Automated folio trading - Role of Information and Hedging

fullautotrading · Mar 11, 2015

Here is, in particular, the list of "removed "(from view) layers:

Code:

======================================= Removed layers (144) =======================================


-- Summmary:

-- Positive PNL --

Thu 05 Feb 2015 03:41:56    CL FOP 201502 51 C NYMEX 1000            PNL: 700.76, comms: 9.24, fills: 4, Pos: 0
Thu 05 Feb 2015 03:42:01    CL FOP 201502 52 C NYMEX 1000            PNL: 427.66, comms: 32.34, fills: 8, Pos: 0
Thu 05 Feb 2015 03:42:07    CL FOP 201502 53 C NYMEX 1000            PNL: 293.74, comms: 106.26, fills: 16, Pos: 0
Thu 05 Feb 2015 03:42:19    CL FOP 201502 54 C NYMEX 1000            PNL: 659.94, comms: 60.06, fills: 7, Pos: 0
Thu 05 Feb 2015 03:42:23    CL FOP 201502 56 C NYMEX 1000            PNL: 696.84, comms: 83.16, fills: 13, Pos: 0
Thu 05 Feb 2015 03:42:28    CL FOP 201502 60 C NYMEX 1000            PNL: 306.14, comms: 13.86, fills: 3, Pos: 0
Thu 05 Feb 2015 03:42:32    CL FOP 201502 61 C NYMEX 1000            PNL: 736.90, comms: 23.10, fills: 4, Pos: 0
Thu 05 Feb 2015 03:42:40    CL FOP 201502 62 C NYMEX 1000            PNL: 76.14, comms: 13.86, fills: 2, Pos: 0
Thu 05 Feb 2015 03:43:03    CL FOP 20150217 47 C NYMEX 1000          PNL: 221.52, comms: 18.48, fills: 7, Pos: 0
Thu 05 Feb 2015 03:43:09    CL FOP 20150217 60 C NYMEX 1000          PNL: 102.50, comms: 577.50, fills: 42, Pos: 0
Thu 05 Feb 2015 03:43:16    CL FOP 20150217 63 C NYMEX 1000          PNL: 5.38, comms: 4.62, fills: 2, Pos: 0
Thu 05 Feb 2015 03:43:30    CL FOP 20150217 65 C NYMEX 1000          PNL: 21.52, comms: 18.48, fills: 3, Pos: 0
Thu 05 Feb 2015 03:43:36    CL FOP 20150217 67 C NYMEX 1000          PNL: 10.76, comms: 9.24, fills: 2, Pos: 0
Thu 05 Feb 2015 03:43:43    CL FOP 201503 48 C NYMEX 1000            PNL: 1,166.84, comms: 83.16, fills: 32, Pos: 0
Thu 05 Feb 2015 03:43:48    CL FOP 201503 49 C NYMEX 1000            PNL: 1,616.90, comms: 23.10, fills: 8, Pos: 0
Thu 05 Feb 2015 03:43:53    CL FOP 201503 54 C NYMEX 1000            PNL: 109.18, comms: 50.82, fills: 14, Pos: 0
Thu 05 Feb 2015 03:43:57    CL FOP 201503 55 C NYMEX 1000            PNL: 107.66, comms: 32.34, fills: 11, Pos: 0
Thu 05 Feb 2015 03:44:02    CL FOP 201503 58 C NYMEX 1000            PNL: 109.15, comms: 80.85, fills: 9, Pos: 0
Thu 05 Feb 2015 03:44:07    CL FOP 201503 60 C NYMEX 1000            PNL: 815.23, comms: 154.77, fills: 43, Pos: 0
Thu 05 Feb 2015 03:44:11    CL FOP 201506 49 C NYMEX 1000            PNL: 1,643.04, comms: 36.96, fills: 16, Pos: 0
Thu 05 Feb 2015 03:44:20    CL FOP 201506 54 C NYMEX 1000            PNL: 113.80, comms: 46.20, fills: 13, Pos: 0
Thu 05 Feb 2015 03:44:37    CL FOP 201502 46 P NYMEX 1000            PNL: 176.90, comms: 23.10, fills: 2, Pos: 0
Thu 05 Feb 2015 03:44:43    CL FOP 201502 49 P NYMEX 1000            PNL: 502.25, comms: 57.75, fills: 14, Pos: 0
Thu 05 Feb 2015 03:44:49    CL FOP 201502 51 P NYMEX 1000            PNL: 499.97, comms: 30.03, fills: 4, Pos: 0
Thu 05 Feb 2015 03:44:53    CL FOP 201502 52 P NYMEX 1000            PNL: 430.76, comms: 9.24, fills: 2, Pos: 0
Thu 05 Feb 2015 03:44:57    CL FOP 201502 55 P NYMEX 1000            PNL: 310.76, comms: 9.24, fills: 2, Pos: 0
Thu 05 Feb 2015 03:45:01    CL FOP 201502 57 P NYMEX 1000            PNL: 1,030.76, comms: 9.24, fills: 2, Pos: 0
Thu 05 Feb 2015 03:45:08    CL FOP 201503 40 P NYMEX 1000            PNL: 16.14, comms: 13.86, fills: 6, Pos: 0
Thu 05 Feb 2015 03:45:13    CL FOP 201503 41 P NYMEX 1000            PNL: 10.76, comms: 9.24, fills: 4, Pos: 0
Thu 05 Feb 2015 03:45:17    CL FOP 201503 42 P NYMEX 1000            PNL: 148.42, comms: 41.58, fills: 11, Pos: 0
Thu 05 Feb 2015 03:45:22    CL FOP 201503 44 P NYMEX 1000            PNL: 141.34, comms: 198.66, fills: 60, Pos: 0
Thu 05 Feb 2015 03:45:34    CL FOP 201503 45 P NYMEX 1000            PNL: 59.06, comms: 170.94, fills: 56, Pos: 0
Thu 05 Feb 2015 03:45:38    CL FOP 201503 46 P NYMEX 1000            PNL: 939.00, comms: 231.00, fills: 63, Pos: 0
Thu 05 Feb 2015 03:45:44    CL FOP 201503 47 P NYMEX 1000            PNL: 1,859.88, comms: 120.12, fills: 40, Pos: 0
