Interesting thread and impressive results so far.
What is your average holding period?
What is your average holding period?
Fully automated futures trading
- Thread starter globalarbtrader
- Start date
Thanks, and a good question. My average holding period is about one month.
Yesterdays trades
No major scares, but the Eurodollar trade where I sold then bought is worth examining (although these were in different contracts this wasn't a roll trade, since I'm not forcing a roll in this contract). Buys and sells a few minutes apart should be fairly rare with my trading speed.
Interesting to see that the trades were actually submitted over an hour apart (not a few minutes), but the sell didn't fill until a few minutes before the buy was issued. So I sat on the offer for an hour. In these kinds of markets you often need to be patient, and the algo got a little extra by not getting bored and crossing the spread as a human might do. I once sat on the offer for four hours in the swiss interest rate future (not a market I would trade now), though I did eventually have to cross the spread.
Yesterdays profit: £8528. I'm now above my HWM and trading with maximum capital at risk.
Today I started rolling my US bond futures. These are a tricky one because they are physically settled and if you're long you have to worry about the broker (IB in my case) auto liquidating you before the first notice date (FND), which is on Friday, rather than the expiry date which is a few weeks away. There is no way to get the FND from IB so you just need to be aware of this (IB do send very frequent emails on the subject!) and check the CME calendar.
Another wrinkle is the US 20 year (treasury bond) roll which is a bit weird this time:
http://www.elitetrader.com/et/index...-2015-cbot-treasury-bond-futures-roll.289854/
Effectively the volatility of the new bond will be 50% higher. This kind of thing is a pain for futures traders. We calculate our volatility on the stitched price series of individual contracts. The volatility update will take a few weeks to process the information that the volatility on the new contract is higher than the old.
I don't currently have a position in the 20 year bond, but if I had say a 3 contract position the system would naturally want to buy say 3 contracts when the roll occurred, and then sell one of them (all other things being equal). Some kind of manual override would be needed to cope with this.
http://www.elitetrader.com/et/index...-2015-cbot-treasury-bond-futures-roll.289854/
Code:
code contractid filled_datetime filledtrade filledprice
2791 AUSSTIR 201606 2015-02-23 02:57:41 2 97.9200
2794 EDOLLAR 201806 2015-02-23 17:29:18 -1 97.6250
2796 EDOLLAR 201809 2015-02-23 17:39:54 1 97.5650
2793 GBP 201503 2015-02-23 15:58:40 1 1.5447
2790 KOSPI 201503 2015-02-23 01:39:09 1 251.8500
2792 VIX 201504 2015-02-23 11:06:54 -1 18.1000
Code:
code gbpt_slippage_process gbpt_slippage_bidask gbpt_slippage_execution gbpt_slippage_all_trading gbpt_slippage_total
2790 KOSPI -45.67 7.61 -15.22 -7.61 -53.28
2792 VIX -0.00 16.22 -32.44 -16.22 -16.22
2794 EDOLLAR -0.00 4.05 -8.11 -4.05 -4.05
2793 GBP 60.82 2.03 0.00 2.03 62.85
2791 AUSSTIR NaN 12.26 0.00 12.26 NaN
2796 EDOLLAR NaN 4.05 8.11 12.16 NaN
Total slippage: process 15.150000; bidask 46.220000; execution -47.660000; all trading -1.430000; grand total -10.700000No major scares, but the Eurodollar trade where I sold then bought is worth examining (although these were in different contracts this wasn't a roll trade, since I'm not forcing a roll in this contract). Buys and sells a few minutes apart should be fairly rare with my trading speed.
Code:
code sample_datetime submit_datetime filled_datetime delay_to_trade delay_to_fill total_delay
2794 EDOLLAR 2015-02-23 16:17:46 2015-02-23 16:19:27 2015-02-23 17:29:18 101 4191 4292
2796 EDOLLAR 2015-02-23 17:30:29 2015-02-23 17:34:34 2015-02-23 17:39:54 245 320 565Interesting to see that the trades were actually submitted over an hour apart (not a few minutes), but the sell didn't fill until a few minutes before the buy was issued. So I sat on the offer for an hour. In these kinds of markets you often need to be patient, and the algo got a little extra by not getting bored and crossing the spread as a human might do. I once sat on the offer for four hours in the swiss interest rate future (not a market I would trade now), though I did eventually have to cross the spread.
