Fully automated futures trading

gmax said:
Hi Rob,
In your Risk table, some instruments have signal > than 20 or < than - 20. Does it mean that you dont use caps for your forecasts?
More...

The signal there isn't the forecast, but the forecast multiplied by the instrument weights, IDM, and a scalar related to how much capital is at risk. Notice how each multi signal unit is worth around £710 of annualised risk, in fact it's exactly $1000 (for reasons lost in the mists of time I scale my system to a dollar risk amount, which is calculated from my £ account value)

I agree this isn't very intuitive and it's something I'll be changing in due course.

GAT
 
Are you submitting limit orders on entry / exit with a timer to get filled?

or market orders?

Keep up the good progress!
 
Monthly review (last one was March 5th)

figure_2.png

figure_1.png

P&L period: 5.0%

P&L to date: 98.1%

Drawdown: 3.5%

Almost recovered from the rather sharp drawdown that took me off my HWM set at the end of February. Interesting to see that I'm starting to build long positions in stocks again (and short vol, which amounts to the same risk-on trade). Generally though risk remains low as new trends aren't properly established in most assets.

The number for my second full year of trading is 41% (57% in the first year, assuming current risk exposure). I'll be doing a full blog post analysing the full year in more detail, but again this is higher than I'd have expected from my back test.

According to fundseeder my sharpe ratio is around 1.85 to date; relative to around 0.88 in back test.

My back test is conservative, for several reasons, but the main one is that I have much fewer instruments in the past than I do now. Against this one should weigh the usual risk of overfitting (no matter how careful I've been) and the likelihood of lower returns in all assets than in the past, which will impact also on trading systems.


Winners:

Edollar 5.2K
Crude 4.8K
BTP 3.8K
Soybean 2.1K

Losers:

Gas -5.2K
Wheat -3.3K
Leanhog -2.3K
AEX -2.5K
AUD -2.5K

Once again diversification within sectors is important (gas / crude, soy / wheat).

Positions
Code: 
       code contractid  positions   Lock WrongContract InFwdNotRoll
5       AUD     201606          1  False         False        False
4      BOBL     201606          3  False         False        False
17      BTP     201606          3  False         False        False
12     BUND     201606          1  False         False        False
0      CORN     201612         -6  False         False        False
8   CRUDE_W     201612         -2  False         False        False
2   EDOLLAR     201906          9  False         False        False
3   EDOLLAR     201909          3  False         False        False
22  EUROSTX     201606        -13  False         False        False  (hedge)
13   GAS_US     201606         -3  False         False        False
16     KR10     201606          3  False         False        False
14      KR3     201606          9  False         False        False
15  LEANHOG     201606          1  False         False        False
19  LIVECOW     201610         -1  False         False        False
20   NASDAQ     201606          1  False         False        False
7       OAT     201606          2  False         False        False
21  SOYBEAN     201611          2  False         False        False
1     SP500     201606          1  False         False        False
10     US10     201606          1  False         False        False
23      US2     201606          1  False         False        False
9       US5     201606          1  False         False        False
18      V2X     201605         -1  False         False        False
11      VIX     201606         -1  False         False        False
6     WHEAT     201612         -4  False         False        False


Risk
Code: 
       code  multisignal  expected_annual_risk  expected_annual_risk_per_contract  position  expected_annual_risk_rounded_pos
16      V2X         -2.0                  1384                                789        -1                               789
2   LIVECOW         -6.0                  4241                               4859        -1                              4859
17      VIX         -6.0                  4211                               6146        -1                              6146
0      CORN        -18.8                 13161                               2256        -5                             11281
4     WHEAT        -15.6                 10912                               2834        -4                             11334
35   GAS_US        -24.7                 17284                               5585        -3                             16756
34  CRUDE_W        -33.4                 23432                               9962        -2                             19925
13      US2          4.2                  2919                               1840         1                              1840
15      US5          4.9                  3419                               2684         1                              2684
1   LEANHOG          6.0                  4181                               3653         1                              3653
12     US10          3.8                  2645                               4188         1                              4188
7      BOBL          8.7                  6068                               1938         3                              5814
6       KR3          8.8                  6182                                650         9                              5847
9      BUND         12.1                  8477                               5903         1                              5903
24      AUD          9.8                  6883                               6771         1                              6771
5      KR10         11.7                  8192                               2585         3                              7755
23    SP500          9.4                  6599                               8808         1                              8808
22   NASDAQ          7.0                  4881                               9254         1                              9254
3   SOYBEAN         11.7                  8216                               2995         4                             11981
10      OAT         17.7                 12408                               6382         2                             12764
36  EDOLLAR         27.4                 19176                               1527        12                             18318
8       BTP         24.6                 17226                               6927         3                             20780