Thu 05 Feb 2015 03:45:51    CL FOP 201503 48 P NYMEX 1000            PNL: 2,215.08, comms: 304.92, fills: 64, Pos: 0
Thu 05 Feb 2015 03:45:56    CL FOP 201503 48 P NYMEX 1000_L1         PNL: 553.80, comms: 46.20, fills: 13, Pos: 0
Thu 05 Feb 2015 03:46:01    CL FOP 201503 49 P NYMEX 1000            PNL: 259.88, comms: 120.12, fills: 33, Pos: 0
Thu 05 Feb 2015 03:46:05    CL FOP 201503 51 P NYMEX 1000            PNL: 693.04, comms: 36.96, fills: 10, Pos: 0
Thu 05 Feb 2015 03:46:10    CL FOP 201503 54 P NYMEX 1000            PNL: 8,670.58, comms: 189.42, fills: 49, Pos: 0
Thu 05 Feb 2015 03:46:14    CL FOP 201503 55 P NYMEX 1000            PNL: 1,151.46, comms: 78.54, fills: 22, Pos: 0
Thu 05 Feb 2015 03:46:18    CL FOP 201503 56 P NYMEX 1000            PNL: 1,525.32, comms: 64.68, fills: 15, Pos: 0
Thu 05 Feb 2015 03:46:22    CL FOP 201503 57 P NYMEX 1000            PNL: 498.42, comms: 41.58, fills: 11, Pos: 0
Thu 05 Feb 2015 03:46:26    CL FOP 201503 58 P NYMEX 1000            PNL: 815.32, comms: 64.68, fills: 24, Pos: 0
Thu 05 Feb 2015 03:46:30    CL FOP 201503 60 P NYMEX 1000            PNL: 1,388.42, comms: 41.58, fills: 5, Pos: 0
Thu 05 Feb 2015 03:46:34    CL FOP 201503 61 P NYMEX 1000            PNL: 4,626.90, comms: 23.10, fills: 4, Pos: 0
Thu 05 Feb 2015 03:46:38    CL FOP 201504 56 P NYMEX 1000            PNL: 2,453.80, comms: 46.20, fills: 2, Pos: 0
Thu 05 Feb 2015 03:46:48    CL FOP 201502 50 P NYMEX 1000            PNL: 342.28, comms: 27.72, fills: 4, Pos: 0
Thu 05 Feb 2015 03:47:33    ERY OPT 20150116 18 P SMART 100          PNL: 341.52, comms: 158.48, fills: 4, Pos: 0
Thu 05 Feb 2015 03:47:45    ERY OPT 20150116 20 P SMART 100          PNL: 36.48, comms: 3.52, fills: 2, Pos: 0
Thu 05 Feb 2015 03:48:56    ERX STK SMART                            PNL: 2,897.87, comms: 451.11, fills: 365, Pos: 0
Thu 05 Feb 2015 03:49:06    ERX STK SMART_L2                         PNL: 9,359.62, comms: 418.41, fills: 91, Pos: 0
Thu 05 Feb 2015 03:49:42    ERY STK SMART_USD_L1                     PNL: 334.13, comms: 68.33, fills: 9, Pos: 0
Thu 05 Feb 2015 03:50:22    ERY STK SMART_USD                        PNL: 3,164.86, comms: 2,979.85, fills: 709, Pos: 0
Thu 05 Feb 2015 03:51:51    CL FUT 201512 NYMEX 1000                 PNL: 8,038.80, comms: 1,201.20, fills: 402, Pos: 0
Thu 05 Feb 2015 03:52:16    ERY OPT 20150116 20 C SMART 100          PNL: 2,637.54, comms: 262.46, fills: 4, Pos: 0
Thu 05 Feb 2015 03:52:23    ERY OPT 20150116 25 P SMART 100          PNL: 576.18, comms: 23.82, fills: 2, Pos: 0
Thu 05 Feb 2015 03:52:31    ERY OPT 20150116 30 P SMART 100          PNL: 2,920.15, comms: 79.85, fills: 2, Pos: 0
Thu 05 Feb 2015 03:52:36    ERY OPT 20150417 25 P SMART 100          PNL: 1,930.15, comms: 69.85, fills: 2, Pos: 0
Thu 05 Feb 2015 04:09:39    ERY OPT 20150116 21 C SMART 100          PNL: 13,529.79, comms: 160.21, fills: 9, Pos: 0
Thu 05 Feb 2015 04:10:15    ERY OPT 20150116 24 C SMART 100          PNL: 5,293.60, comms: 56.40, fills: 5, Pos: 0
Thu 05 Feb 2015 04:10:22    ERY OPT 20150116 25 C SMART 100          PNL: 2,899.64, comms: 25.36, fills: 2, Pos: 0
Thu 05 Feb 2015 04:10:27    ERY OPT 20150116 27 C SMART 100          PNL: 2,708.61, comms: 246.39, fills: 9, Pos: 0
Thu 05 Feb 2015 04:10:35    ERY OPT 20150417 25 C SMART 100          PNL: 12,027.15, comms: 142.85, fills: 3, Pos: 0
Thu 05 Feb 2015 04:28:32    CL FUT 201512 NYMEX 1000_L2              PNL: 1,272.28, comms: 27.72, fills: 8, Pos: 0
Thu 05 Feb 2015 05:00:00    CL FUT 201512 NYMEX 1000_L3              PNL: 1,389.94, comms: 60.06, fills: 13, Pos: 0
Thu 05 Feb 2015 05:47:55    CL FUT 201512 NYMEX 1000_L4              PNL: 1,278.42, comms: 41.58, fills: 7, Pos: 0
Thu 05 Feb 2015 07:38:13    CL FUT 201512 NYMEX 1000_L5              PNL: 2,658.42, comms: 41.58, fills: 10, Pos: 0
Thu 05 Feb 2015 09:48:56    CL FUT 201512 NYMEX 1000_L6              PNL: 4,399.94, comms: 60.06, fills: 14, Pos: 0
Thu 05 Feb 2015 10:19:18    CL FOP 201506 55 C NYMEX 1000            PNL: 133.04, comms: 36.96, fills: 16, Pos: 0
Thu 05 Feb 2015 10:19:22    CL FOP 201506 53 C NYMEX 1000            PNL: 1,801.52, comms: 18.48, fills: 5, Pos: 0

