Fully automated futures trading

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

  1. What leverage % does your fund typically use?

    Assuming your capital is 100,000 units

    On a futures contract of 100,000 notional value, requiring margin of 5000, how many contracts would you be long or short?
    (Assume no other positions)

    What leverage % is typically used by AHL?
     
    Last edited: Mar 13, 2015
    #71     Mar 13, 2015
  2. Trades

    Code:
    Trades take 1
    
             code contractid     filled_datetime  filledtrade  filledprice
    2965      AUD     201506 2015-03-13 02:08:15            1       0.7657
    2967  AUSSTIR     201606 2015-03-13 02:52:08            2      97.9200
    2970     BOBL     201506 2015-03-13 08:36:02           -1     129.3100
    2971     BUND     201506 2015-03-13 08:36:39           -1     157.7700
    2976     CORN     201512 2015-03-13 15:31:38           -1     407.0000
    2974   GAS_US     201506 2015-03-13 12:21:26           -1       2.7710
    2955     KR10     201506 2015-03-13 01:37:31            1     123.5300
    2959     KR10     201506 2015-03-13 01:50:16            1     123.5300
    2964     KR10     201506 2015-03-13 03:54:37            1     123.4600
    2968     KR10     201503 2015-03-13 03:55:09           -1     123.6200
    2956      KR3     201503 2015-03-13 01:03:10           -4     109.0400
    2975      US2     201506 2015-03-13 14:34:38            1     109.2500
    2969      V2X     201505 2015-03-13 08:11:44           -3      21.1000
    2973      V2X     201505 2015-03-13 13:47:11            1      21.3500
    
    
    Slippage in GBP, for entire trade
    
    
             code  gbpt_slippage_process  gbpt_slippage_bidask  gbpt_slippage_execution  gbpt_slippage_all_trading  gbpt_slippage_total
    2956      KR3                -150.48                 12.54                    -0.00                      12.54              -137.94
    2967  AUSSTIR                 -61.58                 12.32                   -24.63                     -12.32               -73.89
    2965      AUD                 -26.72                  3.34                     6.68                      10.02               -16.70
    2969      V2X                  -5.31                 10.62                   -21.24                     -10.62               -15.93
    2976     CORN                  -8.35                  4.18                    -8.35                      -4.18               -12.53
    2970     BOBL                 -14.16                  3.54                    -0.00                       3.54               -10.62
    2973      V2X                  -1.77                  3.54                    -7.08                      -3.54                -5.31
    2975      US2                   0.00                  5.22                     0.00                       5.22                 5.22
    2974   GAS_US                  16.70                  6.68                   -13.36                      -6.68                10.02
    2971     BUND                  14.16                  3.54                     7.08                      10.62                24.78
    2968     KR10                  25.08                  3.14                    -0.00                       3.14                28.22
    2955     KR10                    NaN                  9.41                   -18.81                      -9.41                  NaN
    2959     KR10                    NaN                  9.41                   -18.81                      -9.41                  NaN
    2964     KR10                    NaN                  6.27                   -12.54                      -6.27                  NaN
    
    Total slippage: process -212.430000; bidask 93.750000; execution -111.060000; all trading -17.350000; grand total -204.680000
    
    PROFIT: £8019. There was a HWM intraday, which I'm now £1200 below.

    The short answer to your question is that with my capital of £400,000 the total nominal size of my positions (using price, not nominal value, so for example a US 20 year bond is worth $160K rather than $100K) is £5.86 million, which is a ratio of 14.6:1.

    The longer answer is that raw leverage isn't a great way to measure risk.

    Fixed income contracts will have naturally higher leverage than say equities or commodities. Of the nearly £6 million of positions, around £1.2m is in australian STIR, £500K in Eurodollar. Another £1.7 million is in bond futures, for a total of £3.4 million. But on a risk weighted basis these are only about a fifth of my risk. Without them the leverage runs at 7 times for the rest of the portfolio.

