Fully automated futures trading

globalarbtrader said:
Well the discussion is about how you deal with handcrafting weights, rather than doing an optimisation. And specifically how you deal with the fact that when grouping things together, groups may vary in how they are diversified (size and correlation), and a sensible adjustment to make for that. Any optimisation across all assets together would deal with that problem, albeit at the cost of less robust weights.

Ultimately you'd still calculate a single FDM.

GAT
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Yes of course, I should have picked up on that. Thanks
 
truetype said:
David Harding Doesn't See High Future CTA Fund Returns
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It's an interesting thought, and perhaps true, but it's not clear to me why this should be the case.
  • In my backtests, it's clear that TF did very well in the first 20 years of the futures markets. Perhaps a nascent market allowed for prices to move slowly and predictably.
  • Electronic trading has probably increased faster price moves/whipsaws, but shouldn't we able to show this with the data somehow?
  • Back when interest rates were 5%, CTAs would have earned that 5% on the funds deposited, in addition to any TF returns.
 
Hi guys, sorry but I have a noob question.

Let's say I'm holding JPY futures expiring in Dec. What exactly do I do on expiry date for rolling?

1) Do I purchase a spread
2) Wait for expiry and delivery then open a new position
3) Just before expiry, roll the position by closing current month and buying next
 
I do number 4:
4) roll the position over a number of days before expiry day. In case of an instrument with physical delivery: roll the position over a number of days before first notice day.
Usually I do this approximately 2 weeks in advance.
 
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