continues....

fullautotrading · Mar 11, 2015

Code:

Thu 05 Feb 2015 11:00:38    CL FUT 201512 NYMEX 1000_L2              PNL: 653.01, comms: 66.99, fills: 17, Pos: 0
Thu 05 Feb 2015 11:28:22    CL FOP 201506 55 C NYMEX 1000            PNL: 0.76, comms: 9.24, fills: 4, Pos: 0
Thu 05 Feb 2015 11:28:25    CL FOP 201506 57 C NYMEX 1000            PNL: 411.52, comms: 18.48, fills: 6, Pos: 0
Thu 05 Feb 2015 11:39:35    ERX STK SMART_L3                         PNL: 25,134.52, comms: 204.33, fills: 51, Pos: 0
Thu 05 Feb 2015 11:52:22    CL FUT 201512 NYMEX 1000_L2              PNL: 1,158.42, comms: 41.58, fills: 11, Pos: 0
Fri 06 Feb 2015 13:55:04    CL FOP 201506 59 C NYMEX 1000            PNL: 203.04, comms: 36.96, fills: 13, Pos: 0
Fri 06 Feb 2015 14:08:32    CL FOP 201506 55 C NYMEX 1000            PNL: 201.52, comms: 18.48, fills: 7, Pos: 0
Mon 09 Feb 2015 09:35:28    CL FOP 201506 58 C NYMEX 1000            PNL: 1,692.80, comms: 277.20, fills: 32, Pos: 0
Mon 09 Feb 2015 13:57:05    CL FOP 201506 56 C NYMEX 1000            PNL: 276.90, comms: 23.10, fills: 7, Pos: 0
Mon 09 Feb 2015 13:58:57    CL FOP 201503 45 P NYMEX 1000            PNL: 7,512.98, comms: 97.02, fills: 5, Pos: 0
Mon 09 Feb 2015 14:19:35    CL FOP 201503 44 P NYMEX 1000            PNL: 6,255.20, comms: 184.80, fills: 7, Pos: 0
Mon 09 Feb 2015 14:55:07    CL FOP 201503 43 P NYMEX 1000            PNL: 4,907.60, comms: 92.40, fills: 2, Pos: 0
Mon 09 Feb 2015 14:55:27    CL FOP 201503 42 P NYMEX 1000            PNL: 3,707.60, comms: 92.40, fills: 2, Pos: 0
Tue 10 Feb 2015 07:06:22    CL FOP 201506 58 C NYMEX 1000            PNL: 75.38, comms: 4.62, fills: 2, Pos: 0
Tue 10 Feb 2015 08:45:50    CL FUT 201503 NYMEX 1000                 PNL: 746.90, comms: 23.10, fills: 7, Pos: 0
Tue 10 Feb 2015 09:22:05    CL FOP 201503 48 P NYMEX 1000            PNL: 254.50, comms: 115.50, fills: 8, Pos: 0
Tue 10 Feb 2015 09:55:07    CL FUT 201503 NYMEX 1000_L1              PNL: 1,230.76, comms: 9.24, fills: 2, Pos: 0
Tue 10 Feb 2015 10:25:54    CL FOP 20150617 57 C NYMEX 1000          PNL: 362.28, comms: 27.72, fills: 4, Pos: 0
Tue 10 Feb 2015 10:55:40    CL FOP 201503 41 P NYMEX 1000            PNL: 1,761.40, comms: 138.60, fills: 4, Pos: 0
Wed 11 Feb 2015 08:49:24    CL FUT 201503 NYMEX 1000_L2              PNL: 780.76, comms: 9.24, fills: 4, Pos: 0
Wed 11 Feb 2015 12:09:19    CL FOP 20150217 43 P NYMEX 1000          PNL: 120.76, comms: 9.24, fills: 3, Pos: 0
Wed 11 Feb 2015 12:09:23    CL FOP 20150217 44 P NYMEX 1000          PNL: 85.38, comms: 4.62, fills: 2, Pos: 0
Thu 12 Feb 2015 03:47:55    CL FOP 20150217 45 P NYMEX 1000          PNL: 864.38, comms: 235.62, fills: 8, Pos: 0
Thu 12 Feb 2015 09:15:34    CL FOP 201503 50 P NYMEX 1000            PNL: 186.08, comms: 73.92, fills: 23, Pos: 0
