Fully automated futures trading

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

  1. isotope1

    isotope1

    I'll add I'm also trading US2/US30/bobl which are all correlated around 0.45.
     
    #721     Apr 20, 2017
  2. All the correlations are below 0.4; so if you can then you should trade them all.

    GAT
     
    #722     Apr 20, 2017
  3. truetype

    truetype

    A man after GAT's own heart... spotted at a mutual-fund conference in Palm Springs...
    [​IMG]
     
    #723     Apr 27, 2017
  4. Can't see the picture....?

    GAT
     
    #724     Apr 28, 2017
  5. truetype

    truetype

    #725     Apr 28, 2017
  6. #726     Apr 28, 2017
  7. #727     May 1, 2017
    drm7 likes this.
  8. #728     May 2, 2017
    lovethetrade likes this.
  9. Brief update on performance:

    P&L to date: 105.6%
    P&L since last report: +9.8%
    Drawdown (HWM set in August): 2.1%

    Big profits in KOSPI, LIVECOW, NASDAQ, OAT (Merci Macron), SMI. Interestingly I haven't benefited that much from the well publicised crush in vol - the +2 futures I trade haven't moved as much as spot.

    Position is dead easy to interpret: I'm long equities and OAT, and short vol. So risk on, big time.

    GAT
     
    #729     May 9, 2017
  10. isotope1

    isotope1

    Similar position here, although I'm up 25% in a month thanks to less diversification + more luck (NQ, LE, CAC40). To be honest, I'm slightly terrified; I'm not used to making so much money so quickly, although I expect it will settle down now.
     
    #730     May 9, 2017