So you'll have no "soft-roll" period when you opportunistically sell old and buy new contract, all "hard-roll" in one day. I guess it's simpler and simple is good.. I also found it quite tedious to pre-populate all these roll dates for 30+ instruments for the next 100 years (automated it of course, but still a lot of work).. and now I 'm still not sure that I choose the right dates and that the optimal dates will not change in the future (do liquidity patterns around roll dates change over time for the same instrument? how normal that is?). I mostly looked at historical volumes and last allowed trading days around the times I wanted to roll.. Seems to be working so far, but I feel that I'm not monitoring it enough..
Fully automated futures trading
- Thread starter globalarbtrader
- Start date
So you'll have no "soft-roll" period when you opportunistically sell old and buy new contract, all "hard-roll" in one day. I guess it's simpler and simple is good.. I also found it quite tedious to pre-populate all these roll dates for 30+ instruments for the next 100 years (automated it of course, but still a lot of work).. and now I 'm still not sure that I choose the right dates and that the optimal dates will not change in the future (do liquidity patterns around roll dates change over time for the same instrument? how normal that is?). I mostly looked at historical volumes and last allowed trading days around the times I wanted to roll.. Seems to be working so far, but I feel that I'm not monitoring it enough..
For this reason (uncertainty about the best roll date) have I not automated it. Once per day my software checks the expiry dates, or first notice dates, for the instruments which I'm monitoring. When a contract is 14 days or less from its expiry date I will receive a warning message. I then manually decide which next contract I want to use for that instrument, and monitor the daily volume for a couple of days. Based on that do I decide when I roll over. Having done this for about 2 years I now know the usual behavior of most instruments I monitor. I could automate those. But there are some which always cause me doubt about the best way of handling it.
I'm only trading oil in my paper system, but even there the position is flat right now. In PROD I switched oil to gas after the discussions here and it made 3.8k to date. Though v2x and mxp are huge losers so overall I'm still negative since start.Sooo, who's short oil?
It didn't fit my budget, but I'm short natural gas, so got some benefits from the dip just now, but oil is 30+%.
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I don't have a position in oil. But some other positions moved strongly in my favor. The current account value (Monday) has jumped up considerably compared to the ending value last Friday night.Sooo, who's short oil?
It didn't fit my budget, but I'm short natural gas, so got some benefits from the dip just now, but oil is 30+%.
Small short in oil and portfolio up 5% today. Crisis alpha? I am not celebrating because it is tiny consolation for the real crisis.Sooo, who's short oil?
It didn't fit my budget, but I'm short natural gas, so got some benefits from the dip just now, but oil is 30+%.
The speed of this turnaround has been too quick for trend following to get out of the lift doors before they closed.
Vol scaling will reduce the damage, and a diversified set of futures will allow you to make some money back.
But I agree, it's very small beer compared to the losses in my long only portfolio. I suppose for the tax year my futures account will show a healthy profit compared to the long only, so on that basis the diversification will be there.
A more expensive insurance policy, buying OTM Puts, would have done much better at the risk of a negative return the rest of the time.
Positions (with the caveat that they haven't yet been adjusted for this mornings price movements):
Code:
code position oposition buffer status
19 AEX 0 -0.016107 0.021236
24 AUD -1 -0.623743 0.234469
7 BOBL 1 1.077663 0.180126
8 BTP 0 -0.105802 0.075446
9 BUND 1 0.862600 0.050115
20 CAC 0 -0.187319 0.045197
30 COPPER 0 0.000000 0.172683
0 CORN -5 -5.122853 0.731263
34 CRUDE_W -1 -0.652118 0.116562
36 EDOLLAR 7 7.605948 0.638246
25 EUR 0 0.617059 0.146754
37 EUROSTX -6 -5.999994 0.000001
35 GAS_US -3 -3.144918 0.264056
26 GBP 0 0.000000 0.212271
31 GOLD 0 0.249252 0.044106
27 JPY 1 0.628077 0.101809
18 KOSPI 0 0.000000 0.024298
6 KR3 2 1.590575 0.297469
1 LEANHOG -1 -1.412098 0.207769
2 LIVECOW -2 -1.962844 0.223676
28 MXP 2 1.840526 0.244053
22 NASDAQ 0 -0.034487 0.015397
29 NZD -1 -0.882707 0.257750
10 OAT 1 1.478340 0.176718
32 PALLAD 0 0.134898 0.012485
33 PLAT 0 0.000000 0.140230
11 SHATZ 0 0.000000 0.000006
21 SMI 0 0.000000 0.000000
3 SOYBEAN -4 -5.205597 0.753328
23 SP500 0 -0.038516 0.019509
12 US10 0 0.444730 0.035001
13 US2 0 0.294433 0.087687
14 US20 0 0.178093 0.012199
15 US5 0 0.176675 0.060326
16 V2X -4 -4.841148 0.433072
17 VIX 0 -0.370172 0.026204
4 WHEAT -3 -3.202628 0.459900
5 KR10 0 0.649723 0.092453GAT
100% agree. I actually have a small synthetic put in place (equity short + risk reversal) but of course not nearly enough. This is wild, hourly portfolio vol in the system heading to 100% (annualised)
I'm up 7% for the day (was 12% at some point) on the trading alone, and am running some math to see if my risk management and position sizing has a bug, or is this expected. First look says it's normal, I was just lucky to be short NG, ESTX and Corn, and long Eurodollar, 5-year and VSTOXX.
I didn't write a detailed post of what I'm doing (in the making, I really like Kernfusion's a few pages back), but basically, it's literally what's described in Leveraged Trading, 8 instruments. Execution algo from Rob's blog. Only modification I've done is to turn off carry for ZF, ESTX and MXP as of last week, and trying with that.
Overall (combined with long only portfolio, for me that's more of investment than trading, I don't touch that) I'm down big time too, but I don't look at that as anything negative, I know that's long term, and eventually that will go back up. I'm just happy that I have something that (so far) seems to be uncorrelated (or maybe negatively correlated, not sure on the right wording) with the overall market.
I didn't write a detailed post of what I'm doing (in the making, I really like Kernfusion's a few pages back), but basically, it's literally what's described in Leveraged Trading, 8 instruments. Execution algo from Rob's blog. Only modification I've done is to turn off carry for ZF, ESTX and MXP as of last week, and trying with that.
Overall (combined with long only portfolio, for me that's more of investment than trading, I don't touch that) I'm down big time too, but I don't look at that as anything negative, I know that's long term, and eventually that will go back up. I'm just happy that I have something that (so far) seems to be uncorrelated (or maybe negatively correlated, not sure on the right wording) with the overall market.
@wopr I seem to be in the same boat as you. I have a long only "buy and hold" investment portfolio, which is down big time. And run a futures trading system, based on Rob's book "Systematic Trading". However, I did not use his software, but wrote it myself. That futures account was on Monday up about 10% for the day, compared to last Friday's closing point. At one point is was about 14% up. But now (Tuesday) it seems to come down to about +7%. Also I notice low correlation between the ETF investments and the futures trading account.
I would not have been surprised if certain position sizes were reduced, due to the increase in value volatility. However, IB seems to have had major issues and TWS could not connect to their servers. So no trades were executed.
I would not have been surprised if certain position sizes were reduced, due to the increase in value volatility. However, IB seems to have had major issues and TWS could not connect to their servers. So no trades were executed.