Thu 12 Feb 2015 11:31:42    CL FOP 201503 41 P NYMEX 1000            PNL: 353.80, comms: 46.20, fills: 2, Pos: 0
Thu 12 Feb 2015 11:32:03    CL FOP 201503 42 P NYMEX 1000            PNL: 1,415.20, comms: 184.80, fills: 3, Pos: 0
Fri 13 Feb 2015 08:39:38    CL FOP 20150617 57 P NYMEX 1000          PNL: 153.04, comms: 36.96, fills: 9, Pos: 0
Fri 13 Feb 2015 09:52:20    CL FOP 20150217 48 P NYMEX 1000          PNL: 1,061.40, comms: 138.60, fills: 2, Pos: 0
Tue 17 Feb 2015 09:26:37    CL FOP 20150217 50 P NYMEX 1000          PNL: 179.85, comms: 150.15, fills: 7, Pos: 0
Tue 17 Feb 2015 09:27:47    CL FOP 20150217 47 P NYMEX 1000          PNL: 1,815.20, comms: 184.80, fills: 4, Pos: 0
Tue 17 Feb 2015 09:29:53    CL FOP 20150217 46 P NYMEX 1000          PNL: 902.01, comms: 297.99, fills: 6, Pos: 0
Wed 18 Feb 2015 08:11:29    CL FOP 20150217 45 P NYMEX 1000          PNL: 679.15, comms: 80.85, fills: 5, Pos: 0
Wed 18 Feb 2015 08:11:35    CL FOP 20150217 50 P NYMEX 1000          PNL: 1,961.40, comms: 138.60, fills: 3, Pos: 0
Wed 18 Feb 2015 13:27:40    ERX STK SMART_L4                         PNL: 12,408.08, comms: 2,652.64, fills: 476, Pos: 0
Thu 19 Feb 2015 03:28:29    CL FUT 201504 NYMEX 1000                 PNL: 607.60, comms: 92.40, fills: 15, Pos: 0
Thu 19 Feb 2015 04:03:08    CL FUT 201505 NYMEX 1000                 PNL: 1,255.32, comms: 64.68, fills: 10, Pos: 0
Thu 19 Feb 2015 04:10:50    CL FUT 201504 NYMEX 1000                 PNL: 40.76, comms: 9.24, fills: 4, Pos: 0
Thu 19 Feb 2015 04:44:57    CL FUT 201504 NYMEX 1000                 PNL: 56.90, comms: 23.10, fills: 9, Pos: 0
Thu 19 Feb 2015 11:34:22    CL FOP 20150514 45 P NYMEX 1000          PNL: 131.52, comms: 18.48, fills: 6, Pos: 0
Thu 19 Feb 2015 12:17:54    CL FOP 20150514 46 P NYMEX 1000          PNL: 351.52, comms: 18.48, fills: 6, Pos: 0
Thu 19 Feb 2015 12:18:26    CL FOP 20150514 47 P NYMEX 1000          PNL: 411.52, comms: 18.48, fills: 6, Pos: 0
Thu 19 Feb 2015 14:14:54    CL FOP 20150514 47 P NYMEX 1000          PNL: 225.38, comms: 4.62, fills: 2, Pos: 0
Thu 19 Feb 2015 14:24:38    CL FOP 20150514 46 P NYMEX 1000          PNL: 125.38, comms: 4.62, fills: 2, Pos: 0
Thu 19 Feb 2015 14:31:37    CL FOP 20150514 48 P NYMEX 1000          PNL: 105.38, comms: 4.62, fills: 2, Pos: 0
Thu 19 Feb 2015 14:35:34    CL FOP 20150514 45 P NYMEX 1000          PNL: 65.38, comms: 4.62, fills: 2, Pos: 0
Mon 23 Feb 2015 06:44:07    CL FOP 201506 55 C NYMEX 1000            PNL: 319.70, comms: 300.30, fills: 69, Pos: 0
Mon 23 Feb 2015 07:53:38    CL FOP 201506 56 C NYMEX 1000            PNL: 1,073.56, comms: 286.44, fills: 69, Pos: 0
Mon 23 Feb 2015 13:49:03    CL FOP 20150514 48 P NYMEX 1000_L1       PNL: 31.52, comms: 18.48, fills: 4, Pos: 0
