Fully automated futures trading

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

  1. Not really. Its a stat I look at, but not part of the formal design. I'm looking for all the characteristics of a positive skew, momentum style, strategy:

    • positive skew (obviously)
    • ratio of average profit week: average loss week over 1 (not day, as MTM makes it too noisy)
    • compared to zero skew, longer drawdowns
    • compared to zero skew, shallower drawdowns
    • less risk being taken in drawdowns (over and above kelly downsizing for account size)
    • wouldn't be concerned about win ratio being below 0.5
    You can then bootstrap the statistics of things like drawdowns for a given skew, SR, so that when you see a one year 15% drawdown you know how likely that is, and don't panic.
     
    #81     Mar 23, 2015
  2. Todays trades:

    Code:
             code contractid     filled_datetime  filledtrade  filledprice
    3057      AUD     201506 2015-03-23 07:25:55            1     0.777100
    3056  AUSSTIR     201606 2015-03-23 08:31:17            2    98.020000
    3063     CORN     201512 2015-03-23 14:06:19            2   413.000000
    3062      EUR     201506 2015-03-23 14:01:15            1     1.093000
    3059      JPY     201506 2015-03-23 10:34:54            1     0.008352
    3064  LEANHOG     201506 2015-03-23 15:33:09           -1    73.600000
    3060     PLAT     201504 2015-03-23 12:14:21            1  1142.300000
    3061  SOYBEAN     201511 2015-03-23 12:19:19            1   961.750000
    3058      V2X     201505 2015-03-23 09:12:10           -1    21.550000
    
    
    Slippage in GBP, for entire trade
    
    
             code  gbpt_slippage_process  gbpt_slippage_bidask  gbpt_slippage_execution  gbpt_slippage_all_trading  gbpt_slippage_total
    3056  AUSSTIR                 -37.61                 12.54                   -25.07                     -12.54               -50.14
    3062      EUR                 -25.14                  8.38                     0.00                       8.38               -16.76
    3061  SOYBEAN                   0.00                  8.38                   -16.76                      -8.38                -8.38
    3059      JPY                  -8.38                  4.19                     0.00                       4.19                -4.19
    3058      V2X                  -0.00                  3.62                    -7.23                      -3.62                -3.62
    3063     CORN                  16.76                  8.38                   -16.76                      -8.38                 8.38
    3060     PLAT                   6.70                  8.38                     0.00                       8.38                15.08
    3057      AUD                   6.70                  3.35                     6.70                      10.06                16.76
    3064  LEANHOG                  73.75                  6.70                   -13.41                      -6.70                67.04
    
    Total slippage: process 32.780000; bidask 63.920000; execution -72.530000; all trading -8.610000; grand total 24.170000
    
    Almost out of the long dollar trade now. Just have a short of 2 lots in JPY and the same in GBP. Beautiful trend, thank you market.

    LOSS: £1,437
    Below HWM: -£25K
    Since inception: +£355K

    Steady as she goes. Much less risk on now, expected variability of p&l is probably about half what it was before this 'rout' started.
     
    Last edited: Mar 23, 2015
    #82     Mar 23, 2015
  3. Trades

    Code:
             code contractid     filled_datetime  filledtrade  filledprice
    3070     AUS3     201506 2015-03-24 02:27:38            1     98.27000
    3067  AUSSTIR     201606 2015-03-24 02:04:13            1     98.05000
    3073     BOBL     201506 2015-03-24 07:33:16           -1    129.23000
    3074     BUND     201506 2015-03-24 07:36:27           -1    158.32000
    3080      CAC     201504 2015-03-24 14:24:28            1   5085.50000
    3082     CORN     201512 2015-03-24 17:50:23            1    416.25000
    3078  EDOLLAR     201809 2015-03-24 12:10:18            1     97.84500
    3072      GBP     201506 2015-03-24 06:22:50            1      1.49350
    3071     KR10     201506 2015-03-24 02:28:43            1    124.89000
    3081  LEANHOG     201506 2015-03-24 17:24:38            1     74.92500
    3079      US5     201506 2015-03-24 14:02:10            1    120.03125
    3075      V2X     201505 2015-03-24 09:03:04           -1     21.35000
    3076      V2X     201505 2015-03-24 10:04:52           -1     21.10000
    3077      V2X     201505 2015-03-24 12:02:22           -1     21.15000
    
