Fully automated futures trading

[tokei]

Depending on how you implement your automated trader it could get confused if you submit an order and nothing is happening due to a holiday.
You mention rolling contracts: some people roll very early and then the holidays don't matter much. However, if you roll late and the expiration date is after a holiday you might run into problems.

Thanks for your explanations for the order placement! I just started to look into the ib_insync module documentation (as it is said easier than IB original API) and had the impression that it is going to take a while for me to become capable using it, as it seems to have many functionalities.

Yes rolling is something I definately need to learn further more. Incidentally I had a learning experience this morning, in rolling V2TX. I placed a order to increase my position, according to what my system says. I did that for April contract instead of March contract, as I thought it is about time for me to roll. Daily volume of April contract was 3 - 5k, and the spread was about -1.3. Both looked OK. However I found a few hours later that the order was not filled.

My order was 23.6 or something (vs. its last closing price of 24.15) but it was capped automatically by IB to 23.9. And the bid was... 23.8! No wonder my order was not filled, because my sell order (capped by IB) was higher than the bid (by 0.1).

Actually this auto price capping by IB had happened several times with my order before, but all of them had been filled without any problem until this moring. Hence I come to trust the IB capping that it is capped just the right price my order gets filled. This is the moment I realized that I need to improve my order placement tactics and to write some codes for it.

Addition: Forgot to mention I use IB adaptive algo with limit order at fairly low price. I could use market order but I don't as IB keep sending me horrifying warning message everytime I place market order.

 

[Kernfusion]

Hi Rob, great episode on TTU yesterday (https://www.toptradersunplugged.com/126-systematic-investor-series-ft-rob-carver-february-7th-2021/), really enjoyed it.

Also, found a small issue in my system because of it - you mentioned that you're short BOBL, and I know that I'm not short anything at the moment (except of V2TX), so I went and checked and sure enough, I had forecast thresholding enabled on BOBL, and it's absolutely not needed there, as the system can hold 3 contracts on the average (+10) forecast with the current volatility. Not sure why it was there in the first place, the contract is pretty small, maybe I forgot to remove it when I was running on smaller capital or maybe historically in the backtest it's volatility was much higher.. So after removing it, the system immediately sold 2 contracts.

Thinking what to start reading next after finishing Market wizards, maybe will check out "Stocks on the move", as lately I've been itching to maybe develop something new or improve the current system somehow, but I haven't found any good ideas yet..
(I'm not only reading trading books btw "The Fountainhead" is making a serious impression on me right now.. )

 

[tokei]

Hi Rob, great episode on TTU yesterday (https://www.toptradersunplugged.com/126-systematic-investor-series-ft-rob-carver-february-7th-2021/), really enjoyed it.

Also, found a small issue in my system because of it - you mentioned that you're short BOBL, and I know that I'm not short anything at the moment (except of V2TX), so I went and checked and sure enough, I had forecast thresholding enabled on BOBL, and it's absolutely not needed there, as the system can hold 3 contracts on the average (+10) forecast with the current volatility. Not sure why it was there in the first place, the contract is pretty small, maybe I forgot to remove it when I was running on smaller capital or maybe historically in the backtest it's volatility was much higher.. So after removing it, the system immediately sold 2 contracts.

Thinking what to start reading next after finishing Market wizards, maybe will check out "Stocks on the move", as lately I've been itching to maybe develop something new or improve the current system somehow, but I haven't found any good ideas yet..
(I'm not only reading trading books btw "The Fountainhead" is making a serious impression on me right now.. )

You mean 3 contracts at maximum forecast (+20), no? I thought that is how it is described in Rob's blog.

By the way I am doing the same here too. I found small bug which is different from yours, and am still thinking some another thing (both related to thresholding).

 

[Kernfusion]

You mean 3 contracts at maximum forecast (+20), no? I thought that is how it is described in Rob's blog.
.

no, currently it's 3 contracts on average

 

[bebleach]

Hi all,

What do you guys think about using etf's instead of futures for small account sizes ? The fees are not that high, and it could be worth it to pay them from a diversification point of view instead of sticking with just 2 or 3 futures asset classes, plus it allows us to avoid fractional positions.