Mon 23 Feb 2015 13:49:15    CL FOP 20150514 51 P NYMEX 1000          PNL: 256.90, comms: 23.10, fills: 4, Pos: 0
Mon 23 Feb 2015 13:58:25    CL FOP 20150514 45 P NYMEX 1000_L1       PNL: 151.52, comms: 18.48, fills: 4, Pos: 0
Mon 23 Feb 2015 14:38:23    ERX STK SMART_L5                         PNL: 2,493.35, comms: 760.56, fills: 144, Pos: 0
Tue 24 Feb 2015 14:39:30    CL FOP 201506 53 C NYMEX 1000            PNL: 55.38, comms: 4.62, fills: 2, Pos: 0
Wed 25 Feb 2015 11:44:28    CL FOP 20150514 47 P NYMEX 1000_L1       PNL: 452.28, comms: 27.72, fills: 5, Pos: 0
Wed 25 Feb 2015 11:51:36    CL FOP 20150514 50 P NYMEX 1000          PNL: 154.56, comms: 55.44, fills: 8, Pos: 0
Wed 25 Feb 2015 11:51:40    CL FOP 20150514 52 P NYMEX 1000          PNL: 599.94, comms: 60.06, fills: 7, Pos: 0
Wed 25 Feb 2015 11:59:41    CL FOP 20150514 42 P NYMEX 1000          PNL: 146.14, comms: 13.86, fills: 6, Pos: 0
Wed 25 Feb 2015 12:00:04    CL FOP 20150514 45 P NYMEX 1000          PNL: 160.76, comms: 9.24, fills: 4, Pos: 0
Wed 25 Feb 2015 12:00:27    CL FOP 20150514 46 P NYMEX 1000_L1       PNL: 83.04, comms: 36.96, fills: 10, Pos: 0
Wed 25 Feb 2015 13:56:13    CL FOP 20150514 49 P NYMEX 1000          PNL: 633.04, comms: 36.96, fills: 8, Pos: 0
Wed 25 Feb 2015 14:29:58    CL FOP 20150514 43 P NYMEX 1000          PNL: 553.04, comms: 36.96, fills: 5, Pos: 0
Wed 25 Feb 2015 14:30:01    CL FOP 20150514 44 P NYMEX 1000          PNL: 573.04, comms: 36.96, fills: 5, Pos: 0
Fri 27 Feb 2015 04:03:11    CL FOP 20150514 47 P NYMEX 1000          PNL: 227.66, comms: 32.34, fills: 7, Pos: 0
Fri 27 Feb 2015 05:12:58    CL FOP 20150514 46 P NYMEX 1000          PNL: 312.28, comms: 27.72, fills: 7, Pos: 0
Fri 27 Feb 2015 09:23:05    CL FUT 201504 NYMEX 1000                 PNL: 5,088.28, comms: 951.72, fills: 170, Pos: 0
Fri 27 Feb 2015 17:49:43    CL FOP 20150514 46 P NYMEX 1000_L1       PNL: 330.76, comms: 9.24, fills: 3, Pos: 0
Fri 27 Feb 2015 17:49:46    CL FOP 20150514 47 P NYMEX 1000_L1       PNL: 226.14, comms: 13.86, fills: 3, Pos: 0
Fri 27 Feb 2015 17:49:49    CL FOP 20150514 48 P NYMEX 1000          PNL: 213.04, comms: 36.96, fills: 7, Pos: 0
Mon 09 Mar 2015 12:30:44    CL FOP 20150514 42 P NYMEX 1000          PNL: 580.64, comms: 129.36, fills: 13, Pos: 0
Mon 09 Mar 2015 12:30:47    CL FOP 20150514 43 P NYMEX 1000          PNL: 791.40, comms: 138.60, fills: 15, Pos: 0
Mon 09 Mar 2015 12:30:50    CL FOP 20150514 44 P NYMEX 1000          PNL: 1,074.50, comms: 115.50, fills: 11, Pos: 0
Mon 09 Mar 2015 12:30:53    CL FOP 20150514 45 P NYMEX 1000          PNL: 359.12, comms: 110.88, fills: 10, Pos: 0
Mon 09 Mar 2015 14:01:37    CL FOP 20150514 47 P NYMEX 1000          PNL: 433.80, comms: 46.20, fills: 13, Pos: 0
Mon 09 Mar 2015 14:01:40    CL FOP 20150514 48 P NYMEX 1000          PNL: 427.66, comms: 32.34, fills: 9, Pos: 0