    Does this mean that I have a dangerously high allocation to fixed income, and toxic leverage? No, as you have to look at things in context. I will remove an instrument whose vol has gone really low compared to its own vol, and the vol of similar instruments, as I did with shatz, where the vol is running at about a quarter of the comparable US 2 year bond future. Similarly if I had been trading CHFEUR before it was pegged, I would have removed it as the volatility post 2011 was much lower than other currencies. I've made similar decisions with things like Euroyen STIR in the past.

    I can't log into IB right now, but last time I checked I was using about £250K for margin out of my £400K capital, which is high but hardly suicidal.

    As for AHL, well the main influence will be that they have different volatility target. Mine is 25%, and theirs, depending on the fund is around 15%. On a pro rata basis they're probably running about 8.8 times leverage.

    However looking at their p&l by asset class, and based on some inside knowledge, I would say they have a higher allocation to fixed income and STIR in particular, which means the raw leverage for AHL is probably going to be higher.
     
    #72     Mar 14, 2015
    razf1 and lucysparabola like this.
  3. Great journal.
     
    #73     Mar 14, 2015
  4. It has clearly been a while since I checked my margin, or my memory isn't great. I'm currently using £127,000 of margin on a £400,000 account, or an average of 2.2% of the notional leveraged value of £5.9 million.
     
    #74     Mar 14, 2015
  5. Todays trades


    code contractid filled_datetime filledtrade filledprice
    2989 AEX 201503 2015-03-16 12:13:43 -1 497.10000
    2990 AEX 201504 2015-03-16 12:13:43 1 495.90000
    2980 BOBL 201506 2015-03-16 07:35:26 -4 129.29000
    2987 BOBL 201506 2015-03-16 09:34:53 -1 129.17000
    2982 CAC 201504 2015-03-16 08:07:40 1 5020.50000
    2992 CORN 201512 2015-03-16 14:05:03 -1 404.25000
    2983 EUROSTX 201503 2015-03-16 08:19:04 2 3673.00000
    2984 EUROSTX 201506 2015-03-16 08:19:04 -2 3597.00000
    2986 EUROSTX 201506 2015-03-16 08:23:31 -7 3596.00000
    2985 EUROSTX 201503 2015-03-16 08:23:31 7 3672.00000
    2978 KR10 201506 2015-03-16 01:08:09 -2 123.37000
    2979 KR3 201506 2015-03-16 01:13:41 5 108.98000
    2995 LIVECOW 201510 2015-03-16 15:44:16 -1 145.87500
    2991 MXP 201506 2015-03-16 12:21:56 1 0.06428
    2981 SMI 201506 2015-03-16 08:05:02 1 9011.00000
    2988 SOYBEAN 201511 2015-03-16 12:07:18 -1 951.50000
    2993 US10 201506 2015-03-16 14:13:59 1 127.50000
    2996 WHEAT 201512 2015-03-16 16:32:00 1 535.00000


    Slippage in GBP, for entire trade


    code gbpt_slippage_process gbpt_slippage_bidask gbpt_slippage_execution gbpt_slippage_all_trading gbpt_slippage_total
    2981 SMI -859.17 3.36 0.00 3.36 -855.82
    2995 LIVECOW -442.14 10.13 -20.25 -10.13 -452.27
    2979 KR3 -158.38 15.84 -31.68 -15.84 -174.22
    2985 EUROSTX 0.00 24.88 -99.51 -74.63 -74.63
    2983 EUROSTX -14.22 7.11 0.00 7.11 -7.11
    2992 CORN -0.00 4.22 -8.44 -4.22 -4.22
    2991 MXP -6.75 3.38 3.38 6.75 0.00
    2987 BOBL 7.11 3.55 -7.11 -3.55 3.55
    2982 CAC 3.55 3.55 3.55 7.11 10.66
    2988 SOYBEAN -0.00 4.22 8.44 12.66 12.66
    2996 WHEAT 8.44 4.22 0.00 4.22 12.66
    2993 US10 21.09 5.27 0.00 5.27 26.37
    2980 BOBL -0.00 14.22 28.43 42.65 42.65
    2989 AEX 78.19 3.55 -0.00 3.55 81.74
    2978 KR10 304.10 6.34 -12.67 -6.34 297.76
    2984 EUROSTX NaN -7.11 -0.00 -7.11 NaN
    2986 EUROSTX NaN -24.88 99.51 74.63 NaN
    2990 AEX NaN -3.55 7.11 3.55 NaN

