Fully automated futures trading

globalarbtrader

globalarbtrader

Here's my trading journal. I've been running this system since April last year. It's fully automated, futures trading, with a bias towards trend following.

Here is the p&l to date. I will do a more thorough analysis after a full year

plot.jpg


Current positions (hope the codes make sense):

AEX 201502 1
ASX 201503 1
AUD 201503 -1
AUS10 201503 1
AUS3 201503 2
AUSSTIR 201603 1
BOBL 201503 5
BTP 201503 2
BUND 201503 1
CAC 201502 2
CORN 201512 -1
CRUDE_W 201512 -1
EDOLLAR 201806 3
EUR 201503 -1
EUROSTX 201503 -9
FEEDCOW 201503 1
FTSE 201503 -2
GAS_US 201504 -1
GBP 201503 -1
JPY 201503 -1
KR10 201503 1
KR3 201503 5
LIVECOW 201510 -1
MXP 201503 -1
NASDAQ 201503 1
SHATZ 201503 23
SMI 201503 1
SP500 201503 1
US10 201503 1
US2 201503 3
US5 201503 1
V2X 201503 -1
VIX 201503 -1
WHEAT 201512 -1


More information to follow. I'll try and answer any questions.
 
Just to explain the two graphs. The first graph is pure hard cash profit. However during this period I was experimenting with how I dealt with profits (I always scale down risk for losses, no exceptions). To begin with I rolled them up, adding them to my capital base. Then I decided to stop doing this, and keep a fixed maximum amount of capital at risk. Subsequently at the beginning of the year I decided to lower my risk target to a more conservative 25%.

If I extract the effect of these changes and assume I stuck to the same notional capital and risk target then I get the second graph. If you were to invest in a stable version of what I did you would get the second graph, compounded. So the second graph is like a log scale graph of fund performance. You can see that the variability is more constant.

Forgot to add I also have some stock

DCG.L 12,411 shares
IAP.L 20,000 shares
IDVY.L 16,718 shares

The short positions in Eurostoxx and FTSE 100 (9 lots and 2 lots respectively) are to hedge this stock exposure - they are not actively traded. So a (very small) fraction of my p&l is coming from this minature equity neutral portfolio.

Effectively I decided to fund my account with stock and some cash, rather than all cash, to avoid having to pay capital gains tax. But I didn't want the account value to be driven by stock valuation, so I've hedged out the stock exposure.

My current expected risk on this portfolio is £5,500 per day versus a long run average of £6,250 (£100,000 per year, or 25% annualised on the notional capital of £400,000). The difference reflects the current drawdown of around 5%, and the fact that the average signal is a little weaker than average.
 
Humpy said:
That's a lot of current positions. How many are in negative territory ?
Which platform are you using ?
More...

I'm using interactive brokers API via Gateway. I use the C++ API in python via swigibpy. More details here http://qoppac.blogspot.co.uk/2013/12/p-margin-bottom-0.html.

I actually trade about 45 markets so there are a few empty boxes where the signal is too weak.
I'd have more positions if I could. Diversification is the only free lunch and all that. The main advantage of automated trading is being able to diversify. I spend about 10 minutes a day on the system. If I had double the number of markets I'd spend 20 minutes a day. Capital is the constraint. I could get more markets spread betting, where the minimum sizes are smaller, but spread betting markets are more expensive and I'm wary of OTC exposure.

To be honest I don't monitor the figure "positions in negative territory". For starters I don't have discrete positions, I don't open a position and then close it at a stop loss, its a continous signal system. I could tell you in theory whether I made or lost money on an instrument over a particular period, but that could be from a combination of being long or short, and would reflect trading around the average position over that period.

In theory.... I don't actually have that report, though it would be easy to knock something up, so watch that space. I can tell you my biggest winners and losers over the last month if that's of interest:

Biggest losers (excluding hedging): SMI (now famous black swan event - I wasn't in the currency but the equity hurt some), CRUDE (I trade pretty slow so I've remained short through this slow $6 rebound),

Biggest winners: AEX, ASX, EUR
 
Looks good.

In the time frame between Jan 2014 and Jul 2014 the PL advances pretty fast. Maybe you could adjust the strategy in a way that the rest of the months advance at the same pace
 
Hi. Thanks for posting the charts - interesting results. Is this paper trading or real money (I only ask because I've got some great looking paper trading profit charts - but some of the the "blips" would have wiped me out, so when I went live I went with a much more conservative approach - lower risk, lower profit). For example, if you started in July 2014, you'd be 80k down a month later.
 
In the time frame between Jan 2014 and Jul 2014 the PL advances pretty fast. Maybe you could adjust the strategy in a way that the rest of the months advance at the same pace

The only way to do that would be to boost the Sharpe Ratio whilst keeping the same skew (which would be lovely, if I knew how...) or to make the skew negative (which would improve Sharpe but isn't the kind of trading I like doing). Positive skew trend following will always have periods when it works, and longer periods when it doesn't.

FaceOff said:
Hi. Thanks for posting the charts - interesting results. Is this paper trading or real money (I only ask because I've got some great looking paper trading profit charts - but some of the the "blips" would have wiped me out, so when I went live I went with a much more conservative approach - lower risk, lower profit). For example, if you started in July 2014, you'd be 80k down a month later.
More...

It's real money.
 
Impressive 350k profit in under one year, what was your starting equity? could you talk a bit about your entry and exit.
 
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