-- Negative PNL --

Fri 27 Feb 2015 13:57:03    CL FUT 201503 NYMEX 1000_L3              PNL: -10,927.33, comms: 3,467.31, fills: 326, Pos: 0

(The negative CL layer was not actually "removed", but is the one we "rolled over", as you may remember from a previous post.)

The reason why CL and its options look relatively good, is ultimately because it is a lot "erratic", and it retraces innumerable times to the same prices, thus causing a close of most open players (however don't be fooled by the final PNL, as the PNL/DD ratio of each layer can be quite "ugly" in practice, and therefore not a thing that a small trader could actually easily withstand).

Clearly, in this case, one has to watch the contango, because if you trade "against" it, in the long term you might remain with an excessive number of long players which you will never close. Also, very good capital is needed to play with this giant without being immediately crushed

I still have various positive CL layers I need to remove from the trading monitor. For instance, this is one of 4 (31K/5K/5K/5K) which i will remove soon:

and if we look at the rations PNL/DD, they can be the most diverse, and strongly dependent on the actual "realization" of the price curve.

Two layers (-162K/-3K) are still in the making instead, and in particular one is still -162K under (the most losing one is still a consequence of the ERY issue, but I should be able to recover it in while).

fullautotrading · Mar 12, 2015

A little better today, with some improvement in the DD. Practically all the funds are now mostly used to trade CL and its options, and actually with nice results.

There is some money on ERY and very little on ERX. As we have noticed these ETFs and quite problematic and, for several reasons we have already examined, quite irritating: so we relegate them to a secondary role.

Currently, I am setting a "target profit" of 5K per each new CL layer and I have successfully closed several of them. Here are some of them:

1

2

3

4

5 (still active)

Similarly, I am setting a smaller target for the options (usually around $300-$500). Mostly I am considering PUTS, but sometimes also CALLs, mostly to recover some funds when necessary.

As to the PUTs I just let them to trade short all the time, and if I catch some significant spike up, I usually even inject some extra short player. As to the CALLs, I make a slightly different game. I inject long players when I need to recover some funds (eg. CL going up) but I manage to let it go short or even inject some short players, in such a way that in any case I have still room to close the option in profit if it decays to 0 (OTM). Mostly, I manage to keep the options OTM all the time, and if I see that an option is gone ITM, I place a small target profit and try to close it as soon as possible. (In general, there are so many fluctuations with options, that if one sees some short player profitable within a CALL and there is still "room" to eventually close the option profitably, imho, it is usually convenient to close earlier the player and grab the profit, because in the 90% of the cases the price returns to the player entry price, and it can be open again and again, repeating many times the profit capture.)

Trading this way these liquid options (practically "riding the decay") is actually way better than trying to ride the ETF drifts for several reasons: no short interest, strong decay, known expiry, much less margin, no execution issues (as long as we don't allow them to go deep ITM). And for the (rare) cases we end up with some expiration ITM, we can always transform the assigned/exercised position into players and, therefore, we are back to the ordinary algorithmic trading with CL.

Also, the layer which we used for the rollover of
CL FUT 201503 NYMEX 1000_L3 (which was losing -10K at rollover time) has reached a nice profit (31K), and I have shut it down:

So, it remains to recover this layer which, along with ERX, served to free funds to close ERY:

which should not be a problem.

Visually, it looks like both CL and ERX are moving towards a near "support" (optic illusion of course

). When we reach that point we might also think to start load ERY a bit along its natural drift. Yes, I know, since it's apparent that CL is a way better instrument, why bother at all with these ETFs ? In fact it's not something really sensible, but after having shown the effects of "greed", we may also want to show another typical psychological behavior: the so called "revenge trading"

After all, you can never be "free" from something, if you first don't experience it and its practical effect (clearly, it's better to experience with fake money

so that we can have a more mature attitude when dealing with real $$$.)

I am also using the semiautomatic scalping feature, which means that every so often I give the scalper an hand mostly by injecting short players and then leaving the application to automatically close them, using the rules based on PNL decline or target profit. This actually is imho a valuable feature which empowers the fund manager, even if some other people might feel that once the open/close rules are given they prefer to delegate everything to the chosen automatism. I feel that some personal "fine tuning" (without exaggerating), might help: after all the rules aim to represent standard actions made in response to certain "imagined" mkt condition, but when they actually realize in practice, the fund manager may feel he likes to makes a few corrections here an there, like injecting a player or early closing a player in profit:

as evidently a human being is a systems way more complex than any other machines created by him and therefore he does have areas of excellence where no machine can even come close, and there is no point in "blinding" and giving them up, but it's wiser, and less lazy, to look for the best integration between the manager sensitivity and the automated tools, so that we can eventually enjoy the best from the two worlds

fullautotrading · Mar 13, 2015

We are ending the week in a much better shape. We have recovered from the ditch of a DD which peaked to almost -60% to a more acceptable -27% (currently) in just max about 4 weeks, and practically with CL (and its options) alone. So essentially a 55% in 1 month, which is not too bad. Actually, if we could hide the previous 2 months, it would look like quite a performance :-)

If we should believe in optical illusions :-)

, one might "guess" that the CL downward move (which appears to be correlated with EUR.USD) is almost done (possibly another 5% to go). At that point we might re-engage a bit with ERX and ERY, even though we already know that is actually a form of "revenge trading" :-)

Then we might re-enter CL at the next spike up, when it possibly returns to around 60.

