Short answer no. But if I had a few million in this account I would
Fully automated futures trading
- Thread starter globalarbtrader
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Short answer no. But if I had a few million in this account I would
Any particular reason for that? They're not big contracts.
Adding one contract causes no problem. But to add 10 Asian equities would
A: reduce the size I had in all other instruments proportionally causing me size issues elsewhere
B: seriously un diversify my portfolio as right now I only have 4% optimal in Asian equitirs
All in Chapter 12 ..... coming soon!
A: reduce the size I had in all other instruments proportionally causing me size issues elsewhere
B: seriously un diversify my portfolio as right now I only have 4% optimal in Asian equitirs
All in Chapter 12 ..... coming soon!
Hope everyone is surviving the greek related panic.
Just to let you know that the website for my book is now up and running:
www.systematictrading.org
And you can pre-order your copy here:
http://www.harriman-house.com/book/view/4598/trading/robert-carver/systematic-trading/
Just to let you know that the website for my book is now up and running:
www.systematictrading.org
And you can pre-order your copy here:
http://www.harriman-house.com/book/view/4598/trading/robert-carver/systematic-trading/
No it isn't kindle dependent. You get an option of kindle or using a free e book reader.
By the way it looks like the publisher haven't yet got the back end working for the pre-order. I'll let you know when that is sorted.
Thanks for the support.
GAT
Time for the semi regular update (sorry been busy proofreading the book [pre-ordering system is now working] and doing TV stuff).
Up a 'massive' 0.4% or £1600 in money terms, although it's been an interesting ride (you can probably see the point at which the greek government decided to shrug their shoulders and say 'sue' me). I had to reduce my Eurostoxx hedge, since it was clear that the beta was all wrong with what was going on.
Drawdown is 17.1%.
All about the ags complex this fortnight:
Big gainers
Soybeans £8.9K
Wheat £2.6K
NZD £2.4K
PALLAD £1.9K
GOLD £1.8K
MXP £1.8K
Big losers:
Corn -£5.8K
Kospi -£1.6K
Soya: Was long 1 contract 2 weeks ago; now long 3 contracts
Trades:
4267 SOYBEAN 201511 2015-06-22 14:30:00 1 947.250000
4294 SOYBEAN 201511 2015-06-24 15:22:48 1 961.750000
4315 SOYBEAN 201511 2015-06-29 12:15:04 1 985.250000
4375 SOYBEAN 201511 2015-07-02 12:03:36 -1 1029.750000
Corn: Was short 5 contracts two weeks ago; now short just one contract
Trades:
4291 CORN 201512 2015-06-24 14:30:00 1 378.750000
4303 CORN 201512 2015-06-25 18:11:08 1 391.250000
4354 CORN 201512 2015-06-30 17:18:26 1 412.750000
4390 CORN 201512 2015-07-02 14:30:00 1 430.000000
.... I think this is what is known as a 'hedge'. Classic trend following behaviour; one system was the right way round and bought into the strengthening rally (with a little bit of profit taking at the end), the other cut it's position which was the wrong way round.
These are such fascinating moves I will do a blog post in more detail explaining in more detail why I had these two positions on, and why I traded as I did.
Current position:
Risk:
This is a new table so let me explain. 'multisignal' is the signal I have on. 'expected annual risk expected' is the risk I would ideally have on if I could buy/sell partial contracts (in £ of annualised standard deviation). 'annal_risk_per_contract' is the risk of each contract. 'position' is in contracts. 'annual_risk_rounded' is the risk I actually have on. So you can see the effects of rounding; I'd like to have a EUR position on but each contract has an enormous risk so I can't justify it.
Current expected portfolio risk is @ 95% of average; on 82% of maximum capital (due to the drawdown) or in money terms £4,880 a day or £78K a year (or if you like, 19.5% of my maximum capital, and 23.7% of my current reduced capital; versus long run targets of 25%).
Trades:
Slippage was £192 vs £204 expected (so my simple execution algo saved me £12).
Up a 'massive' 0.4% or £1600 in money terms, although it's been an interesting ride (you can probably see the point at which the greek government decided to shrug their shoulders and say 'sue' me). I had to reduce my Eurostoxx hedge, since it was clear that the beta was all wrong with what was going on.
Drawdown is 17.1%.
