Fully automated futures trading

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

  1. Yes,i know.I have a similar DD for about 4 years of data.2011 - 2015.Is it too small too?
    #491     Sep 6, 2016
  2. What exactly are you looking for out of this conversation? Do you want affirmation that this is a good strategy? Is this something you've been trading yourself? Is it a backtest, or with real money?

    To use an analogy I feel like you've emailed me [a total stranger] a picture of a car, with no other information, and asked me what I think of the car. I don't know if you want to buy the car (in which case I'd need a lot more information before I felt able to give you any decent advice) or you just want me to pat you on the back and say "great car" (which isn't something I'd do anyway).

    #492     Sep 6, 2016
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  3. I see....blah-blah-blah....goodbye!
    #493     Sep 6, 2016
  4. itb


    Looking at your latest and previous profit accounts, it looks to me the gains in your Stock futures plus hedge position were a significant part of your overall profits and to a large part driven by GBP weakness in the last 2 years (do correct me if any of this is not right). Doesn`t that mean you are running too much "uncontrolled" risk via GBP exposure if indeed the profits of your hedged equities are a significant part of your overall portfolio? I suspect by design you expect to make almost all of your money from the automated futures system, right?


    #494     Sep 6, 2016
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  5. He`s gambling against his stop losses.That`s what he does,i think.
    #495     Sep 6, 2016
  6. There is some truth to that. In year one, I made 57% (using my preferred measure of performance) of which -2% was in stocks plus hedges. In year two, I made 40% of which 16% was in stocks plus hedges. So that's 97% in total, of which 14% was in stocks plus hedges. I don't know if that proportion is significant.

    In that period EURGBP actually moved against me slightly, so the returns came more from relative stock betting than currency.

    (see http://qoppac.blogspot.co.uk/2015/04/futures-trading-performance-year-one.html and http://qoppac.blogspot.co.uk/2016_04_01_archive.html).

    It's true that ideally I'd get no p&l from the non futures part, but there isn't much I can do about that (its not like I think my hedge ratio is way off). If I sold my stock to fund this account entirely with cash I'd get hit with a massive tax bill.

    I'd say that looking at the numbers the returns imply that about one seventh of my active risk is coming from the non futures part of my portfolio. I don't view that as significant.

    #496     Sep 6, 2016
  7. Out of interest I just checked the p&l for the current (incomplete) year. I made about 9.5% of my notional capital in stocks + hedges (of which maybe 3% was currency related, the rest prices), and lost about 5% in my futures account. So over the full period I'm up to a profit of about 101% of which about a quarter is coming from the stocks and hedges.

    #497     Sep 6, 2016
  8. I can assure you I'm not (I don't even know what that means, and I don't use formal stop losses).

    Sorry I've obviously upset you, I was really trying to help, but I couldn't work out what help you were looking for.

    #498     Sep 6, 2016
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  9. itb


    Thanks for the precise reply! A quarter looks a bit too much to me (imagine if it was - 25% rather than +...), but I understand you need to consider taxes as well.

    #499     Sep 6, 2016
  10. tradrjoe


    Interestingly, in backtest, the skew on the daily returns of the trend following strategy is negative, while the skew on monthly returns are positive. Do you see similar results on your trading? Why would this be the case?
    #500     Sep 6, 2016
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