Fully automated futures trading

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

  1. henner247


    hey, I'm wondering... the charts and performance data you are showing. Is that your whole IB account? or just your systematic strategies? because you are saying profits from stocks & hedges....
    nice job anyway and gl in the markets
    #531     Oct 6, 2016
  2. That's the whole account.

    #532     Oct 6, 2016
  3. henner247


    ok, thanks. but there's no long-only equities exposure in it? I remember you said somewhere that is hedged out.
    #533     Oct 9, 2016
  4. Yes it's hedged out, but no hedge is perfect.

    #534     Oct 9, 2016
  5. henner247


    Thx. Have you checked your correlation to the MSCI world or some kind of global equities portfolio...?

    If it's low. How can I invest in you ?
    #535     Oct 9, 2016
  6. Yes it's low (about 0.1)

    I don't accept outside investment.

    #536     Oct 9, 2016
  7. What do you suspect this system is doing...numbers look pretty good.
    #537     Oct 9, 2016
  8. Pick your favourite answer;

    - I have no idea based on the information available
    - There is insufficient history to say whether it is any good or not
    - performance is hypothetical not real
    - the numbers I can see indicate this is probably a strategy with a large amount of hidden risk ('negative gamma')

    #538     Oct 9, 2016
    drm7 likes this.
  9. drm7


    It looks like a mean reversion system. Lots of small wins and a few very large losses. I've seen lots of stochastic/RSI/oscillator/BBand overbought/oversold systems with stats like this in rangebound markets, then the equity curve falls off a cliff in a strong trend.
    #539     Oct 9, 2016
    d08 likes this.
  10. yep.. I've been running tests on multi year data.. even when things look good not many can withstand the drawdowns of some systems that show promise. I have strong belief that algorithmic trading is changing the long term behavior of markets.
    #540     Oct 9, 2016