Trades
Code: 
 code contractid filled_datetime filledtrade filledprice
9124 AEX 201604 2016-03-21 10:09:48 1 445.500000
9157 AEX 201604 2016-03-29 11:01:35 -1 438.450000
9169 AEX 201604 2016-03-30 07:27:54 1 442.000000
9223 AEX 201604 2016-04-01 07:18:42 -1 433.350000
8962 AUD 201603 2016-03-11 06:30:04 -2 0.745200
8965 AUD 201606 2016-03-11 06:30:04 2 0.742100
8968 AUD 201606 2016-03-11 06:36:52 -2 0.746800
9013 AUD 201606 2016-03-14 01:00:04 2 0.754300
9091 AUD 201606 2016-03-16 13:03:06 -1 0.740100
9100 AUD 201606 2016-03-17 02:25:18 1 0.756800
9142 AUD 201606 2016-03-24 07:53:24 -1 0.745600
9172 AUD 201606 2016-03-30 08:35:10 1 0.764800
9781 AUD 201606 2016-04-05 10:15:55 -1 0.753900
8971 BOBL 201606 2016-03-11 07:52:20 -1 130.670000
9241 BOBL 201606 2016-04-01 11:58:07 1 131.150000
8974 BTP 201606 2016-03-11 07:54:08 -1 139.050000
9187 BTP 201606 2016-03-31 07:49:11 1 140.610000
9031 BUND 201606 2016-03-14 07:33:07 -1 161.720000
9109 BUND 201606 2016-03-18 07:49:34 1 162.780000
9040 CAC 201604 2016-03-14 12:05:09 1 4506.000000
9148 CAC 201604 2016-03-24 13:16:30 -1 4324.000000
9133 CORN 201612 2016-03-22 14:02:08 1 388.250000
9205 CORN 201612 2016-03-31 17:05:37 1 373.250000
9208 CORN 201612 2016-03-31 18:06:57 2 368.000000
9793 CORN 201612 2016-04-06 14:30:00 -1 369.750000
9004 CRUDE_W 201612 2016-03-11 18:12:59 1 43.660000
9193 CRUDE_W 201612 2016-03-31 11:47:31 -1 42.920000
8986 EDOLLAR 201906 2016-03-11 12:07:11 -1 98.335000
9097 EDOLLAR 201906 2016-03-16 19:40:06 -1 98.370000
9238 EDOLLAR 201909 2016-04-01 11:25:39 1 98.490000
9784 EDOLLAR 201909 2016-04-05 13:22:24 1 98.555000
8929 EUR 201603 2016-03-11 00:58:32 1 1.118750
9034 EUROSTX 201603 2016-03-14 09:06:40 13 3099.000000
9037 EUROSTX 201606 2016-03-14 09:06:40 -13 3021.000000
9112 GAS_US 201605 2016-03-18 13:02:33 1 2.009000
9145 GAS_US 201606 2016-03-24 13:02:07 -1 1.978000
9160 GAS_US 201605 2016-03-29 11:41:39 3 1.939000
9163 GAS_US 201606 2016-03-29 11:41:39 -3 2.051000
9175 GAS_US 201606 2016-03-30 11:34:13 1 2.104000
9199 GAS_US 201606 2016-03-31 13:51:16 1 2.126000
9244 GAS_US 201606 2016-04-01 14:53:20 -1 2.035000
9118 GBP 201606 2016-03-21 02:11:25 1 1.445200
9130 GBP 201606 2016-03-22 13:11:03 -1 1.424200
8926 GOLD 201606 2016-03-10 13:12:49 -1 1249.000000
8950 KR10 201603 2016-03-11 02:30:09 -1 128.270000
9016 KR10 201606 2016-03-14 01:01:32 2 127.810000
9019 KR10 201606 2016-03-14 01:03:21 2 127.790000
9022 KR10 201606 2016-03-14 01:06:56 2 127.780000
9025 KR10 201606 2016-03-14 01:08:32 2 127.780000
9028 KR10 201603 2016-03-14 01:09:33 -2 127.810000
9055 KR10 201606 2016-03-15 00:59:19 -3 127.870000
9079 KR10 201606 2016-03-16 01:02:05 -3 127.900000
9220 KR10 201606 2016-04-01 01:48:08 1 129.280000
8959 KR3 201603 2016-03-11 03:35:33 -1 109.980000
9010 KR3 201603 2016-03-14 00:59:06 -8 109.930000
9058 KR3 201606 2016-03-15 01:02:41 5 110.050000
9082 KR3 201606 2016-03-16 01:08:57 1 109.980000
9139 KR3 201606 2016-03-24 03:06:20 1 110.200000
9217 KR3 201606 2016-04-01 01:34:10 1 110.360000
9775 KR3 201606 2016-04-05 02:56:45 1 110.410000
9043 LEANHOG 201606 2016-03-14 17:03:59 1 82.900000
9151 LEANHOG 201606 2016-03-28 14:30:00 -1 80.575000
9787 LEANHOG 201606 2016-04-05 14:33:17 -1 79.350000
8932 MXP 201603 2016-03-11 01:31:57 1 0.056000
8935 MXP 201606 2016-03-11 01:31:57 -1 0.055580
9106 MXP 201606 2016-03-18 03:05:06 1 0.057250
9184 NASDAQ 201606 2016-03-30 16:46:10 1 4479.000000
8977 OAT 201606 2016-03-11 07:56:22 -1 156.080000
9121 OAT 201606 2016-03-21 07:33:31 1 157.130000
9190 OAT 201606 2016-03-31 08:54:24 1 158.430000
8989 SOYBEAN 201611 2016-03-11 12:00:55 1 906.000000
8995 SOYBEAN 201611 2016-03-11 13:11:20 1 905.000000
9052 SOYBEAN 201611 2016-03-14 17:16:06 1 906.500000
9115 SOYBEAN 201611 2016-03-18 13:31:07 1 912.750000
9136 SOYBEAN 201611 2016-03-22 15:44:25 1 923.250000
9178 SOYBEAN 201611 2016-03-30 11:49:37 1 929.250000
9196 SOYBEAN 201611 2016-03-31 11:56:19 -1 922.750000
9790 SOYBEAN 201611 2016-04-06 12:07:26 -2 918.500000
9094 SP500 201606 2016-03-16 14:03:17 1 2006.250000
8998 US10 201606 2016-03-11 13:58:01 -1 128.562500
9514 US10 201606 2016-04-04 14:25:51 1 130.453125
9103 US2 201606 2016-03-17 14:19:44 -1 109.039062
9001 US5 201606 2016-03-11 13:58:54 -1 119.710938
9166 US5 201606 2016-03-29 17:00:41 1 120.468750
8923 V2X 201604 2016-03-10 12:55:13 -1 26.100000
8980 V2X 201604 2016-03-11 09:16:09 -3 27.150000
8983 V2X 201605 2016-03-11 09:16:09 3 26.950000
9088 V2X 201605 2016-03-16 13:11:01 -1 26.400000
9127 V2X 201605 2016-03-22 08:55:41 -1 25.600000
9154 V2X 201605 2016-03-29 08:06:35 -1 25.500000
9226 V2X 201605 2016-04-01 08:20:36 -1 26.200000
9778 VIX 201606 2016-04-05 10:19:26 -1 18.850000
8992 WHEAT 201612 2016-03-11 12:02:34 1 505.750000
9064 WHEAT 201612 2016-03-15 13:30:00 1 506.250000
9181 WHEAT 201612 2016-03-30 15:09:28 1 499.500000