    
    Slippage in GBP, for entire trade
    
    
             code  gbpt_slippage_process  gbpt_slippage_bidask  gbpt_slippage_execution  gbpt_slippage_all_trading  gbpt_slippage_total
    3071     KR10                 -12.58                  3.15                    -6.29                      -3.15               -15.73
    3080      CAC                 -10.85                  1.81                    -3.62                      -1.81               -12.65
    3078  EDOLLAR                   4.19                  8.38                   -16.76                      -8.38                -4.19
    3082     CORN                   0.00                  4.19                    -8.38                      -4.19                -4.19
    3073     BOBL                  -0.00                  3.62                    -7.23                      -3.62                -3.62
    3077      V2X                  -1.81                  3.62                    -0.00                       3.62                 1.81
    3072      GBP                  -4.19                  2.10                     4.19                       6.29                 2.10
    3079      US5                   5.24                  2.62                    -5.24                      -2.62                 2.62
    3075      V2X                  -0.00                  3.62                    -0.00                       3.62                 3.62
    3076      V2X                  -1.81                  1.81                     3.62                       5.42                 3.62
    3070     AUS3                  23.45                  7.82                   -15.64                      -7.82                15.64
    3074     BUND                   7.23                  3.62                     7.23                      10.85                18.08
    3067  AUSSTIR                  31.34                  6.27                   -12.54                      -6.27                25.07
    3081  LEANHOG                  40.23                  6.70                   -13.41                      -6.70                33.52
    
    Total slippage: process 80.440000; bidask 59.330000; execution -74.070000; all trading -14.760000; grand total 65.700000
    Starting to build up a short V2X on the back of a decent european stocks rally. Also building up bond risk.

    Risk is still low though, around £4,868 a day

    Here is an excerpt from my daily risk report

    Code:
    Expected annual risk more than GBP6400 per year, GBP400 per day
           code  multisignal  expected_annual_risk  expected_annual_risk_per_contract  position  expected_annual_risk_rounded_pos
    18      V2X         -9.8                  6603                                554       -11                              6095
    36     PLAT         -9.6                  6417                               6667        -1                              6667
    0      CORN        -11.6                  7768                               2494        -3                              7481
    29      GBP        -18.3                 12238                               7779        -1                              7779
    38   GAS_US        -15.2                 10189                               7909        -1                              7909
    19      VIX        -15.2                10214                              4790        -2                              9580
    30      JPY        -15.3                 10243                               5523        -2                             11046
    37  CRUDE_W        -28.3                 18977                              13165        -1                             13165
    
    11     BUND         13.6                  9096                               6533         1                              6533
    22      AEX         14.1                  9471                               8954         1                              8954
    20      ASX          9.8                  6600                               9252         1                              9252
    24      SMI         18.4                 12319                              10043         1                             10043
    23      CAC         11.9                  7988                               5140         2                             10280
    39  AUSSTIR         15.5                 10371                                936        11                             10295
    40  EDOLLAR         16.3                 10904                               2208         5                             11041
    
    Columns are code, signal (a normalised measure of risk, comparable across markets), expected risk annualised sigma if we could take non round positions, risk per contract, position in contracts, risk given we can only trade whole contracts.

    PROFIT: £4,385
    Below HWM £21K
     
    #83     Mar 24, 2015
  4. Trades

    Code:
            code contractid     filled_datetime  filledtrade  filledprice
    3086     CAC     201504 2015-03-25 11:24:37           -1      5049.50
    3083     KR3     201506 2015-03-25 02:21:55            1       109.29
    3093  NASDAQ     201506 2015-03-25 16:01:21           -1      4368.00
    3094   SP500     201506 2015-03-25 16:04:35           -1      2067.00
    3085     V2X     201505 2015-03-25 08:08:37           -2        21.05
    3092     V2X     201505 2015-03-25 13:06:33            1        21.40
    
    
    Slippage in GBP, for entire trade
    
    
            code  gbpt_slippage_process  gbpt_slippage_bidask  gbpt_slippage_execution  gbpt_slippage_all_trading  gbpt_slippage_total
    3086     CAC                 -12.80                  3.66                    -0.00                       3.66                -9.14
    3093  NASDAQ                  -6.70                  1.68                    -3.35                      -1.68                -8.38
    3092     V2X                  -3.66                  1.83                    -3.66                      -1.83                -5.48
    3085     V2X                 -14.62                 14.62                    -0.00                      14.62                -0.00
    3083     KR3                   0.00                  3.15                     0.00                       3.15                 3.15
    3094   SP500                  50.27                  4.19                     8.38                      12.57                62.83
    
    Total slippage: process 12.490000; bidask 29.130000; execution 1.370000; all trading 30.490000; grand total 42.980000
    
    LOSS £6201
    £27K below HWM

    Markets struggling to get purchase into new trends here. Looks like we're in for a period without any. So will lose some money, but risk reduction will keep losses under control. The game is to hang on to most of the money we made in the good days.
     
