Adventures in Automation

[nooby_mcnoob]

Down a bit in July and up 23% for the year. I am going to experiment with adding some sort of 10-year bond breakout strategies into the portfolio. In theory, those sort of strategies might smooth out my equity curve a bit and potentially improve net results.

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That's the idea! You've got a very good foundation for this technically, scale it up. Why not also add some short strategies to the mix?

 

[Snuskpelle]

40% eq 60% bonds is a popular balance that backtests well.

Short eq strats are a good idea hypothetically, in practice difficult to find any that don't lose money due to long bias. But hey, gotta have alpha instead of beta, right.

 

[fan27]

40% eq 60% bonds is a popular balance that backtests well.

Short eq strats are a good idea hypothetically, in practice difficult to find any that don't lose money due to long bias. But hey, gotta have alpha instead of beta, right.

Good information! I have found a few short strategies for equity index futures but only for bear market regimes. Hope to deploy an equity/bond strategy portfolio within the next couple of weeks. Will post details as soon as I deploy with some performance (backtest) comparisons.

 

[fan27]

In other news, I am getting ready to release a new version of FasterQuant. I have made some massive performance improvements and it will have better support for equities with the ability to easily generate long/short equity and futures portfolios. I am also going to start open sourcing portions of my AlgoTerminal live trading setup which users of AlgoTerminal will especially find useful...though anyone using a C# based platform will also be able to use the tech.

 

[HobbyTrading]

@fan27 I notice that until now you only use equity index futures. Would it make sense to expand to other asset classes, to spread the risk/volatility? For example bonds (or EuroDollar), or commodities (e.g. corn, oil, gold)?

 

[fan27]

@fan27 I notice that until now you only use equity index futures. Would it make sense to expand to other asset classes, to spread the risk/volatility? For example bonds (or EuroDollar), or commodities (e.g. corn, oil, gold)?

Yes. That is the plan.

 

[fan27]

Flat since Friday morning...avoided the blood bath today. Looks like more pain in store for the Longs.

 

[fan27]

Long 1 ES at 2887.25 for 30 min bar strategy.
Trailing Stop at 2865.75
Exit after 250 bars

Long 1 NQ at 7588.25 for 30 min bar strategy.
Trailing Stop at 7524.50
Exit after 250 bars

 

[fan27]

Long 1 ES at 2887.25 for 30 min bar strategy.
Trailing Stop at 2865.75
Exit after 250 bars

Long 1 NQ at 7588.25 for 30 min bar strategy.
Trailing Stop at 7524.50
Exit after 250 bars

What a morning so far! Still in both trades....NQ was not stopped out as my stop orders only trigger during RTH.

 

[fan27]

Let's see if the current stops hold for another leg up. Look how close NQ got to the stop price. Magic!