    Total slippage: process -1058.180000; bidask 78.300000; execution -29.240000; all trading 49.040000; grand total -1080.220000


    (Has anyone else noticed that we've lost the CODE option in the editor?)

    Lots of rolls, nearly all done now, except FTSE which I have to roll manually, since I refuse to pay the LIFFE data fees. Annoyingly this involves stopping my IB API server, and all my code, going to IB web trader (you can only run one 'trading' thing at a time with IB), trading, and then restarting everything.

    Bad Bobl Beat, and worth checking out. You might think well its £40, you're targeting £6K a day vol, who cares? But £40 x 250 = £10,000; 2.5% of capital; one tenth of my volatility target. So this would reduce a sharpe of 1.0 to 0.9. Here are the diagnostics for this trade

    algo_side_price
    2015-03-16 07:34:34 129.30
    2015-03-16 07:34:36 129.29
    dtype: float64

    algo_offside_price
    2015-03-16 07:34:34 129.31
    2015-03-16 07:34:36 129.30
    dtype: float64

    algo_Mode
    2015-03-16 07:34:34 Passive
    2015-03-16 07:34:39 Aggresive
    2015-03-16 07:34:39 Aggressive
    2015-03-16 07:34:42 Finished
    dtype: object

    algo_message
    2015-03-16 07:34:34 StartingPassive
    2015-03-16 07:34:37 Adverse price move moving to aggressive for 29...
    2015-03-16 07:34:39 NowAggressive
    2015-03-16 07:34:39 tick no action 2980 BOBL 201506
    dtype: object

    algo_limit_price
    2015-03-16 07:34:34 129.31
    2015-03-16 07:34:39 129.29
    dtype: float64


    So basically we submitted a limit order to sell at 31's with the book at 129.30 -31. Then 2 seconds later the spread shifted to 129.29-30. My algo in these circumstances will cut its losses and hit the bid, so the limit was changed to 129.29, and executed there. Good thing as well, the price kept sinking and we had to sell another lot 12 ticks lower (which fortunately was executed at the offer).

    P&L LOSS £1942
     
    Last edited: Mar 16, 2015
    #75     Mar 16, 2015
  6. Todays trades

    Code:
            code contractid     filled_datetime  filledtrade  filledprice
    3005     BOBL     201506 2015-03-17 14:39:47           -1      129.050
    3002      BTP     201506 2015-03-17 11:21:05           -1      140.840
    2998     FTSE     201503 2015-03-17 10:11:16            2     6822.000
    2999     FTSE     201506 2015-03-17 10:14:36           -2     6762.000
    3004   GAS_US     201506 2015-03-17 13:15:24            1        2.898
    2997      KR3     201506 2015-03-17 01:05:03            2      108.980
    3003   PALLAD     201506 2015-03-17 13:10:44           -1      766.300
    3006  SOYBEAN     201511 2015-03-17 15:44:13           -1      946.250
    3001      V2X     201505 2015-03-17 11:09:21            2       21.950
    
    Slippage in GBP, for entire trade
    
    
             code  gbpt_slippage_process  gbpt_slippage_bidask  gbpt_slippage_execution  gbpt_slippage_all_trading  gbpt_slippage_total
    2997      KR3                 -25.34                  6.34                   -12.67                      -6.34               -31.68
    3001      V2X                  -3.55                  7.11                   -14.22                      -7.11               -10.66
    3005     BOBL                  -0.00                  3.55                    -0.00                       3.55                 3.55
    3002      BTP                  -0.00                  3.55                     7.11                      10.66                10.66
    3003   PALLAD                  15.19                  3.38                    -6.75                      -3.38                11.81
    3006  SOYBEAN                  12.66                  4.22                    -0.00                       4.22                16.88
    3004   GAS_US                  70.88                 10.13                   -20.25                     -10.13                60.75
    2998     FTSE                    NaN                   NaN                      NaN                        NaN                  NaN
    2999     FTSE                    NaN                   NaN                      NaN                        NaN                  NaN
    