    #84     Mar 25, 2015
    jj1111 likes this.
  5. jj1111

    jj1111

    Making this look waaaay too easy :cool:
     
    #85     Mar 25, 2015
  6. "Success in systematic trading is mostly down to avoiding mistakes: over complicating things, being too optimistic about likely returns, taking too much risk and trading too often. I will help you avoid these errors. This won't guarantee large profits, but it will make failure much less likely."
     
    #86     Mar 26, 2015
    .sigma and K-Pia like this.
  7. jj1111

    jj1111

    Quote from the forthcoming book?

    Will you reference some of your Python code in the book (not necessarily the "secret sauce," but mostly how to handle various bits of data etc.)?
     
    #87     Mar 26, 2015
  8. I generally put that sort of thing on my blog, it's not a python book.

    If you have any requests for bits of code you'd like to see ('handle various bits of data' a bit vague...) then email me.
     
    #88     Mar 26, 2015
  9. Trades

    Code:
    Trades take 1
    
             code contractid     filled_datetime  filledtrade  filledprice
    3100      AEX     201504 2015-03-26 13:32:31           -1   482.750000
    3098      CAC     201504 2015-03-26 13:26:09           -1  4957.000000
    3107      CAC     201504 2015-03-26 16:59:17            1  5008.500000
    3102     CORN     201512 2015-03-26 14:06:19            1   418.500000
    3105     CORN     201512 2015-03-26 15:06:56           -1   413.500000
    3101  EDOLLAR     201809 2015-03-26 14:00:33           -1    97.765000
    3099   GAS_US     201506 2015-03-26 13:30:19           -1     2.798000
    3095      JPY     201506 2015-03-26 03:06:27            1     0.008392
    3104      SMI     201506 2015-03-26 14:23:28           -1  8903.000000
    3096      V2X     201505 2015-03-26 13:25:41            6    22.450000
    3103      V2X     201505 2015-03-26 14:22:51            1    22.650000
    3106    WHEAT     201512 2015-03-26 16:33:50           -1   532.000000
    
    
    Slippage in GBP, for entire trade
    
    
             code  gbpt_slippage_process  gbpt_slippage_bidask  gbpt_slippage_execution  gbpt_slippage_all_trading  gbpt_slippage_total
    3099   GAS_US                 -77.08                  3.35                    -6.70                      -3.35               -80.43
    3104      SMI                 -45.08                  3.47                    -6.94                      -3.47               -48.55
    3102     CORN                 -33.51                  4.19                     0.00                       4.19               -29.32
    3105     CORN                  -0.00                  4.19                    -8.38                      -4.19                -4.19
    3103      V2X                  -7.31                  3.66                     0.00                       3.66                -3.66
    3107      CAC                  -3.66                  1.83                     3.66                       5.48                 1.83
    3095      JPY                  16.76                  4.19                    -8.38                      -4.19                12.57
    3106    WHEAT                  -0.00                  8.38                     8.38                      16.76                16.76
    3098      CAC                  21.94                  1.83                    -0.00                       1.83                23.76
    3096      V2X                  21.94                 21.94                     0.00                      21.94                43.87
    3101  EDOLLAR                  16.76                  4.19                    33.51                      37.70                54.46
    3100      AEX                  76.77                  7.31                   -21.94                     -14.62                62.15
    
    Total slippage: process -12.470000; bidask 68.530000; execution -6.790000; all trading 61.740000; grand total 49.250000
    
    
    Continuing to cut risk, down to less than £4K a day expected now. Longs in bonds and STIR, and a short in Gas, are the only positions of note now.

    LOSS: £9891
    £37K below HWM
    P&L since inception: £344K

    Obviously some chunky losses on equities, but also short crude didn't play out well today. Yesterdays expected risk was £4554, so this was a 2 and a bit sigma day, or roughly one in two months loss. NOT so easy... How to put this into perspective? Since I began writing this thread I've made about 24K, or call it 16K a month. Annualised that would still be a 50% return. My conservative expectation is to make about 12% a year (SR of 0.5).

    This is just trading. Unless you're exceptional, or you're running a highly negative skew strategy which one day will blow up in your face, you don't make money every day or every week.

    I won't be updating this journal for a couple of weeks as I'm going to be on holiday, although with access to my system so I will be checking things are ticking over, but I want to do the absolute minimum of screen time otherwise.

    After that I will probably step back to updating weekly.
     
    #89     Mar 26, 2015
  10. Hello globalarbtrader,

    When you have the time, could you talk a bit about your back-testing methodology ? One interesting topic for me is the relation between in-sample and out-of-sample results.
     
    #90     Mar 29, 2015