Fully automated futures trading

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

  1. truetype


    AHL in FT today --

    Several big names have struggled. AHL’s Alpha and Dimension funds have
    gained only 1-2 per cent this year; BlueTrend, a fund run by Leda
    Braga’s Systematica, has lost 6.4 per cent, while David Harding’s
    $9.9bn Winton Futures Fund has trod water. But some have done well.
    For example, AHL’s Evolution fund is up 9.6 per cent in the year to
    the end of July, and Systematica’s Alternative Markets Fund has
    returned 11.4 per cent. Crucially, however, these two funds take
    advantage of momentum in less liquid, less efficient markets, not the
    major ones that tend to be popular with trend-followers.
    #931     Aug 29, 2017
  2. traider


    What are the less liquid markets?
    #932     Aug 29, 2017
  3. I believe some of these less liquid markets to be German and Scandi OTC power contracts, quarters and cals
    #933     Aug 30, 2017
  4. truetype


    What could possibly go wrong?
    #934     Aug 30, 2017
    lawrence-lugar likes this.
  5. Does anyone know where I can download Korean 3 year bond futures data? Quandl only goes back to Sept 2016
    #935     Aug 31, 2017
  6. Interactive Brokers has this data. However, they only keep data for expired contracts available until two years after expiry.
    #936     Aug 31, 2017
  7. #937     Sep 1, 2017
  8. Big components of AHL Evo fund include:

    Interest rate swaps (admittedly some of these are extremely liquid but they're OTC so not suitable for a traditional managed account)
    OTC FX (also very liquid, although EM crosses less so) forwards and options
    Single equity and ETFs (again quite liquid)
    US agency debt
    CDS indices
    Power markets (electricity, coal, iron ore)

    page 16

    #938     Sep 1, 2017
  9. Yes I multiply by around 2.5 but ignoring performance fees (which obviously handicap AHL in the comparison). I'm using the precise monthly figures from a spreadsheet hence a slight difference in the numbers you get reading off the graph.

    My figures already account for my change in vol target (i.e. they assume I've always been running at 25)

    #939     Sep 1, 2017
  10. Elder


    Hi GAT, I am trying to stitch together an initial futures price database for backtesting the system in your book. My default roll policy was going to be to ‘roll to the 2nd nearby’ with the exception of seasonal contracts. Where this is not possible I was going to use the 1st. The rationale for staying at the front is based on my prior that the steepness and vol of futures curves for non-seasonal contracts tends to be greatest at the front (with the exception of STIR). After reading your blog on rolling, I understand you have a more complicated roll policy which is to roll to optimal carry contracts for live trading, but its not clear whether you apply this more complicated policy for building your core pre-live trading database and whether I would be missing something by not attempting to do the same? Partly I am daunted by the coding effort to get this flexible roll policy into a system and partly I am thinking this could be over-complication for perhaps marginal benefit. Any insights about your approach and views on mine would be very welcome.
    #940     Sep 5, 2017