    Total slippage: process 69.840000; bidask 38.280000; execution -46.780000; all trading -8.530000; grand total 61.310000
    
    
    The final roll is done for the season, the FTSE. This was a rather painful exercise since I have to trade it completely manually (hence all the NaN's above), which means shutting down my system since IB won't allow you to run both an API session and a trading front end, launching the web trader, doing the trade, entering the fills manually into my database, and restarting the system.

    I took this as an opportunity to switch over from my backup machine, which I've been running with for a few weeks as a test, back to my primary machine. It's good practice to do this regularly.

    I also did some trading to crystallise some tax losses in my long only IB account. If anyone from IB is reading this, I have to say that your trading front ends are all utter crud, and if I wasn't using the API 99.999% of the time I'd have given up on you a long time ago. TWS is hopelessly bloated, slow and unstable. Webtrader hangs when I try and use it. Webtrader Beta is barely useable, in the sense that I can submit one order and then it hangs when I try and do the second one, so I then I have to restart it, typing in my poxy security code each time.

    Profit £3198. Just over £3K under HWM. Profit since inception April 6th 2014, £373K. 13 trading days left in this tax year, so an outside chance I'll get to £400K (and an almost equal chance of dropping back to £350K).
     
    #76     Mar 17, 2015
  7. Todays trades

    Code:
             code contractid     filled_datetime  filledtrade  filledprice
    3008      AUD     201506 2015-03-18 06:27:30           -1      0.75690
    3012      AUD     201506 2015-03-18 16:23:36            1      0.76090
    3018      AUD     201506 2015-03-18 19:24:55            1      0.77370
    3007  AUSSTIR     201606 2015-03-18 03:04:33           -1     97.94000
    3009     BOBL     201506 2015-03-18 11:15:13            1    129.27000
    3011     CORN     201512 2015-03-18 14:17:21           -1    396.50000
    3013      EUR     201506 2015-03-18 18:25:04            1      1.07980
    3014      GBP     201506 2015-03-18 18:27:56            1      1.48450
    3015      MXP     201506 2015-03-18 18:32:33            2      0.06549
    3019      NZD     201506 2015-03-18 19:34:44            1      0.74310
    3010     PLAT     201504 2015-03-18 12:08:16           -1   1090.40000
    3017     PLAT     201504 2015-03-18 18:56:33            1   1112.00000
    
    
    Slippage in GBP, for entire trade
    
    
             code  gbpt_slippage_process  gbpt_slippage_bidask  gbpt_slippage_execution  gbpt_slippage_all_trading  gbpt_slippage_total
    3014      GBP                -116.23                  6.34                    12.68                      19.02               -97.21
    3007  AUSSTIR                 -43.64                  6.23                    -0.00                       6.23               -37.41
    3013      EUR                 -25.36                  4.23                    -8.45                      -4.23               -29.59
    3019      NZD                 -40.57                  6.76                    13.52                      20.29               -20.29
    3012      AUD                 -10.14                  6.76                    -6.76                       0.00               -10.14
    3017     PLAT                 -25.36                 11.83                     3.38                      15.22               -10.14
    3009     BOBL                   0.00                  3.57                    -7.15                      -3.57                -3.57
    3010     PLAT                   6.76                  5.07                    -0.00                       5.07                11.83
    3011     CORN                  -0.00                  4.23                     8.45                      12.68                12.68
    3008      AUD                  10.14                  3.38                    -0.00                       3.38                13.52
    3018      AUD                  30.43                  3.38                   -13.52                     -10.14                20.29
    3015      MXP                  60.86                  6.76                    20.29                      27.05                87.91
    
