Adventures in Algorithms

Raphael · Feb 4, 2016

botpro said:
There is a gap between Dec-1 till yesterday, so there was either no information posted or maybe a page has got lost?

2 months paternity leave plus lots of international travel. The positions didn't change significantly from what I originally listed, although they did double when I doubled my capital base. So everything has been long treasuries and short corn the whole way through with some minor AUD trades.

I just deposited another $20k bringing the total deposits to $60k.

globalarbtrader · Feb 4, 2016

Raphael said:
Thanks! I was just listening to your interview on Trend Following Radio this evening. Really interesting as always.

I've been meaning to get around to diversifying the portfolio more now that the account is a little larger. Although it's nice having a bit more granularity in the trades with the current setup. Do you have any thoughts on what's more preferable, a more diversified portfolio or finer granularity for positions?

My gut feeling is diversification is better. However this topic keeps coming up so it will be the subject of a research project and a blog post, sometime in the next couple of weeks hopefully.

GAT

globalarbtrader · Feb 4, 2016

Raphael said:
2 months paternity leave plus lots of international travel. The positions didn't change significantly from what I originally listed, although they did double when I doubled my capital base. So everything has been long treasuries and short corn the whole way through with some minor AUD trades.

I just deposited another $20k bringing to total deposits to $60k.

Oh and congratulations on the new arrival. Bet you're glad to be systematic - I'd hate to be a discretionary trader with a young baby.

(My youngest daughter was born in November .... 2008. Stressful times all round!)

GAT

Raphael · Feb 4, 2016

globalarbtrader said:
Oh and congratulations on the new arrival. Bet you're glad to be systematic - I'd hate to be a discretionary trader with a young baby.

(My youngest daughter was born in November .... 2008. Stressful times all round!)

GAT

Yes. There's definitely advantages to being systematic, particularly while traveling. I had a simple cronjob running on my desktop and sending me a daily email with trades that I'd execute manually on my phone while overseas. I was amazed how well it worked.

Raphael · Feb 8, 2016

Account is up to $43.75k, so $3.75k profit.

Current positions:

Code:

GE DEC17  4
ZC MAR16 -4
ZT MAR16  2

Waiting on additional funds to clear. The total deposits will be $80k shortly, at which point I'll extend some of these positions. I should probably redesign my portfolio at some point soon to achieve more diversification now that I have a larger capital base. The original portfolio was designed for an account of $20k so I can likely expand into a broader range of asset classes now. I'm currently thinking about swapping out the Nikkei for the euro stoxx 50 and adding in some metals.

Raphael · Feb 8, 2016

What a great day. Up to $44.77k.

Raphael · Feb 10, 2016

New high water mark. $65.27k, which consists of $60k deposits and $5.27k profit.

Current positions:

Code:

GE DEC17  5
ZC MAR16 -6
ZT MAR16  2

Raphael · Feb 10, 2016

Another great day. $66.23k.

globalarbtrader · Mar 9, 2016

Raphael said:
Thanks! I was just listening to your interview on Trend Following Radio this evening. Really interesting as always.

I've been meaning to get around to diversifying the portfolio more now that the account is a little larger. Although it's nice having a bit more granularity in the trades with the current setup. Do you have any thoughts on what's more preferable, a more diversified portfolio or finer granularity for positions?

I've finally got round to answering this question.

http://qoppac.blogspot.co.uk/2016/03/diversification-and-small-account-size.html

It looks like the former (as I thought). I'd say with five positions you're probably about right for the capital you have. With $80K you can probably add a couple more instruments.

GAT

Raphael · Mar 11, 2016

globalarbtrader said:
I've finally got round to answering this question.

http://qoppac.blogspot.co.uk/2016/03/diversification-and-small-account-size.html

It looks like the former (as I thought). I'd say with five positions you're probably about right for the capital you have. With $80K you can probably add a couple more instruments.

GAT

Great article. Thank you! One thing worth noting is that KR3 and V2X are not available to US residents sadly.

https://www.interactivebrokers.com/en/?f=/en/trading/eligibleProducts.php

With those removed the top 6 become

US2, EDOLLAR, MXP, CORN, EUROSTX, VIX