Fully automated futures trading

gonzatti · Oct 30, 2016

globalarbtrader said:
Another question I don't like ... answer here https://www.elitetrader.com/et/threads/fully-automated-futures-trading.289589/page-8#post-4098584

I'm up 22% since December 31st, and down 1% since April 4th (the year I use).

GAT

GAT , out of curiosity , how's the equities LS part of your portfolio ? (I'm an EM equities LS guy )

Thanks !

globalarbtrader · Oct 31, 2016

gonzatti said:
GAT , out of curiosity , how's the equities LS part of your portfolio ? (I'm an EM equities LS guy )

Thanks !

It's not exactly the same time period but over the last 6 months I'm up 6% overall of which around 10% is equities plus hedge.

GAT

gonzatti · Nov 9, 2016

After this second Brexit event, how are you doing GAT ?

Best

globalarbtrader · Nov 9, 2016

gonzatti said:
After this second Brexit event, how are you doing GAT ?

Best

Close last night to 0905 GMT I am down around 0.2%
Just noise

GAT

globalarbtrader · Nov 15, 2016

Sorry for the lack of updates recently. Trying to get redraft my second book is taking up a lot of time.

Anyway if you're based in London and free tommorrow I'm doing this panel discussion:

http://www.meetup.com/London-Systematic-Traders/events/235411047/

isotope1 · Nov 17, 2016

Hi GAT,

I missed the panel discussion yesterday; was it recorded by any chance?

globalarbtrader · Nov 17, 2016

isotope1 said:
Hi GAT,

I missed the panel discussion yesterday; was it recorded by any chance?

No it wasn't

GAT

isotope1 · Nov 17, 2016

Do you apply a portfolio position size scaling multiplier that is a function of cumulative drawdown?

globalarbtrader · Nov 18, 2016

isotope1 said:
Do you apply a portfolio position size scaling multiplier that is a function of cumulative drawdown?

Only in as much as I use Kelly, i.e. scale my positions according to my account size.

So position size is proportional to (max capital at risk - drawdown)

GAT

isotope1 · Nov 20, 2016

I'm just doing the last bit now, connecting the whole lot to IB. Thanks so much for all of this, I've learnt so much from you, and genuinely enjoyed every minute of it.

I have a few q's:

Do you make use of IB's streaming data? My current working plan was to calculate positions based on Quandl data and just perform executions on IB. (tbc).
Despite the fact that IB is 'realtime', I assume you run your scripts periodically, perhaps daily. How often do you schedule recalculation of desired positions? What time do you schedule orders, relative to trading hours?
You mentioned on your blog that you manage the equities/hedges systematically; can you elaborate?