Yesterdays profit: £8528. I'm now above my HWM and trading with maximum capital at risk.
Today I started rolling my US bond futures. These are a tricky one because they are physically settled and if you're long you have to worry about the broker (IB in my case) auto liquidating you before the first notice date (FND), which is on Friday, rather than the expiry date which is a few weeks away. There is no way to get the FND from IB so you just need to be aware of this (IB do send very frequent emails on the subject!) and check the CME calendar.
Another wrinkle is the US 20 year (treasury bond) roll which is a bit weird this time:
http://www.elitetrader.com/et/index...-2015-cbot-treasury-bond-futures-roll.289854/
Effectively the volatility of the new bond will be 50% higher. This kind of thing is a pain for futures traders. We calculate our volatility on the stitched price series of individual contracts. The volatility update will take a few weeks to process the information that the volatility on the new contract is higher than the old.
I don't currently have a position in the 20 year bond, but if I had say a 3 contract position the system would naturally want to buy say 3 contracts when the roll occurred, and then sell one of them (all other things being equal). Some kind of manual override would be needed to cope with this.
http://www.elitetrader.com/et/index...-2015-cbot-treasury-bond-futures-roll.289854/
Todays trades
Mostly rolls, with a bad beat on the US 2 year.
P&L: £5,623. So still making new highs.
One of the hardest things about a trend following style is that it gives you a positive skew of returns - lots of small loss-making days, a few days with large profits. This also means you spend most of your time in a draw-down, even during a period of relatively high profitability. Whereas if I was selling volatility, I'd have lots of days with small profits and a few horrific losses, and spend most of my time making new highs.
Periods like the last couple of days are relatively rare then, but to be savored.
Code:
code contractid filled_datetime filledtrade filledprice
2802 AUSSTIR 201606 2015-02-24 04:42:47 1 97.890000
2807 US10 201503 2015-02-24 14:08:22 -1 127.781250
2808 US10 201506 2015-02-24 14:08:22 1 127.109375
2803 US2 201503 2015-02-24 14:02:30 -3 109.617188
2804 US2 201506 2015-02-24 14:02:30 3 109.187500
2805 US5 201503 2015-02-24 14:03:35 -1 119.632812
2806 US5 201506 2015-02-24 14:03:35 1 118.914062
Code:
code gbpt_slippage_process gbpt_slippage_bidask gbpt_slippage_execution gbpt_slippage_all_trading gbpt_slippage_total
2803 US2 30.41 15.21 -30.41 -15.21 15.21
2805 US5 25.34 2.53 -0.00 2.53 27.88
2807 US10 91.23 5.07 -10.14 -5.07 86.17
2802 AUSSTIR NaN 6.13 -12.26 -6.13 NaN
2804 US2 NaN -15.21 60.82 45.62 NaN
2806 US5 NaN -2.53 5.07 2.53 NaN
2808 US10 NaN -5.07 10.14 5.07 NaN
Total slippage: process 146.980000; bidask 6.130000; execution 23.220000; all trading 29.340000; grand total 129.260000Mostly rolls, with a bad beat on the US 2 year.
P&L: £5,623. So still making new highs.
One of the hardest things about a trend following style is that it gives you a positive skew of returns - lots of small loss-making days, a few days with large profits. This also means you spend most of your time in a draw-down, even during a period of relatively high profitability. Whereas if I was selling volatility, I'd have lots of days with small profits and a few horrific losses, and spend most of my time making new highs.
Periods like the last couple of days are relatively rare then, but to be savored.
Do you calculate risk number like daily VAR for the portfolio?
Yesterdays trades
The steady downtrend in VIX since the start of February means we are are starting to build a position again.
Yesterdays profit:£4,625. At HWM.
My key risk number is the expected daily standard deviation. With full capital as now, average signals and correlations, this would be the capital at risk (£400,000) multiplied by the daily risk target (annual risk target of 25% divided by 16 to get daily) or £6,250. It's currently £6,504, reflecting signal strength and correlation patterns. If this is above £12,500, twice the long run average, then I reduce all my positions to keep it at that level.
