Fully automated futures trading

[globalarbtrader]

Thanks Rob, I already tried to run a backtest with this way of shrinking and the negative variances went away and the performance didn't suffer (in fact the Sharpe got ~10% higher, which is probably an accident). The number of trades went down a little, which can be corrected by the buffer value, or left as is..

Btw regarding this:

- you mean you would put average correlation to the off-diagonal positions (the same number everywhere instead of zeros), and leave 1s on-diagonal ?

Yes always 1's on the diagonal, or it ain't a correlation matrix anymore

Rob

 

[peppermint_tea]

Hi,

I'm calculating my costs for the starter system, in particular the 10YR US Bonds futures. The total normalised costs came out very high (for other bond markets it did too), was just looking to see if i have not made a mistake in calculating the costs?
It just surprised me to see the total costs that high when my other instruments like NQ and GC came in way below the speed limit of 0.08

I'm using CFD per point.

Thank you for your time,

 

[globalarbtrader]

Hi,

I'm calculating my costs for the starter system, in particular the 10YR US Bonds futures. The total normalised costs came out very high (for other bond markets it did too), was just looking to see if i have not made a mistake in calculating the costs?
It just surprised me to see the total costs that high when my other instruments like NQ and GC came in way below the speed limit of 0.08

I'm using CFD per point.

Thank you for your time,

image not found

Rob

 

[peppermint_tea]

image not found

Rob

Apologies here you go -

Thanks

 

[globalarbtrader]

Apologies here you go -

Thanks

Spread is obviously wrong should be 0.04

% transaction cost 0.04/110 is 0.036%

Vol normalised tc 0.036/8.7=0.004

Rob

 

[peppermint_tea]

Spread is obviously wrong should be 0.04

% transaction cost 0.04/110 is 0.036%

Vol normalised tc 0.036/8.7=0.004

Rob

Thanks, i put 4 as my order ticket with my broker said the spread was 4 but i see what you mean now.
Only thing i'm unsure of is why the results of the sheet come out differently to your calcs above? eg Vol normalised tc 0.036/8.7=0.004 but the sheet says 0.208%?

Thanks

 

[globalarbtrader]

Thanks, i put 4 as my order ticket with my broker said the spread was 4 but i see what you mean now.
Only thing i'm unsure of is why the results of the sheet come out differently to your calcs above? eg Vol normalised tc 0.036/8.7=0.004 but the sheet says 0.208%?

Thanks

I forgot to divide the spread by 2. Sheet is correct.

Use the formula in the sheet for the spread rather than overwriting it by hand

Rob

 

[peppermint_tea]

Hi, my minimum exposure on my order ticket for WTI crude says £435 - that's the minimum i can buy - 8 barrels, but in the sheets calculation it shows my minimum exposure is $5.1 which i thought can't be right.

A one point move for me on this is $0.075 (£0.06) - but Correct me if i'm wrong should i multiply 0.075 by 100?

My logic is because on CMC the last big number in the price is a one point move, and with this being 68.988 I thought to multiply by 100 because its 2 places after the decimal.

I may be totally wrong and there's something else i should do but have been trying to figure it out and thats the closest solution i thought may be correct?

Everything calculates fine when i do an instrument where the last big number is before the decimal point - eg Gold 1,996.55

This is for CFD per point.

Thanks

 

[globalarbtrader]

Hi, my minimum exposure on my order ticket for WTI crude says £435 - that's the minimum i can buy - 8 barrels, but in the sheets calculation it shows my minimum exposure is $5.1 which i thought can't be right.

A one point move for me on this is $0.075 (£0.06) - but Correct me if i'm wrong should i multiply 0.075 by 100?

My logic is because on CMC the last big number in the price is a one point move, and with this being 68.988 I thought to multiply by 100 because its 2 places after the decimal.

I may be totally wrong and there's something else i should do but have been trying to figure it out and thats the closest solution i thought may be correct?

Everything calculates fine when i do an instrument where the last big number is before the decimal point - eg Gold 1,996.55

This is for CFD per point.

Thanks

Hi I'm happy to keep doing your maths for you, but I will have to charge you for the time I am spending on these queries. Since I'm a nice guy I will give you a discount on my normal consultancy rate, and I'll charge you just $496 per hour. If that's okay, please DM me with further questions.

Alternatively if you read the book more carefully and dig around with your brokers website a bit, and do some paper trades, you should be able to work this out yourself (in fact I'd strongly advocate paper trading any instrument before you trade it properly).

If you still can't work it out - I don't think it is safe for you to trade leveraged instruments.

Sorry if this is harsh, but I feel I've been quite patient.

Rob

 

[No.Emotions.Trader]

Hi, my minimum exposure on my order ticket for WTI crude says £435 - that's the minimum i can buy - 8 barrels, but in the sheets calculation it shows my minimum exposure is $5.1 which i thought can't be right.

A one point move for me on this is $0.075 (£0.06) - but Correct me if i'm wrong should i multiply 0.075 by 100?

My logic is because on CMC the last big number in the price is a one point move, and with this being 68.988 I thought to multiply by 100 because its 2 places after the decimal.

I may be totally wrong and there's something else i should do but have been trying to figure it out and thats the closest solution i thought may be correct?

Everything calculates fine when i do an instrument where the last big number is before the decimal point - eg Gold 1,996.55

This is for CFD per point.

Thanks

No offense, but why the CFD market? Also, I think you are doing too much for calculating. The holding cost and fee are just crazy and can't be compared to the CME products. Let's say if you have to adjust your position daily, or even 2 times a week due to the 'N' changes. That's already 8 times a month for trading fee + (around)20 days holding cost, which is a crazy amount of fixed fees that you should pay even before making a profit out of it.

For CME Micro Crude oil, where one tick movement (0.01) equals $1, I got the minimum capital for 1 contract as around $13,000 from the last close price, 71.78. In order to run 4 contracts, that is around $52,000. Compare the tick movement per lot size with the CFD crude oil.

For the FX rate, I used 1.0, and for σ%, I used just 20 days of "something" (if you don't get it, DM me)

If you look at p.72 from his newest book, you will see the minimum capital to trade for each symbol, and I think $13,000 is quite the right number since for Gasoline futures, it is more than $450,000.

One thing I don't understand is Rob's dynamic EWMAC doesn't make money on RB, HO, while the static approach makes money.... I don't know what I coded wrong. It made good profit on NG though.

@globalarbtrader, could you please confirm if your Strategy no.9 makes money on these two instruments (HO and RB)? If so, I need to re-write my whole code.