Thanks !

 

[tokei]

no, currently it's 3 contracts on average

I see, you meant your position at the moment. I am also short Bobl and also US 5 years bond. Yesterday I was short Eurodollar and JPY, but those were closed this morning.

"Stocks on the move" is in my wishlist in amazon. I just finishded reading "Folowing the trend", and I liked the author. Next one I will read will be the "Trading evolved", as this seems to cover Python which I need to learn with priority. I also just read "Trend Following" by Michael Covel, which I liked the latter half (theory related sections).

Do you follow Valery's method? I bookmarked his thread around the same time I found this Rob's thread. It looked good but looked too advanced for me for now but I thought I wanted to try that too once I am done with this automated futures trading (this takes a few years at least though)...

 

[tokei]

Hi all,

What do you guys think about using etf's instead of futures for small account sizes ? The fees are not that high, and it could be worth it to pay them from a diversification point of view instead of sticking with just 2 or 3 futures asset classes, plus it allows us to avoid fractional positions.

Thanks !

Hi bebleach! I think you can although I am not quite sure as I am relatively new in this thread. Indeed margin trading is mentioned in Rob's book "Leveraged Trading". In my quick calculation it seems to work, altough the cost is double vs. my most expensive futures instrument. You can expects comments from experts in this thread!

 

[tokei]

Hi Rob, great episode on TTU yesterday (https://www.toptradersunplugged.com/126-systematic-investor-series-ft-rob-carver-february-7th-2021/), really enjoyed it.

Also, found a small issue in my system because of it - you mentioned that you're short BOBL, and I know that I'm not short anything at the moment (except of V2TX), so I went and checked and sure enough, I had forecast thresholding enabled on BOBL, and it's absolutely not needed there, as the system can hold 3 contracts on the average (+10) forecast with the current volatility. Not sure why it was there in the first place, the contract is pretty small, maybe I forgot to remove it when I was running on smaller capital or maybe historically in the backtest it's volatility was much higher.. So after removing it, the system immediately sold 2 contracts.

Thinking what to start reading next after finishing Market wizards, maybe will check out "Stocks on the move", as lately I've been itching to maybe develop something new or improve the current system somehow, but I haven't found any good ideas yet..
(I'm not only reading trading books btw "The Fountainhead" is making a serious impression on me right now.. )

Regarding the podcast, I head Rob mentioned Leanhog is doing good. I was wonderging which trading rule made him take position on Leanhog. I once had a position for a short period of time in November or December last year, but since then I never have position. My carry signal is at its low max (-20) for all the speed variations, hence in this upward trend my integrated forecast has been too low for me to take any position.

 

[Kernfusion]

Regarding the podcast, I head Rob mentioned Leanhog is doing good. I was wonderging which trading rule made him take position on Leanhog. I once had a position for a short period of time in November or December last year, but since then I never have position. My carry signal is at its low max (-20) for all the speed variations, hence in this upward trend my integrated forecast has been too low for me to take any position.

Just checked, same for me, carry is a straight line -20., other signals are positive, so I'm currently long only 1 contract, but basically missed the recent trend. Maybe I should double-check that carry signal, but if it's the same for you maybe it's actually 'correct'..

 

[tokei]

Just checked, same for me, carry is a straight line -20., other signals are positive, so I'm currently long only 1 contract, but basically missed the recent trend. Maybe I should double-check that carry signal, but if it's the same for you maybe it's actually 'correct'..

Oh your signal is strong enough to hold one contract. My integrated signal is 0.6 for Leanhog, with 33% weight on carry rule and reduced weight for fast variations of EWMAC and breakout rules. Interesting we see slight differences depending on the implementations!

Actually I once asked Rob for this 'extreme' carry signal, and I was convinced by his answer that carry signal tend to be more extreme than the momentum rules, and that the profile is symmetrical. However I cannot resist and have reduced my carry signal from 0.5 to 0.33 (although I made the decision and changed my parameter before asking Rob). My signal has been -20 for meat and 5 year bonds, and +20 for Eurodollar and 10 years bonds, and a few more.