Fully automated futures trading

[Napoleon@Dynamite]

Today / yesterday aren't large enough moves to really damage the trendies, unless they had a thumb on the scale by sprinkling in some "risk premia" plays (perma-selling Vix because they naïvely believe the academic literature and/or believe backtests that don't include market crashes).

Hi truetype, would you argue that Vix should not be in a trend following portfolio?

 

[Napoleon@Dynamite]

I do the two normal things:

• Forecasts do their thing, and obviously reduce a position if the forecast is weakening.
• If I loose money, I recalculate the portfolio for the new, reduced portfolio (which basically means getting rid of some contracts). (Kelly).

These two things are the basic stuff; I don't do anything fancy. Moreover, anything fancy I tried reduced drawdown but at the cost of return.

The only exception to this is that I keep a forecast of -10 on VIX & VSTOXX.

Hi isotope, are you saying that you don't apply any other rules to Vix, you just keep the total forecast permanently at -10?

 

[truetype]

Hi truetype, would you argue that Vix should not be in a trend following portfolio?

It's a matter of taste which instruments to include in a trend portfolio. I was talking specifically about "risk premia" products.

 

[truetype]

I'm down about 3.1% from HWM

FWIW the SG Trend Indicator, which is a fully-disclosed mechanical strategy, was -0.60% yesterday, +5.67% mtd.

 

[isotope1]

Hi isotope, are you saying that you don't apply any other rules to Vix, you just keep the total forecast permanently at -10?

Yes. Although it's worth pointing out that @globalarbtrader has both a -10 and ewmac running, which is probably the optimal solution.

Sadly about 60% of today's losses were attributable to my short position on vix & vstoxx, so now down 12% on HWM. HWM was up 40% on 12 months though so it's not unexpected.

 

[traider]

Yes. Although it's worth pointing out that @globalarbtrader has both a -10 and ewmac running, which is probably the optimal solution.

Sadly about 60% of today's losses were attributable to my short position on vix & vstoxx, so now down 12% on HWM. HWM was up 40% on 12 months though so it's not unexpected.

What happens to your system if you dont include VIX & VSTOXX? Does it take a huge performance hit? Haven't got the chance to test this yet...

 

[isotope1]

I haven't checked, but I imagine I'd probably be more in line with GAT (who isn't trading vix/vstoxx). I'll add that the short sharpe of vol futures is ~1.

 

[truetype]

I'll add that the short sharpe of vol futures is ~1.

Oh, boy. You're the poster child for a Nassim book!

 

[isotope1]

Oh, boy. You're the poster child for a Nassim book!

I know... but really how much worse is it than going long equities?

 

[truetype]

I know... but really how much worse is it than going long equities?

In 1987 equities fell by ¼. Had XIV existed, it would have fallen to zero (because its loss is truncated). Homemade short vol would have gone to -∞.