Fully automated futures trading

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

  1. There have been other charts, though I think the last one was in April 2017.

    I'll try and post one at the weekend

    GAT
     
    #841     Jul 18, 2017
  2. Ok thanks, i will attempt to find the post.
     
    #842     Jul 18, 2017
  3. He posted the most recent one not here at EliteTrader, but on his own blog: https://qoppac.blogspot.my/2017/04/investment-and-trading-performance-year.html
     
    #843     Jul 18, 2017
  4. sle

    sle

    Why is that? Or are you talking specifically in the context of your particular strategy?
     
    #844     Jul 18, 2017
  5. Extremely horrific negative skew.

    And in general, I like to use the second contract if it's liquid, so I can use the correct formula f(second - first) to calculate carry.

    GAT
     
    #845     Jul 18, 2017
  6. truetype

    truetype

    AHL & Winton quoted in WSJ today -
    robots.png
     
    #846     Jul 18, 2017
  7. Thanks. I love the "Thirty years..." quote.

    GAT
     
    #847     Jul 19, 2017
  8. GAT,

    A big Thank You to you for providing everyone at ET forum with your progress and your process.

    Thanks for taking time to post your overall performance and portfolio.

    Very insightful information for someone like me entering the automated arena.
     
    #848     Jul 19, 2017
    isotope1 likes this.
  9. Ask and ye shall receive...

    Last update was April 11th

    P&L to date: 106.8%
    P&L since last report: +11.0%
    Drawdown (HWM set at start of June): -3.6%

    [​IMG]
    [​IMG]
    It's been quite a choppy few months. The period started well before a horrendous few days in May (discussed earlier in this thread). However performance then rallied and the system set a new HWM at the start of June.

    Although I focus on my accounting period performance (UK tax year, starts April 7th) the YTD figure is also interesting. In this case they're both the same - I'm up about 11% since January 1st.

    Positions & Risk

    Code:
           code  multisignal  expected_annual_risk  expected_annual_risk_per_contract  position  expected_annual_risk_rounded_pos
    0      CORN         -2.6                  2021                               3649        -1                              3649
    10      OAT         -3.7                  2819                               6854        -1                              6854
    16      V2X        -15.5                 11859                                782       -14                             10948
    17      VIX        -20.0                 15337                               3607        -4                             14430
    
    13      US2          0.8                   611                               1137         1                              1137
    6       KR3          1.0                   773                                584         2                              1168
    36  EDOLLAR          5.6                  4302                               1237         3                              3712
    26      GBP          3.0                  2264                               5117         1                              5117
    2   LIVECOW         11.5                  8786                               7332         1                              7332
    21      SMI          8.5                  6489                               7668         1                              7668
    25      EUR          8.5                  6509                               8200         1                              8200
    18    KOSPI         14.4                 11027                               8412         1                              8412
    19      AEX         20.5                 15695                              10597         1                             10597
    29      NZD         16.6                 12712                               4013         3                             12038
    23    SP500         18.8                 14446                               6153         2                             12306
    28      MXP         17.6                 13529                               2139         6                             12836
    22   NASDAQ         12.5                  9598                              13305         1                             13305
    32   PALLAD         18.8                 14448                              13335         1                             13335
    1   LEANHOG         20.4                 15669                               2893         5                             14466
    24      AUD         22.9                 17570                               5376         3                             16128
    3   SOYBEAN         25.6                 19670                               9446         2                             18891
    
    Risk is running at 14% above average, based on current capital.

    I'll be going on holiday in a week or so. As in previous years I intend to leave my system running.

    GAT
     
    #849     Jul 21, 2017
    lovethetrade likes this.
  10. @globalarbtrader I notice that the multisignal for AEX, LEANHOG, AUD and SOYBEAN is larger than 20. You don't cap that value at 20.0? VIX seems to be capped at -20.0?
     
    #850     Jul 21, 2017