    Total slippage: process -153.110000; bidask 68.540000; execution 22.440000; all trading 91.000000; grand total -62.120000
    Cutting long USD positions left, right and centre. I wonder why? (rhetorical question)

    Todays LOSS: £7879

    Ouch. Thanks Janet. The annoying thing was I was up for the day, and at a new HWM, at lunchtime. Bet you can't guess when the FOMC announcement was:

    (columns are date/time, account value, gain or loss since last snapshot, drawdown from high water mark, total profits to date) All GBP.

    Code:
    2015-03-17 19:16:44.964834    556080.20  -837.51  -3247.95  373631.19
    2015-03-18 00:05:25.294808    557291.86  1211.66  -2036.29  374842.85
    2015-03-18 01:05:24.689432    556595.92  -695.94  -2732.23  374146.91
    2015-03-18 02:05:24.994396    556025.14  -570.78  -3303.01  373576.13
    2015-03-18 03:05:25.424133    556770.28   745.14  -2557.87  374321.27
    2015-03-18 04:05:25.232373    556059.78  -710.50  -3268.37  373610.77
    2015-03-18 05:05:24.866376    557235.84  1176.06  -2092.31  374786.83
    2015-03-18 06:05:25.239753    558442.70  1206.86   -885.45  375993.69
    2015-03-18 07:05:25.356672    558364.96   -77.74   -963.19  375915.95
    2015-03-18 08:05:25.333822    558187.11  -177.85  -1141.04  375738.10
    2015-03-18 09:05:25.257987    557515.97  -671.14  -1812.18  375066.96
    2015-03-18 10:05:25.257032    561707.22  4191.25      0.00  379258.21
    2015-03-18 11:05:25.914809    559794.71 -1912.51  -1912.51  377345.70
    2015-03-18 12:05:25.605905    562490.89  2696.18      0.00  380041.88
    2015-03-18 13:05:25.934402    563377.92   887.03      0.00  380928.91
    2015-03-18 14:05:25.221712    562596.39  -781.53   -781.53  380147.38
    2015-03-18 15:05:25.308285    562982.38   385.99   -395.54  380533.37
    2015-03-18 16:05:25.468955    558467.23 -4515.15  -4910.69  376018.22
    2015-03-18 17:05:25.408410    557261.09 -1206.14  -6116.83  374812.08
    2015-03-18 18:05:25.147163    550754.80 -6506.29 -12623.12  368305.79
    2015-03-18 19:05:25.184300    548201.16 -2553.64 -15176.76  365752.15
    
    You won't be surprised to hear that the biggest loser was EURUSD which moved 2 big figures (although to put in perspective, only back to the levels of 10 days ago); in risk terms it and the other dollar IMM's moved around 2 to 2.5 standard deviations; though I also lost in Crude and platinum today.

    I still have half my EURUSD position on, as I'm still short one lot due to the large risk of the contract (standard deviation of £12K a year), unlike say MXP where I cut by two thirds; from short 3 lots to one. This is the main disadvantage of having a relatively small account trading lots of instruments. But the diversification benefit outweighs the ability to reduce positions more gradually.
     
    #77     Mar 18, 2015
  8. Todays trades

    Code:
             code contractid     filled_datetime  filledtrade  filledprice
    3023     AUS3     201506 2015-03-19 02:35:05            1    98.280000
    3030     BOBL     201506 2015-03-19 14:44:25            1   129.400000
    3027  CRUDE_W     201512 2015-03-19 12:14:04            1    53.420000
    3020      GBP     201506 2015-03-19 02:01:57            1     1.493200
    3021      JPY     201506 2015-03-19 02:06:26            1     0.008331
    3032  LIVECOW     201510 2015-03-19 16:10:19            1   149.225000
    3022      MXP     201506 2015-03-19 02:13:09            1     0.065900
    3031     PLAT     201504 2015-03-19 16:01:38            1  1119.700000
    3033      US2     201506 2015-03-19 17:22:56           -1   109.351562
    3024      V2X     201505 2015-03-19 08:05:11           -1    21.200000
    3026      V2X     201505 2015-03-19 11:36:26            1    21.800000
    3029      V2X     201505 2015-03-19 16:23:11            1    21.900000
    3025      VIX     201505 2015-03-19 11:53:25           -1    17.600000
    