All about the ags complex this fortnight:
Big gainers
Soybeans £8.9K
Wheat £2.6K
NZD £2.4K
PALLAD £1.9K
GOLD £1.8K
MXP £1.8K
Big losers:
Corn -£5.8K
Kospi -£1.6K
Soya: Was long 1 contract 2 weeks ago; now long 3 contracts
Trades:
4267 SOYBEAN 201511 2015-06-22 14:30:00 1 947.250000
4294 SOYBEAN 201511 2015-06-24 15:22:48 1 961.750000
4315 SOYBEAN 201511 2015-06-29 12:15:04 1 985.250000
4375 SOYBEAN 201511 2015-07-02 12:03:36 -1 1029.750000
Corn: Was short 5 contracts two weeks ago; now short just one contract
Trades:
4291 CORN 201512 2015-06-24 14:30:00 1 378.750000
4303 CORN 201512 2015-06-25 18:11:08 1 391.250000
4354 CORN 201512 2015-06-30 17:18:26 1 412.750000
4390 CORN 201512 2015-07-02 14:30:00 1 430.000000
.... I think this is what is known as a 'hedge'. Classic trend following behaviour; one system was the right way round and bought into the strengthening rally (with a little bit of profit taking at the end), the other cut it's position which was the wrong way round.
These are such fascinating moves I will do a blog post in more detail explaining in more detail why I had these two positions on, and why I traded as I did.
Current position:
Code:
code contractid positions Lock WrongContract InFwdNotRoll
1 AUD 201509 -1 False False False
3 BOBL 201509 1 False False False
16 COPPER 201512 -1 False False False
17 CORN 201512 -1 False False False
10 CRUDE_W 201512 -1 False False False
18 EDOLLAR 201812 3 False False False
19 EDOLLAR 201809 2 False False False
11 EUROSTX 201509 -13 False False False (hedge)
2 GAS_US 201509 -1 False False False
8 GOLD 201508 -2 False False False
14 JPY 201509 -1 False False False
6 KR3 201509 6 False False False
9 MXP 201509 -6 False False False
15 NZD 201509 -3 False False False
20 PALLAD 201509 -2 False False False
12 PLAT 201510 -3 False False False
13 SOYBEAN 201511 3 False False False
7 US2 201509 3 False False False
5 US5 201509 1 False False False
0 V2X 201508 3 False False False
4 VIX 201508 -2 False False FalseRisk:
Code:
Expected annual risk more than GBP6400 per year, GBP400 per day
code multisignal expected_annual_risk expected_annual_risk_per_contract position expected_annual_risk_rounded_pos
25 EUR -23.4 14867 38552 0 0
24 AUD -11.4 7227 5549 -1 5549
30 COPPER -16.3 10342 6898 -1 6898
34 CRUDE_W -15.8 10039 9963 -1 9963
28 MXP -16.1 10227 1845 -6 11067
17 VIX -20.6 13104 5852 -2 11704
33 PLAT -25.6 16259 4882 -3 14645
31 GOLD -32.1 20418 8127 -2 16254
29 NZD -23.1 14677 5472 -3 16415
32 PALLAD -26.5 16858 9646 -2 19292
36 EDOLLAR 11.7 7466 1757 5 8786
3 SOYBEAN 35.5 22576 7342 3 22026This is a new table so let me explain. 'multisignal' is the signal I have on. 'expected annual risk expected' is the risk I would ideally have on if I could buy/sell partial contracts (in £ of annualised standard deviation). 'annal_risk_per_contract' is the risk of each contract. 'position' is in contracts. 'annual_risk_rounded' is the risk I actually have on. So you can see the effects of rounding; I'd like to have a EUR position on but each contract has an enormous risk so I can't justify it.
Current expected portfolio risk is @ 95% of average; on 82% of maximum capital (due to the drawdown) or in money terms £4,880 a day or £78K a year (or if you like, 19.5% of my maximum capital, and 23.7% of my current reduced capital; versus long run targets of 25%).