I then calculate two other worst case risks to see if I need to take further action.
I also calculate the worst case risk, assuming correlations break down, and volatilities remain the same. This is as simple as adding up the absolute value of my signals - assuming my longs sell off and shorts rally. This is currently £16,659 per day, or would be if I didn't reduce my signals when a limit of 2.5 times my normal risk, or £15,624 is exceeded.
Finally I calculate the worst case risk assuming volatilities spike to the highest levels seen in the last 5 years, but correlations remain unchanged. Right now this comes in at £8,885 per day, which is well below my limit.
I also cap expected risk per market. All of this is completely automatic of course.
I don't calculate VAR which confounds the volatility and correlation stress, since I prefer to keep an eye on these separately.
Code:
code contractid filled_datetime filledtrade filledprice
2809 AUSSTIR 201606 2015-02-25 06:14:16 1 97.90
2810 VIX 201504 2015-02-25 10:30:12 -1 17.45
Code:
code gbpt_slippage_process gbpt_slippage_bidask gbpt_slippage_execution gbpt_slippage_all_trading gbpt_slippage_total
2810 VIX -0 16.2 -32.41 -16.2 -16.2
2809 AUSSTIR NaN 6.1 -12.20 -6.1 NaNThe steady downtrend in VIX since the start of February means we are are starting to build a position again.
Yesterdays profit:£4,625. At HWM.
My key risk number is the expected daily standard deviation. With full capital as now, average signals and correlations, this would be the capital at risk (£400,000) multiplied by the daily risk target (annual risk target of 25% divided by 16 to get daily) or £6,250. It's currently £6,504, reflecting signal strength and correlation patterns. If this is above £12,500, twice the long run average, then I reduce all my positions to keep it at that level.
I then calculate two other worst case risks to see if I need to take further action.
I also calculate the worst case risk, assuming correlations break down, and volatilities remain the same. This is as simple as adding up the absolute value of my signals - assuming my longs sell off and shorts rally. This is currently £16,659 per day, or would be if I didn't reduce my signals when a limit of 2.5 times my normal risk, or £15,624 is exceeded.
Finally I calculate the worst case risk assuming volatilities spike to the highest levels seen in the last 5 years, but correlations remain unchanged. Right now this comes in at £8,885 per day, which is well below my limit.
I also cap expected risk per market. All of this is completely automatic of course.
I don't calculate VAR which confounds the volatility and correlation stress, since I prefer to keep an eye on these separately.
Here's my trading journal. I've been running this system since April last year. It's fully automated, futures trading, with a bias towards trend following.
Here is the p&l to date. I will do a more thorough analysis after a full year
Current positions (hope the codes make sense):
AEX 201502 1
ASX 201503 1
AUD 201503 -1
AUS10 201503 1
AUS3 201503 2
AUSSTIR 201603 1
BOBL 201503 5
BTP 201503 2
BUND 201503 1
CAC 201502 2
CORN 201512 -1
CRUDE_W 201512 -1
EDOLLAR 201806 3
EUR 201503 -1
EUROSTX 201503 -9
FEEDCOW 201503 1
FTSE 201503 -2
GAS_US 201504 -1
GBP 201503 -1
JPY 201503 -1
KR10 201503 1
KR3 201503 5
LIVECOW 201510 -1
MXP 201503 -1
NASDAQ 201503 1
SHATZ 201503 23
SMI 201503 1
SP500 201503 1
US10 201503 1
US2 201503 3
US5 201503 1
V2X 201503 -1
VIX 201503 -1
WHEAT 201512 -1
More information to follow. I'll try and answer any questions.
You ran a $25 billion fund and now you are trolling for business on elite trader and doing consulting? Something does not seem right here. What happened??
Oh Jesus here we go.
Surf please don't ruin this thread. It's one of few decent threads left.
If you read his blog somewhere it was mentioned he worked as a fund manager for AHL, that may explain the large fund he was handling. His results are quite impressive to date but I'm still waiting to see how his system perform from 2009-2013, a period that was brutal to trend followers. We should take this opportunity to pick his brain instead of running him off.