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  1. globalarbtrader

    Fully automated futures trading

    Another 2.5% at pixel time. Drawdown less than 1% now. I can taste the HWM, it's so close. Global equities down 2.5% so if my mix was 50:50 I'd be perfectly hedged. It's not :-( Rob
  2. globalarbtrader

    Comparison of financial data providers

    The article isn't bad actually, although I'd take exception with "You could probably live without Bloomberg if … You’re in investment banking. Investment bankers do not use Bloomberg as widely as some of their sell-side peers and buy-side professionals." ... ignores the fact that a BB...
  3. globalarbtrader

    Fully automated futures trading

    Manual, or do you scrape the web page every few seconds? Rob
  4. globalarbtrader

    Fully automated futures trading

    Obviously a mistake to bring this up, but I made 2.5% yesterday and a few bps this morning. Always feels weird when the portfolio is positioned pro-bad news, and you find yourself thinking you'd wish there would be a war or something... GAT
  5. globalarbtrader

    Fully automated futures trading

    +2.5% today, but my long only portfolio (which is a bigger part of my risk) is probably down a similar amount, so hey ho.... Rob
  6. globalarbtrader

    Fully automated futures trading

    Not as good as you, but it's been a steady recovery from the horrors of late November. My drawdown now is just 6%, and I've made money almost every day over the last two weeks. Year to date is +7.2%. Here's more of a breakdown: Total p&l is 7.28% ==================================== P&L by...
  7. globalarbtrader

    Looking for new futures broker

    Unless I'm misreading this table, not every broker it seems: https://www.interactivebrokers.com/en/index.php?f=26662 GAT
  8. globalarbtrader

    Looking for new futures broker

    Oh.... I know a few things about the futures market.... :-) GAT
  9. globalarbtrader

    Looking for new futures broker

    But it's only the extra risk of the first night that matters, after that variation margin takes you back to the same position as a day trader who closed the day before. Overnight moves are smaller than moves during the day. So at worse, a trader who holds overnight is only a slightly worse risk...
  10. globalarbtrader

    Fully automated futures trading

    I agree with you but I'm surprised to hear this. Like others, I've not had this experience. If anything over the last 8 years plus of using the product it's actually got a bit more stable over time. GAT
  11. globalarbtrader

    Looking for new futures broker

    Dumb question perhaps, but why should a broker offer a more generous margin to day traders? It isn't any less risky. I'm fairly sure the exchange doesn't offer a lower margin. In my personal opinion changing brokers because they aren't offering you enough margin is like going to a different gun...
  12. globalarbtrader

    What do you do to get your edge?

    No edge here GAT
  13. globalarbtrader

    Barchart: Quality of Data?

    I've used barchart data to backfill my futures database, given that IB only offer a year of historical data through the API. When I've compared the two sources where they overlap I have seen no major issues. Perhaps 0.00001% of prices show obvious errors, usually a price divided by 100 or...
  14. globalarbtrader

    Fully automated futures trading

    Discussed here https://qoppac.blogspot.com/2019/09/building-garden-trading-office.html It's about 180 feet from my router to the office, so an extender wouldn't have cut it. So I laid an ethernet cable and also a phone line (probably some way of multiplexing them, but beyond me!). GAT
  15. globalarbtrader

    Fully automated futures trading

    Not sure, but if you're trading automatically you shouldn't be submitting orders if, for example, the spread is too wide or has insufficient depth. Rob
  16. globalarbtrader

    Fully automated futures trading

    Equity sectors eg EU basic
  17. globalarbtrader

    Fully automated futures trading

    Risk Total risk across all strategies, annualised percentage 13.5 ======================================== Risk per strategy, annualised percentage ======================================== risk dynamic_TF_carry 13.5...
  18. globalarbtrader

    Fully automated futures trading

    Was a good January - though not for people with big equity allocations. Total p&l is 4.000% ==================================== P&L by instrument for all strategies ==================================== codes pandl 0 AEX -1.8 1 VIX -0.7 2 DOW...
  19. globalarbtrader

    Fully automated futures trading

    No more carry wars people... you have been warned... Rob
  20. globalarbtrader

    Fully automated futures trading

    Weird right now I'm seeing about the same volume and open interest in both September and December?? March 2022: volume 69, Open interest 2011 May 22, 910 July 41, 261 Sep 81, 288 Dec 101, 278 (Snapshotted volumes are as of now, will obviously grow through the day, and might not be...
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