Fully automated futures trading

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

  1. It's getting pretty nasty out there at present. Most CTAs are long bonds and long equities and both are getting hit hard. It would be good to see another portfolio update when you've a moment GAT to get a sense of how things are going relative to the CTA numbers I'm seeing at present. Thanks!
    #571     Oct 28, 2016
    gonzatti likes this.
  2. I've read or skimmed most of that list, and the quality is very uneven... which isn't to say there are other, better books -- there aren't.

    Buying a name-brand trendie gives an allocator political cover to indirectly own bonds he can't justify owning directly at current yields.
    Last edited: Oct 28, 2016
    #572     Oct 28, 2016
    gonzatti likes this.
  3. Sorry for the delay in replying been on holiday.

    I find these kinds of questions a bit meaningless if I'm being honest. I think "crowded trades" are a problem when you are trading quickly, are trading mispricings, are trading relative value, have high leverage and so on. This creates an enviroment in which crowded trades are obvious (eg the value premium being squeezed out in equities, interest rate premia vanishing in fx carry) and also dangerous.

    None of these things characterise institutional trend following, so it's hard to identify if the space is crowded, and also hard to know what you should do differently. If anything trend following could be self reinforcing the more people are doing it. Because it's relatively slow 90% of traded volume in most asset classes will still be done by people doing other strategies.

    I gave a longer and more thoughtful answer to this question in one of the top traders unplugged podcasts I did.

    #573     Oct 29, 2016
    gonzatti likes this.
  4. Nothing except that the forecast is capped at +20 (2 standard deviations)

    The whole point behind such strategies is you run them consistently because they make sense over long historical periods and there is no evidence they work differently for different currencies.

    If you're also running trend following on them you'll get taken out of the worst bear markets.


    PS I don't trade FX like these at all, but if i did I would use a mixture of momentum and carry exactly like I do for G7
    #574     Oct 29, 2016
  5. Edge? I didn't say I had an edge, did I? All I'm doing is picking up risk premia...

    If I compare futures to spot then I'd get the the excess return eg expected dividends less the funding rate. I use back versus front as an approximation for this, as I'm too lazy to collect spot prices. I guess to be precise I'm measuring the forward excess return when I compare front to back.

    My backtests show that this carry signal is profitable on a wide variety of asset classes, and there is no evidence to reject the hypothesis that it also works on equities.

    #575     Oct 29, 2016
    Rationalize likes this.
  6. I will do an update in a week as usual. But if you're curious I'm down 5.2% since my last update on September 5th in a 11% drawdown (on twice the vol of a typical CTA). Still up for the calendar year

    #576     Oct 29, 2016
  7. But dividends are lumpy per time.
    As, the distribution of ex-div dates and amounts is different per contract expiry.
    Im a bit confused lol.
    #577     Oct 29, 2016
  8. Yes like I said it's an approximation.

    #578     Oct 29, 2016
    Rationalize likes this.
  9. gkishot


    What is your leverage? How much are up this year? Thanks.
    #579     Oct 29, 2016
  10. #580     Oct 29, 2016
    gonzatti likes this.