ERX has still the large DD accumulated with the ERY issue and it is essentially "carrying the memory" of all the losses accumulated (some more losses are, as we have seen in the previous post, still on a CL layer, but those can be in part recovered if CL continues to fall a bit more). The problem with those ETFs is that they take too much margin and therefore we don't have enough funds to make a speedy recover by overloading possible favorable moves, while CL instead offers a much larger leverage, a more favorable microstructure with plenty of retracements, larger trading window, smaller commissions, no short interest, etc.

For instance, looking at the losing ERX layer:

we can see (figure in the yellow ellipse) that if we should trade it long with the current position of 4,913, the application is indicating that it would break even at as far as 144.48, which obviously is a price too far away to be realistically reachable in a near future. Clearly, this average would be proportionally lowered by increasing the long position, but that would take too much margin and the funds we have would not suffice. So we need to be more patient, and try to recover a bit from ERY (short) and ERX (long), when ERX moves up again, and finally, when it reaches a new possible "resistance", to restart hammering CL the way down riding the contango and the option decay. Clearly, this is just a possible fantasy scenario, but the future may have different plans. We will see... :-)

fullautotrading · Mar 17, 2015

It looks like I should switch to "predictive" trading, as lately all my "expectations" have been coming true

CL has gone done just the amount I was expecting, and now we will see if also the second part of the expected behavior will come true. As anticipated, I tried to load up ERX but, as expected, I only got hurt, because again I soon found myself in a situation where the margin requirements were so high that it was impossible to even close the favorable scalps, and thus I quickly gave back some of the profits made yesterday (reached to -22% yesterday):

So I think we should be done with the ERX "revenge trading", and almost convinced to definitely focus on CL

. I will just leave a bit of money on ERY, since it has a more definite drift. Clearly, this will cost in terms of short interests. I plan to close it around 19 (or so) and at that time we will evaluate how much interests were taken. Trading CL the way up one should keep into account also the possible "counteracting" effect of contango, and thus not spare short players, when appropriate.

This also illustrates the "catch 22" that every trader has to face when having to decide what instruments to trade, in relation to the available capital.
Problem is that, as we have seen, for several reasons the futures (and FOPs) are arguably the most suitable instruments for a speculative activity of this kind. The obvious problem is the (large) "granularity", which requires pretty good capital just to start with, and successfully withstand unfavorable moves. On the other hand, STKs and ETFs allow to trade with smaller sizes, but the margin requirements appear to be, in practice, too large (and of course, there are many other practical problems, as we have seen). Most of the damage, in fact, is not even done by the unfavorable moves (also because we hedge quite a bit), but by the margin requirements ("available funds" rapidly disappearing) and the consequent inability to close even the favorable scalps, and being forced to take losses even in many cases where we rightly "guessed" a price move.
This means, in practice, that in order to be able to trade with some possibility of success, some good capital is needed (and, of course, it's not so straightforward even in that case). Clearly, the most common attitude is initially to deny and pretend that this is not true, and for some magic reason, we will be able to get rich from little capital... until of course we have a "reality recall"

fullautotrading · Mar 18, 2015

As I was expecting, CL spiked up today, mirrored by EUR.USD. ERY also reached around 20.

Now I don't really expect it to continue in the immediate future, but on contrary I am rather expecting some retracement, before restarting the upmove, so it's probably good not to spare short players, to scalp the way down (also because, sooner or later, the contango will cause them to close anyway).
Today I closed several CL PUTs in profit for the usual small target of $300. At the same time, I have closed a few CL layers, open just for scalping, and I have currently another CL layer with a short position (currently -22K PNL), which I should be able to close soon with some profit (target 5K).

fullautotrading · Mar 19, 2015

CL did not disappoint expectations, retracing to a lower price. Today I have been "hammering" it with some "extra" semiautomated scalping since I returned from my job duties. I have closed a few more CL layers, including the one opened yesterday (8.3K profit, as I let it run a bit more). Also a few more PUTs have been closing at a smaller profit (around $300 or lower).

The DD has been reduced further to around -19%:

Code:

- Current values (received on: Thu 19 Mar 2015 21:20:44:266 [ Thu 19 Mar 2015 16:20:44:266 edt ]) -

AccruedCash                      -493.00 USD                      [Min: -2,143.00, Max: 0.00]
AccruedDividend                     0.00 USD                      [Min: 0.00, Max: 0.00]
BuyingPower                 3,945,494.22 USD                      [Min: 0.00, Max: 6,666,666.67]  (6.85 x 575,810.85)
FullAvailableFunds            575,810.85 USD                      [Min: -177,364.47, Max: 1,000,000.00]
FullExcessLiquidity           591,824.13 USD                      [Min: -157,297.69, Max: 1,000,000.00]
FullInitMarginReq             237,055.59 USD                      [Min: 0.00, Max: 946,065.45]
FullMaintMarginReq            221,042.31 USD                      [Min: 0.00, Max: 909,440.51]
NetLiquidation                812,866.44 USD                      [Min: 418,054.72, Max: 1,048,240.20]