Trades:
Code:
code contractid filled_datetime filledtrade filledprice
4306 AUD 201509 2015-06-29 01:29:33 -1 0.759200
4372 BOBL 201509 2015-07-02 07:32:49 1 129.590000
4264 BTP 201509 2015-06-22 07:34:45 1 131.260000
4291 CORN 201512 2015-06-24 14:30:00 1 378.750000
4303 CORN 201512 2015-06-25 18:11:08 1 391.250000
4354 CORN 201512 2015-06-30 17:18:26 1 412.750000
4390 CORN 201512 2015-07-02 14:30:00 1 430.000000
4312 CRUDE_W 201512 2015-06-29 12:09:45 -1 59.480000
4255 EUROSTX 201509 2015-06-19 13:53:52 -10 3478.000000
4336 EUROSTX 201509 2015-06-30 08:06:16 3 3460.000000
4363 EUROSTX 201509 2015-07-01 07:59:58 3 3465.000000
4366 EUROSTX 201509 2015-07-01 19:59:09 -1 3474.000000
4252 FTSE 201509 2015-06-19 13:46:46 2 6677.500000
4273 GAS_US 201508 2015-06-23 12:02:37 1 2.768000
4276 GAS_US 201509 2015-06-23 12:02:37 -1 2.782000
4261 GBP 201509 2015-06-22 02:39:42 1 1.587800
4282 GBP 201509 2015-06-23 13:51:13 -1 1.573100
4249 GOLD 201508 2015-06-19 12:05:23 1 1200.200000
4279 GOLD 201508 2015-06-23 12:09:48 -1 1181.800000
4300 GOLD 201508 2015-06-25 12:10:40 -1 1172.900000
4360 JPY 201509 2015-07-01 01:45:00 1 0.008167
4369 JPY 201509 2015-07-02 06:01:53 -1 0.008113
4270 KOSPI 201509 2015-06-23 02:42:08 1 255.250000
4297 KR3 201509 2015-06-25 01:48:59 1 108.970000
4387 MXP 201509 2015-07-02 12:38:43 -1 0.062870
4285 NASDAQ 201509 2015-06-23 14:41:02 1 4537.000000
4318 NASDAQ 201509 2015-06-29 14:08:05 -1 4429.000000
4393 NZD 201509 2015-07-02 18:20:29 -1 0.668300
4309 PALLAD 201509 2015-06-29 12:08:42 -1 670.750000
4378 PALLAD 201509 2015-07-02 12:09:34 1 695.850000
4342 PLAT 201507 2015-06-30 12:01:36 2 1081.700000
4345 PLAT 201510 2015-06-30 12:01:36 -2 1082.700000
4348 PLAT 201507 2015-06-30 12:04:28 1 1081.500000
4351 PLAT 201510 2015-06-30 12:04:28 -1 1082.500000
4267 SOYBEAN 201511 2015-06-22 14:30:00 1 947.250000
4294 SOYBEAN 201511 2015-06-24 15:22:48 1 961.750000
4315 SOYBEAN 201511 2015-06-29 12:15:04 1 985.250000
4375 SOYBEAN 201511 2015-07-02 12:03:36 -1 1029.750000
4288 SP500 201509 2015-06-23 14:44:03 1 2116.500000
4321 SP500 201509 2015-06-29 14:11:26 -1 2075.000000
4258 US5 201509 2015-06-19 14:36:31 1 119.328125
4333 VIX 201508 2015-06-29 17:12:02 1 16.400000
4339 VIX 201508 2015-06-30 11:08:56 1 16.600000
4357 WHEAT 201512 2015-06-30 18:23:59 1 603.750000Slippage was £192 vs £204 expected (so my simple execution algo saved me £12).
There's a fuller post here about the commodity move
http://www.elitetrader.com/et/index.php?threads/a-tale-of-two-positions.292751/
http://www.elitetrader.com/et/index.php?threads/a-tale-of-two-positions.292751/
Just read this thread and scrolled through your blog - nice work!
I understand your current system is 'always-in' but can you run though how you would deal with position sizing if your signals would allow for 'no holding'? With position sizing a function of total portfolio risk, this would either require very frequent adjustment of 'existing' positions when a 'new' position is added / removed (and thereby potentially creating undesired 'noise' returns), or being constantly under invested by assuming a position in all instruments.
First my system isn't 'always in'. There is a minimum signal strength I need before establishing a position. However if I had enough capital it would be 'always in'.
Anyway, on to your question. I wouldn't trade any differently if I had a binary system, or a system where I had a lot of potential bets few of which were rarely active.
I don't, as you are suggesting, have a constant target expected risk that I'm hoping to achieve.
Effectively I size my portfolio according to the average number of bets I expect to have on over the long run; and according to what I expect the average correlation of those bets to be.
Let's suppose that on average I expect to have 10 trinary (long/short or no position) bets on out of a total of 20 possibilities.
I'll scale the overall system so I have on average the required amount of risk assuming I have 10 bets on, and for some average correlation of bets.
If I had fewer bets on than normal I would be taking less risk than average. That makes sense; you should always have risk on proportional to the opportunities available.
If I had more bets on than normal I would be taking more risk than average.
Closing a bet or adding a new bet has no effect on existing bets, and so doesn't require any trading.