Fully automated futures trading

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

  1. Same question: Why?

    I know some of the guys at Systematic pretty well, so a little intrigued as to why you don't like them so much.


    PS I don't like David Harding as a person and you couldn't pay me enough money to work for him, but it's undeniable he has built a huge business and deserves some respect for that
    #641     Jan 25, 2017
    AvantGarde likes this.
  2. Re: Harding. Like I said about Harding, read into the comment whatever you like. Considering his achievements, respect for the man is a given.

    Re: Systematica. We mainly trade/invest our own funds so not huge on allocations, but a while back we did a DD on them - actually Bluetrend which is what the fund was called at the time prior to the spin off - and of course we continued monitoring. We did not allocate anything to them then and it is highly unlikely that we will allocate anything to them in the near future. Let's just leave it at that.

    On a funnier note: Has anyone ever gotten into a staring match with Griffin, and won?! :D
    #642     Jan 25, 2017
  3. isotope1


    Did you ever think about automating the rolls? I've set mine to roll automatically like clockwork; I can't see any issue with this unless you can? (I'm currently doing separate legs using adaptive market orders).

    Also, do you currently get today's opening price before making forecasts? I'm grabbing data from Quandl not IB (which lacks the last line); I'm curious to know how much difference this makes (I expect not a lot). The reason I ask is my slippage was large for January (amounting to 2.5% of portfolio in my favour); big one day movements on MXP & GBP based on politics seemed to account for the largest part of it.

    It stands to reason that slippage is good for mean reversion and bad for trend following, hence my concern.
    #643     Jan 27, 2017
  4. That sounds fine for most markets. I guess the judgement about when to roll is something I'd personally like to keep under my control.

    Sort of. I run closing price snapshots, but I also grab prices hourly during market hours (not really opening prices however). It's possible for orders to be generated based on the closing price if the execution algo runs before a new price is grabbed, which is why I say "sort of".

    But when I rewrite my code I'll only use closing prices. That after all is what the backtest was run on.

    When I measure slippage I measure;

    a) sample price (which in principle should be yesterdays close)
    b) mid price in market
    c) "side" price (bid if I am selling, offer if buying)
    d) execution price


    a - b = delay cost
    b - c = bid-ask spread cost
    d - c = market impact

    The first of these numbers tends to be the largest (because it could be a sample from up to an hour ago, or last nights close) but as it can be both positive and negative it evens out to something very close to random noise in the long run.

    To get an idea of what I expect this to be if I simulate my strategy with a one day lag there is almost no difference in performance (less than 0.01 Sharpe ratio units). By the way if you do this, then measure the monthly differences in returns, you can get an idea of whether 2.5% is a big deal or not.

    The second type of cost (bid-ask) approximates to what I assume my execution cost to be in backtesting - perhaps 1% a year. The third would be large and negative if I was a large hedge fund, but because I'm a small guy with a nimble execution algo it's positive (about 0.8 of b-c; i.e. I can trade almost for free).

    That's true - but only really problematic for fast trading. If you have a horizon of several weeks it's no big deal if you take the whole day to execute an order as your alpha decay over that period is negligible (which again you can measure by lagging everything by one day), so you can be patient.

    #644     Jan 27, 2017
  5. Would you mind clarifying the positive comment? For example, if the bid/ask is 99.00 / 101.00, are you saying that on average your buy orders are executing at 100.20?
    #645     Jan 27, 2017
  6. Exactly

    #646     Jan 27, 2017

  7. Since inception, have you been able to identify strengths and drawbacks of your system. What price pattern(s) would hurt your returns the most?..
    #647     Jan 27, 2017
  8. No I have given this zero thought

    #648     Jan 28, 2017
  9. tradrjoe


    High volatility, sideways markets
    #649     Jan 28, 2017
  10. 'Price efficiency' in a band I call it. Lots of false signals with no follow through. Important to diversify into multiple markets and instruments. I worry with time many more markets will 'band' over longer periods of time. With many chasing the same signals.
    #650     Jan 28, 2017