- Initial values (received on: Mon 08 Dec 2014 15:19:16:873 [ Mon 08 Dec 2014 09:19:16:873 edt ]) -

AccruedCash                         0.00 USD
AccruedDividend                     0.00 USD
BuyingPower                 6,666,666.67 USD
FullAvailableFunds          1,000,000.00 USD
FullExcessLiquidity         1,000,000.00 USD
FullInitMarginReq                   0.00 USD
FullMaintMarginReq                  0.00 USD
NetLiquidation              1,000,000.00 USD

Current - Initial (elapsed: 101.25 days)

Δ AccruedCash                    -493.00 USD  0.00%
Δ AccruedDividend                   0.00 USD  0.00%
Δ BuyingPower              -2,721,172.45 USD  -40.82%
Δ FullAvailableFunds         -424,189.15 USD  -42.42%
Δ FullExcessLiquidity        -408,175.87 USD  -40.82%
Δ FullInitMarginReq           237,055.59 USD  -40.82%
Δ FullMaintMarginReq          221,042.31 USD  -40.82%
Δ NetLiquidation             -187,133.56 USD  -18.71%

and practically all the recover is due to CL and its options. ERX instead remains there, practically unchanged, in its deep "ditch", and there is not much we can do about it, with the currently available funds (as it takes too much margin). ERY has some good load to ride its ordinary "drift" (we will see later how much short interests we will be charged for the ride).

It's obvious that the futures and their options are the way to go (provided suitable risk capital is available). Also, the practical technique of setting a target profit for each layer is quite useful and effective. Later I will elaborate a bit on that, and on the possible reasons, possibly contrary to intuition, why "throwing away" (by closing the layer) some trading information when we are in profit on a layer seems actually helpful in practice.

fullautotrading · Mar 20, 2015

Ending the week in a much better shape than the previous ones. We have been making essentially a 70% in the last 5 weeks, which, considering the deep "ditch" we dug previously

, it's quite a result.
We will see if I can continue this way in the next week: it looks like I am developing anyway a good feeling for CL an its options (especially PUTs).

Reasoning about why some instruments, even so much correlated, such as ERX and CL can lead to such drastically difference in performance, I think we can identify at least the following reasons:

1. Margin requirements: the rapid disappearance of available funds can have devastating effects, forcing to take losses.

2. Larger spread and smoother moves: this makes harder to get out scalps, creating a big difference of performances. (Also "semiautomatic" scalping appears to be much easier to with CL.)

3. Commissions. Much larger commissions also make harder to easily close the players (putting together spread, larger commissions and smoother shapes of the price curve, it becomes a lot harder to close the players.)

4. Execution issues (and possible missed opportunities). It looks like that CL fills are much quicker.

Essentially, both microstructure and margin requirements (and paid interests) can make a dramatic difference as to the possibility to exploit the instrument moves (unless one has very large funds).

Also, even between strictly correlated ETFs there seem to be noticeable differences. For instance, ERY, when tradable, appears to be much more exploitable than ERX, for the scalping activity, even though there is a strongly inverse correlation between the two instruments. However, in many occasions, ERY is made almost completely unusable by several very annoying factors like: frequent not shortable status, costly short interests, spread, relatively small price and consequent commissions, reverse splits, etc.

fullautotrading · Mar 25, 2015

We have been having some significant DD on the first 2 days of the week (plunging back to the level of -30%). Currently, I have 3 open "losing" CL layers (one is still the December contract that we have open since the ERY/ERX issue, two are just recent layers open for scalping), which are however slowly recovering from greater losses.
Yesterday, I shut down ERX, as there was no point wasting resources with it.

Here are the 2 (newer) losing layers of CL:

Clearly, we need to give them time to recover the open players. In principle, sooner or later we always recover them: in practice, the problem is always having the resources to actually do it

I left ERY running (short), which does not form a bad par with CL. In fact, the two are inversely correlated (but with same type of drift), so they may form a good pair in a folio, at least in principle (apart the various real-word problems with ERY, that now we know well):

matrix of "codirections"

The negative "codirection" can also be seen noticing that ERX and ERY are a bull/bear pair on energy sector, while CL and ERX are obviously positively correlated. Note however that both ERY and CL have forms of negative "drift" (that is why short player on CL should not be spared, at any occasion they appear to be suitable).

Btw, it appears that trading the December CL contract has not been a sensible choice. In fact, there is actually no point doing that when one can use contracts with lower spread (this apparently does have a large impact on scalping activity).

We might, and should, consider a "roll back" (made up term)

(that, is to move all the trading information onto a more recent contract). I will show how to do that in a next post.

fullautotrading · Mar 26, 2015

No good news this morning

In fact, I almost crashed the account

Yesterday night apparently, by distraction after some maintenance, I left the layer of the December contract (holding a large short position of -50 contracts) in "suspended" mode (no autotrading).

During the night CL shoot up (and I was not near the PC tonight), according to Murphy

, and all hell broke loose, as the 50 contracts short were not hedged at all by any algorithmic game. Result: PNL violently back to -60% and beyond DD (sorry for the set back, but I guess it is something that could actually happen with real $ too).

I have reactivated the layer now, also injecting some long players, but most of the damage is done. It will be hard to recover from this: we will see...