Fully automated futures trading

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

  1. Yes down about 6% last time I checked. Hit HWM yesterday.... 3 steps forward and 2 steps back!

    #751     May 17, 2017
    AvantGarde likes this.
  2. isotope1


    Unfortunately I doubled my account size this morning; couldn't have been worse timing!
    #752     May 17, 2017
  3. Classic! Love this! Sounds painful, but it's a long-term game.

    Remember the old cliche: 'think of how much you're willing to lose before you think of what you're going to make'. 25% vol would give me stomach ulcers, but you may have an iron gut!
    #753     May 17, 2017
  4. you may see some Asian/European follow through.. but Mueller news put a floor in.
    #754     May 17, 2017
  5. 10% on 30% vol sounds a bit high... did you see this kind of move in your backtest?

    #755     May 18, 2017
  6. For comparison: I am using a 25% annual volatility target. My account value went down by 9% during May17th. The largest portion of this happened during the liquid hours in the USA markets. This has been the worst day since I started my system, in October 2016. The worst day I've seen used to be January 31st, when I had a negative daily return of -7%. However, even though it was a bad day, it does not make me start to change the volatility target setting.
    #756     May 18, 2017
  7. I'm running a multi-strat system, down -2.7% overnight on 16% vol, above the average daily vol of ca +\-1% but within expectations. Good luck everyone!
    #757     May 18, 2017
  8. isotope1


    I also added a bunch of equity indices (Hang Seng, DAX, Nasdaq, SP500, Russell 2000, FTSE100, AEX, CAC, Eurostoxx, smi). Despite not coming out too badly for correlations over the backtest period, it's amazing how they suddenly all correlated for one day.

    The largest single one day loss on the backtest was 13.4% (@25% vol) on 27 Feb 2007. It recovered it almost entirely in a single day, on the 26 March 2007.

    Final loss figure for yesterday was 8.5%.

    I think I just panicked. It was a bad day to start trading so much more money. I spent all day checking everything and everything looks fine. A real lesson here in 'meddling'.
    #758     May 18, 2017
  9. That's pretty much the definition of a crisis - everything falls at the same time.

    You might want to look at your asset allocation, is it now very heavy in equities?

    When adding new money it's also good practice to 'bleed' it in gradually (maybe add one market, and the relevant capital allocation, every couple of days). This also reduces trading costs.

    Finally: it's not bad thing to reduce your risk target (I did exactly the same thing, and for the same reasons, after my first 9 months of trading). But you must never, ever, increase it again.

    If it makes you feel any better I'm now down another 3.6% today for a total of 10.1% since I hit an intraday HWM on Tuesday. I'm waiting for AHL's daily number to come in for yesterday. On the upside, I'm still up a bit (~2%) since the beginning of April (my accounting year) and also YTD. This feels like it might be the start of something big. If so then trend following should capture it, but there will be some pain to come first.

    #759     May 18, 2017
  10. isotope1


    Yes. I think I'm going to add more of the softs; these seem to be much less correlated with each other vs purely financial instruments.

    Agreed. 25% is plenty. I always wondered why AHL/Winton etc operated at <10%. Now I know- their clients can't stomach it.

    I wondered the same thing. Everything trading at an all time high. Several years since the last crisis. What could go wrong? :)

    On a complete aside note, an earlier version of my system integrated with Bitmex (https://www.bitmex.com/). I decided not to proceed with it (on the basis that I wasn't happy with the counterparty risk), but backtests implied solid returns.
    #760     May 18, 2017