    
    Slippage in GBP, for entire trade
    
    
             code  gbpt_slippage_process  gbpt_slippage_bidask  gbpt_slippage_execution  gbpt_slippage_all_trading  gbpt_slippage_total
    3027  CRUDE_W                 -64.24                  6.76                   -13.52                      -6.76               -71.00
    3021      JPY                 -42.26                  4.23                    -8.45                      -4.23               -46.49
    3025      VIX                  -0.00                 16.91                   -33.81                     -16.91               -16.91
    3024      V2X                 -12.51                  3.57                    -0.00                       3.57                -8.93
    3029      V2X                   1.79                  1.79                    -3.57                      -1.79                 0.00
    3030     BOBL                   7.15                  3.57                    -7.15                      -3.57                 3.57
    3033      US2                  -0.00                  5.28                    -0.00                       5.28                 5.28
    3026      V2X                   1.79                  3.57                     0.00                       3.57                 5.36
    3020      GBP                  10.57                  4.23                    -8.45                      -4.23                 6.34
    3022      MXP                   0.00                 11.83                     0.00                      11.83                11.83
    3023     AUS3                  23.33                  7.78                   -15.55                      -7.78                15.55
    3032  LIVECOW                  13.52                  6.76                     0.00                       6.76                20.29
    3031     PLAT                  27.05                  6.76                    -3.38                       3.38                30.43
    
    Total slippage: process -33.810000; bidask 83.040000; execution -93.880000; all trading -10.880000; grand total -44.680000
    More cutting of long USD vs everything positions this morning.

    This might seem weird but I quite like sharp reversals. It's kind of cool watching the system robotically slash its risk, so often the system doesn't do very much so its nice to see the 'wheels turning' when you get some action, and pyschologically you think 'great banked the money from that trend, less what I lost on the pullback', you've got less risk on, and feel less nervous.

    Sharp reversals can often be more profitable than exiting after a long drawn out end to a trend. For example in 2013, my last year of institutional management, the 2013 JGB reversal was very clean and quick, and we cut positions very fast, and banked a huge profit with hardly any pullback. In contrast the May 2013 UST reversal was relatively long and drawn out and we gave a lot of profit back to the market.

    PROFIT: £768
    Now £14.4 K below the HWM set yesterday lunchtime

    Current positions, as not updated for a while: (ignore diagnostic columns - False is good basically)

    Code:
           code contractid  positions   Lock WrongContract InFwdNotRoll
    13      AEX     201504          1  False         False        False
    32      AUD     201506         -1  False         False        False
    19    AUS10     201506          1  False         False        False
    29     AUS3     201506          2  False         False        False
    24  AUSSTIR     201606          8  False         False        False
    18     BOBL     201506          2  False         False        False
    15      BTP     201506          1  False         False        False
    25     BUND     201506          1  False         False        False
    22      CAC     201504          1  False         False        False
    20     CORN     201512         -8  False         False        False
    7   CRUDE_W     201512         -1  False         False        False
    30  EDOLLAR     201809          3  False         False        False
    9       EUR     201506         -1  False         False        False
    0   EUROSTX     201506         -9  False         False        False
    16  FEEDCOW     201503          1  False         False        False
    2      FTSE     201506         -2  False         False        False
    17   GAS_US     201506         -1  False         False        False
    14      GBP     201506         -2  False         False        False
    4      GOLD     201506         -1  False         False        False
    1       JPY     201506         -3  False         False        False
    26     KR10     201506          1  False         False        False
    27      KR3     201506          7  False         False        False
    31      OAT     201506          1  False         False        False
    23   PALLAD     201506         -1  False         False        False
    28     PLAT     201504         -2  False         False        False
    21      SMI     201506          1  False         False        False
    10  SOYBEAN     201511         -2  False         False        False
    12     US10     201506          1  False         False        False
    5       US2     201506          2  False         False        False
    3       US5     201506          1  False         False        False
    11      V2X     201505         -5  False         False        False
    8       VIX     201505         -2  False         False        False
    6     WHEAT     201512         -2  False         False        False
    