Expected slippage £502
Actual £73. A good result

GAT
 
i've brought it up before, it seems that your results are consistently better than expected, which to me feels like you've embedded quite a bit of conservatism in your system, which portends that you could maybe be more aggressive/are missing out on trades, extra performance?

and again, i'm having trouble articulating where this conservatism might exist (i bought and read your book and "everything makes sense").

anyway, kudos. really, really neat to see you crank them out over the center field fence time and time again.
 
jj1111 said:
i've brought it up before, it seems that your results are consistently better than expected, which to me feels like you've embedded quite a bit of conservatism in your system, which portends that you could maybe be more aggressive/are missing out on trades, extra performance?

and again, i'm having trouble articulating where this conservatism might exist (i bought and read your book and "everything makes sense").

anyway, kudos. really, really neat to see you crank them out over the center field fence time and time again.
More...

As discussed earlier in the thread I don't "miss out on trades".

I think the main conservatism is definitely coming from the lack of diversification earlier in the sample.

So right now for example I expect to get roughly 2.5 times the performance I'd get from a single instrument. For most of the backtest though I average around 10 instruments, which implies diversification benefit of 1.7 times an individual instrument. If I assume that the historic sharpe ratio of 0.9 is valid for 10 instruments, then for what I've got now I should expect a SR of 1.3 going forward.

Ultimately though it's worth remembering that there is a HUGE amount of noise around even year on year returns, and there's a chance (a remote one now) that my true Sharpe is zero (assuming of course that trading system returns are coming from a latent, unchanging distribution).

GAT
 
jj1111 said:
i've brought it up before, it seems that your results are consistently better than expected, which to me feels like you've embedded quite a bit of conservatism in your system, which portends that you could maybe be more aggressive/are missing out on trades, extra performance?

and again, i'm having trouble articulating where this conservatism might exist (i bought and read your book and "everything makes sense").

anyway, kudos. really, really neat to see you crank them out over the center field fence time and time again.
More...

One more thing to add; this year about 1/2 of my performance came from my equity neutral strategy which isn't backtested. Stripping that out I made around 20% this year; still good, but more in line with expectations.

GAT
 
Hi GAT,
Great post. Your posts to date have focused on your futures portfolio, yet your equity portfolio seems to be significantly contributing to your returns. Can you offer more insight into your equity portfolio? Does it have a value/momentum/etc bias? What sort of strategy is it and how does it work?
Thanks!
 
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