Recent content by handelsmeisterei

thanks! As MDEX was not listed on their exchange list, I thought they don't have it. Good to know!

As you are also a CSI user, did you identify the Palm Oil futures in their security master? I did not find anything. Do you get the data somewhere else?

To be honest, I am kind of happy that I still paper trade futures. The system has had a good run till April (+15%) and lost all of that again. I plan on going live after the summer break and will have to make a decision then. As trend following has some weak mean reverting behaviour, going live...

I could not find a big difference in performance if I force a big move in the forecast. At first I thought I had found something, but as it turned out, I made an error: I had a lookahead bias in the forecast difference (the system know the forecast move of the next day).

No I did not implement that. Did that change make things much better for you?

Did a little bit more digging: In my universe only equity futures have significant negative autocorrelation. Most of them on lag1. The mean reversion thing seems to be equity-only.

I did a quick and dirty implementation of the forecast and barely got a positive sharpe after costs starting 1975 on 215 instruments. The performance is especially bad up to 1990. From 1990 onwards I get a sharpe of 0.2. Slowing down the equilibrium to a span of 10 helps a little bit, but the...

How do you calculate the pullback forecast exactly? Happy to test this on my data (I only have daily data)

It's done now. The additional 110 instruments (now totalling 215 liquid instruments) resulted in a sharpe increase of 0.15 in the backtest, which starts 1975. Not too bad but also not great. Interestingly, the trend-type strategies improved much more than the carry-type variants.

I expect to see an increase of about 0.2 sharpe (16%) in the backtest and perhaps 0.1 in live trading. Pure speculation of course :)

I bit the bullet and started adding CSI data a few days ago. In the first pass, I backfilled instruments I already have and added some delisted instruments that have a reasonable history (such as pork bellies and the German Deutschmark bonds). This exercise produced some interesting results...

It is not limited to futures but to API-trading in general. Currently I am only trading stocks on US- and Australian exchanges (futures trading is not yet live) and had to fill out the form.

I had to answer the same questions and trade within a limited company based in the EU. Seems to be MiFID related.

I have a question about carry, regarding the carry offset (current - front vs front - current). I see a few instruments in my data that use a carry offset of +1 despite having reasonable volume in the second month. Consider the term structure of orange juice in the screenshot as an example...

With dynamic optimisation there actually is no upper limit on how many futures can be traded. Of course there a diminishing returns to diversification. Onboarding more futures has other advantages too, like making your statistical tests more meaningful or stabilising estimated measures like...