     
    #78     Mar 19, 2015
    samuel11 likes this.
  9. Trades

    Code:
             code contractid     filled_datetime  filledtrade  filledprice
    3034      ASX     201506 2015-03-20 01:49:56            1  5967.000000
    3052     BUND     201506 2015-03-20 16:28:05            1   158.760000
    3046     CORN     201512 2015-03-20 15:07:18            1   404.750000
    3051     CORN     201512 2015-03-20 16:19:44            1   408.750000
    3050  EDOLLAR     201809 2015-03-20 17:16:08            1    97.790000
    3048     GOLD     201506 2015-03-20 15:19:40            1  1182.200000
    3040      KR3     201506 2015-03-20 03:17:27            1   109.190000
    3053   NASDAQ     201506 2015-03-20 16:43:28            1  4461.000000
    3045   PALLAD     201506 2015-03-20 14:20:11            1   779.450000
    3047  SOYBEAN     201511 2015-03-20 15:07:14            1   961.250000
    3054    SP500     201506 2015-03-20 16:44:16            1  2101.750000
    3044      US2     201506 2015-03-20 14:11:53            1   109.445312
    3042      V2X     201505 2015-03-20 11:51:22           -1    21.450000
    3043      V2X     201505 2015-03-20 13:50:17           -1    21.350000
    3049    WHEAT     201512 2015-03-20 15:25:57            1   553.750000
    
    
    Slippage in GBP, for entire trade
    
    
             code  gbpt_slippage_process  gbpt_slippage_bidask  gbpt_slippage_execution  gbpt_slippage_all_trading  gbpt_slippage_total
    3052     BUND                   0.00                  3.60                    -7.21                      -3.60                -3.60
    3048     GOLD                   6.75                  6.75                   -13.50                      -6.75                 0.00
    3043      V2X                  -0.00                  1.80                    -0.00                       1.80                 1.80
    3051     CORN                   8.44                  4.22                    -8.44                      -4.22                 4.22
    3045   PALLAD                 -11.81                 10.13                    10.13                      20.25                 8.44
    3047  SOYBEAN                   0.00                  8.44                     0.00                       8.44                 8.44
    3042      V2X                   3.60                  1.80                     3.60                       5.41                 9.01
    3046     CORN                  16.88                  4.22                    -8.44                      -4.22                12.66
    3044      US2                   0.00                  5.27                    10.55                      15.82                15.82
    3040      KR3                   0.00                  3.17                    12.67                      15.84                15.84
    3053   NASDAQ                  20.25                  1.69                    -3.38                      -1.69                18.56
    3054    SP500                  25.31                  4.22                    -8.44                      -4.22                21.10
    3049    WHEAT                  16.88                  8.44                     0.00                       8.44                25.31
    3050  EDOLLAR                   0.00                  4.22                    33.75                      37.97                37.97
    3034      ASX                 272.02                 12.95                     0.00                      12.95               284.98
    
    Total slippage: process 358.320000; bidask 80.920000; execution 21.290000; all trading 102.220000; grand total 460.550000
    LOSS: £9708

    I won't lie to you, I don't like losing money!

    But if you're a medium term trend follower you spend a higher proportion of your time in drawdown than you do not in drawdown....
     
    #79     Mar 20, 2015
  10. xandman

    xandman

    Has this made length of drawdown as an objective function in your strategy design?

    You seem to be very proactive in avoiding the Max DD scenario already.
     
    #80     Mar 20, 2015