated futures trading"

    Yeah. Sign me up.
     
    #486     Sep 5, 2016
  6. Fully automated futures trading.

    If the OP wouldn`t mind some stats attached.Would love to hear some expert opinion.
     
    #487     Sep 6, 2016
  7. 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
     
    #488     Sep 6, 2016
  8. It`s a system,fully automated.Pictures you see are Cumulative profit and Draw Down.Feedback?Do you think DD is too big?
     
    #489     Sep 6, 2016
  9. It's a year of data. That is wholly insufficient to make any kind of meaningful judgement.

    GAT
     
    #490     Sep 6, 2016