Fully automated futures trading

Kernfusion · Jan 16, 2020

globalarbtrader said:
Finally hit the HWM yesterday after flirting with it for a few days. Total profits to date also hit a round number today, 140%. For the tax year that puts me at about 31%; and as I've said before my equity hedge lost money so futures made even more. I won't dignify this thread with a meaningless 2020 figure...

So far this year I've been working on presentations and teaching stuff, plus writing a blog post. Now that's out of the way hoping to start getting my new trading server up and running, although I have just noticed that my old one has some broken legacy code I need to fix (or my likely bypass) first.

GAT

That's just too cool

congrats! And all the equities in the long-term portfolio are up as well of course, and bonds actually did well this year too..
Can't wait for that new short-term mean-reversion thing!

globalarbtrader · Jan 20, 2020

The upwards run continues! At pixel time this morning:

Code:

2020-01-20 08:25:13.935482  1400.96  0.000000  701234.75  1.440355

That means I'm at a high watermark (the 0.00000), using constant risk I would have made 144% on my capital, and the significant figure is 701234.75, my accumulated £ profits to date - the first time that has had a 7 in front of it. January 2020 is now my most profitable month to date.

GAT

globalarbtrader · Jan 20, 2020

globalarbtrader · Jan 20, 2020

Not sure why image isn't working (at least for me) try this:

GAT

HobbyTrading · Jan 20, 2020

globalarbtrader said:
Not sure why image isn't working (at least for me) try this:

That one was also not visible to me.
Nice to see the "hockey stick chart" at the start of 2020.

globalarbtrader · Jan 22, 2020

... and so yesterday I lose about 3.2%. I used to be really superstitous about posting when I got a HWM, since it seemed to be inevitably that the post would be followed by a steep drawdown. Then I realised this is silly; the market doesn't know I'm posting, it doesn't really know what positions I have on (I don't know what positions I have on without running a report to find out) and it's hardly likely to move against me just to teach me a lesson in the dangers of hubris.

GAT

traider · Jan 22, 2020

globalarbtrader said:
... and so yesterday I lose about 3.2%. I used to be really superstitous about posting when I got a HWM, since it seemed to be inevitably that the post would be followed by a steep drawdown. Then I realised this is silly; the market doesn't know I'm posting, it doesn't really know what positions I have on (I don't know what positions I have on without running a report to find out) and it's hardly likely to move against me just to teach me a lesson in the dangers of hubris.

GAT

Does this indicate that pnl is a non random mean reverting process itself?

globalarbtrader · Jan 22, 2020

traider said:
Does this indicate that pnl is a non random mean reverting process itself?

PNL for trend following strategies tends to show mean reversion, but over long time periods (more than a year). On a monthly basis it basically picks up the patterns of the assets it holds, so you'd expect it to trend. Day by day, pretty much random.

GAT

Elder · Jan 22, 2020

globalarbtrader said:
... and so yesterday I lose about 3.2%. I used to be really superstitous about posting when I got a HWM, since it seemed to be inevitably that the post would be followed by a steep drawdown. Then I realised this is silly; the market doesn't know I'm posting, it doesn't really know what positions I have on (I don't know what positions I have on without running a report to find out) and it's hardly likely to move against me just to teach me a lesson in the dangers of hubris.

GAT

I had to really bite my tongue to stop myself from posting 'lets not jinx it'

. I guess I am still superstitious (and like mixed metaphors). Is it possible you posted because you knew the market was about to dump (see here)

On a more serious note, I lost 1.5% yesterday but I am back at the HWM this morning I assume most of your drawdown yesterday was related to equity market reversals?

globalarbtrader · Jan 22, 2020

Elder said:
I had to really bite my tongue to stop myself from posting 'lets not jinx it' . I guess I am still superstitious (and like mixed metaphors). Is it possible you posted because you knew the market was about to dump (see here)

On a more serious note, I lost 1.5% yesterday but I am back at the HWM this morning I assume most of your drawdown yesterday was related to equity market reversals?

I've made a little back this morning as well. Not sure where the losses where - I would have to check - but sounds plausible.

GAT