Fully automated futures trading

[globalarbtrader]

Hi GAT,

Great journal, have you ever posted a more up to date graphic equity chart.
The one in your opening post was from April 2014 to Feb 2015.
Would be nice to see one from April 2014 to say the end of June 2017.

There have been other charts, though I think the last one was in April 2017.

I'll try and post one at the weekend

GAT

 

[Millionaire]

There have been other charts, though I think the last one was in April 2017.

I'll try and post one at the weekend

GAT

Ok thanks, i will attempt to find the post.

 

[HobbyTrading]

Hi GAT,

Great journal, have you ever posted a more up to date graphic equity chart.
The one in your opening post was from April 2014 to Feb 2015.
Would be nice to see one from April 2014 to say the end of June 2017.

He posted the most recent one not here at EliteTrader, but on his own blog: https://qoppac.blogspot.my/2017/04/investment-and-trading-performance-year.html

 

[sle]

No. You must never trade the front contract for a vol index.

Why is that? Or are you talking specifically in the context of your particular strategy?

 

[globalarbtrader]

Why is that? Or are you talking specifically in the context of your particular strategy?

Extremely horrific negative skew.

And in general, I like to use the second contract if it's liquid, so I can use the correct formula f(second - first) to calculate carry.

GAT

 

[truetype]

AHL & Winton quoted in WSJ today -

 

[globalarbtrader]

AHL & Winton quoted in WSJ today -
View attachment 175739

Thanks. I love the "Thirty years..." quote.

GAT

 

[SimpleMeLike]

GAT,

A big Thank You to you for providing everyone at ET forum with your progress and your process.

Thanks for taking time to post your overall performance and portfolio.

Very insightful information for someone like me entering the automated arena.

 

[globalarbtrader]

Hi GAT,

Great journal, have you ever posted a more up to date graphic equity chart.
The one in your opening post was from April 2014 to Feb 2015.
Would be nice to see one from April 2014 to say the end of June 2017.

Ask and ye shall receive...

Last update was April 11th

P&L to date: 106.8%
P&L since last report: +11.0%
Drawdown (HWM set at start of June): -3.6%

It's been quite a choppy few months. The period started well before a horrendous few days in May (discussed earlier in this thread). However performance then rallied and the system set a new HWM at the start of June.

Although I focus on my accounting period performance (UK tax year, starts April 7th) the YTD figure is also interesting. In this case they're both the same - I'm up about 11% since January 1st.

Positions & Risk

       code  multisignal  expected_annual_risk  expected_annual_risk_per_contract  position  expected_annual_risk_rounded_pos
0      CORN         -2.6                  2021                               3649        -1                              3649
10      OAT         -3.7                  2819                               6854        -1                              6854
16      V2X        -15.5                 11859                                782       -14                             10948
17      VIX        -20.0                 15337                               3607        -4                             14430

13      US2          0.8                   611                               1137         1                              1137
6       KR3          1.0                   773                                584         2                              1168
36  EDOLLAR          5.6                  4302                               1237         3                              3712
26      GBP          3.0                  2264                               5117         1                              5117
2   LIVECOW         11.5                  8786                               7332         1                              7332
21      SMI          8.5                  6489                               7668         1                              7668
25      EUR          8.5                  6509                               8200         1                              8200
18    KOSPI         14.4                 11027                               8412         1                              8412
19      AEX         20.5                 15695                              10597         1                             10597
29      NZD         16.6                 12712                               4013         3                             12038
23    SP500         18.8                 14446                               6153         2                             12306
28      MXP         17.6                 13529                               2139         6                             12836
22   NASDAQ         12.5                  9598                              13305         1                             13305
32   PALLAD         18.8                 14448                              13335         1                             13335
1   LEANHOG         20.4                 15669                               2893         5                             14466
24      AUD         22.9                 17570                               5376         3                             16128
3   SOYBEAN         25.6                 19670                               9446         2                             18891

Risk is running at 14% above average, based on current capital.

I'll be going on holiday in a week or so. As in previous years I intend to leave my system running.

GAT

 

[HobbyTrading]

@globalarbtrader I notice that the multisignal for AEX, LEANHOG, AUD and SOYBEAN is larger than 20. You don't cap that value at 20.0? VIX seems to be capped at -20.0?