Fully automated futures trading

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

  1. gonzatti


    #581     Oct 30, 2016
  2. It's not exactly the same time period but over the last 6 months I'm up 6% overall of which around 10% is equities plus hedge.

    #582     Oct 31, 2016
    gonzatti likes this.
  3. gonzatti


    After this second Brexit event, how are you doing GAT ?

    #583     Nov 9, 2016
  4. Close last night to 0905 GMT I am down around 0.2%
    Just noise

    #584     Nov 9, 2016
    gonzatti likes this.
  5. #585     Nov 15, 2016
  6. isotope1


    Hi GAT,

    I missed the panel discussion yesterday; was it recorded by any chance?
    #586     Nov 17, 2016
  7. No it wasn't

    #587     Nov 17, 2016
  8. isotope1


    Do you apply a portfolio position size scaling multiplier that is a function of cumulative drawdown?
    #588     Nov 17, 2016
  9. Only in as much as I use Kelly, i.e. scale my positions according to my account size.

    So position size is proportional to (max capital at risk - drawdown)

    #589     Nov 18, 2016
  10. isotope1


    I'm just doing the last bit now, connecting the whole lot to IB. Thanks so much for all of this, I've learnt so much from you, and genuinely enjoyed every minute of it.

    I have a few q's:
    • Do you make use of IB's streaming data? My current working plan was to calculate positions based on Quandl data and just perform executions on IB. (tbc).
    • Despite the fact that IB is 'realtime', I assume you run your scripts periodically, perhaps daily. How often do you schedule recalculation of desired positions? What time do you schedule orders, relative to trading hours?
    • You mentioned on your blog that you manage the equities/hedges systematically; can you elaborate?
    #590     Nov 20, 2016