Fully automated futures trading

NZSurfer · May 26, 2016

globalarbtrader said:
- periodically check the price in the market. I do this hourly, but daily woud be fine as well (when I clean up my code I'll move to daily closing prices only).

Hello Rob,
I think you are doing a great job in your goal of educating traders - very impressive.
The quote above suggests you are moving to daily price checking. Is the reason that hourly price checking is not worth the grief given your time frame?
Thanks.

globalarbtrader · May 27, 2016

NZSurfer said:
Hello Rob,
I think you are doing a great job in your goal of educating traders - very impressive.
The quote above suggests you are moving to daily price checking. Is the reason that hourly price checking is not worth the grief given your time frame?
Thanks.

Yes I'm thinking of doing that. Also I'm considering including some faster trading systems. Reducing my slow system to daily checking will reduce congestion during the day.

GAT

BobbieJ · May 28, 2016

globalarbtrader said:
Yes I'm thinking of doing that. Also I'm considering including some faster trading systems. Reducing my slow system to daily checking will reduce congestion during the day.

GAT

This is interesting. Do you think there are more trend following opportunities in the faster / intraday space, or would you consider employing a different strategy such as mean reversion? Would you be worried about competition with HFT algos? I'm guessing fundamental strategies are not cut out for short term.

AvantGarde · May 29, 2016

Hi GAT,
Do you have any thoughts on what can be done to limit drawdowns, apart from running on a lower vol target?

globalarbtrader · May 31, 2016

AvantGarde said:
Hi GAT,
Do you have any thoughts on what can be done to limit drawdowns, apart from running on a lower vol target?

Have a higher Sharpe Ratio :-)

GAT

globalarbtrader · Jun 1, 2016

AvantGarde said:
Hi GAT,
Do you have any thoughts on what can be done to limit drawdowns, apart from running on a lower vol target?

Just in case you were wondering my last reply was both a little joke, and almost perfectly true.

Drawdown distributions are a function of sharpe ratio, volatility target and the autocorrelation and skew of the return distribution. So if for example you do something like equity curve trading (see fuller analysis here) on something like an option selling strategy (which has positive autocorrelation of returns, and negative skew), then you'll reduce the drawdown but at the expense of the average return (there is no free lunch).

GAT

globalarbtrader · Jun 6, 2016

(graph is slightly out of date up to friday close; live numbers are up to this morning)

P&L period: -3.2%
P&L to date: 84.9%
Drawdown: 16.7%

Losses continue - May was the third losing month in a row' although right now I'm slightly up on the worst drawdown which was running at just over 20%.

Winner:

Soybean 12.4K
OAT 2.2K

Losers:

GBP -1.1K
Eurodollar -1.3K
Gold -1.6K
Nasdaq -1.6K
EUR -1.8K
Crude -1.9K
Wheat -2.1K
Gas -3.5K
Stocks + hedge -16K

Another standout performance from Soy, bailing out the rest of the portfolio.

Positions

Code:

       code contractid  positions   Lock WrongContract InFwdNotRoll
2       AEX     201606          1  False         False        False
23     BOBL     201609          2  False         False        False
7      BUND     201609          1  False         False        False
14      CAC     201606          1  False         False        False
9    COPPER     201609         -1  False         False        False
3      CORN     201612          2  False         False        False
5   EDOLLAR     201906          5  False         False        False
6   EDOLLAR     201909          4  False         False        False
20  EUROSTX     201606         -9  False         False        False  (Hedge)
10     GOLD     201606         -1  False         False        False
16     KR10     201606          3  False         False        False
13      KR3     201606          9  False         False        False
15  LEANHOG     201606          1  False         False        False
0       MXP     201606         -1  False         False        False
18   NASDAQ     201606          1  False         False        False
1       OAT     201609          3  False         False        False
11      SMI     201606          1  False         False        False
19  SOYBEAN     201611          2  False         False        False
4     SP500     201606          1  False         False        False
12      US2     201609          2  False         False        False
17      US5     201609          1  False         False        False
22      V2X     201607         -5  False         False        False
21      VIX     201607         -2  False         False        False
8     WHEAT     201612         -2  False         False        False

Risk:

Code:

       code  multisignal  expected_annual_risk  expected_annual_risk_per_contract  position  expected_annual_risk_rounded_pos
28      MXP         -5.1                  3544                               2174        -1                              2174
16      V2X         -5.4                  3733                                695        -5                              3474
30   COPPER         -9.6                  6635                               6528        -1                              6528
24      AUD         -1.7                  1157                               6554        -1                              6554
4     WHEAT         -7.4                  5130                               4337        -2                              8675
25      EUR         -7.1                  4893                               9136        -1                              9136
17      VIX        -13.6                  9460                               5131        -2                             10263
31     GOLD        -10.7                  7432                              14204        -1                             14204

7      BOBL          3.5                  2401                               1265         2                              2530
0      CORN          3.7                  2562                               2808         1                              2808
15      US5          3.2                  2225                               2918         1                              2918
1   LEANHOG          3.8                  2627                               3581         1                              3581
13      US2          4.2                  2880                               2023         2                              4047
9      BUND         10.4                  7244                               4885         1                              4885
6       KR3          7.9                  5464                                645         9                              5808
20      CAC         10.1                  7015                               5857         1                              5857
5      KR10          9.4                  6532                               2234         3                              6703
23    SP500          9.3                  6474                               7160         1                              7160
22   NASDAQ          7.4                  5109                               7699         1                              7699
21      SMI         10.0                  6922                               7922         1                              7922
19      AEX          8.4                  5817                              10193         1                             10193
3   SOYBEAN         26.2                 18144                               6803         2                             13606
36  EDOLLAR         17.5                 12119                               1628         9                             14648
10      OAT         20.9                 14488                               4929         3                             14788

Given the pesky drawdown, and lack of clear signals, risk is running at just over half of the long term target.

Trades:

Code:

          code contractid     filled_datetime  filledtrade  filledprice
10921      AEX     201606 2016-05-30 07:59:18            1   451.850000
10270      AUD     201606 2016-05-09 18:13:34           -1     0.730600
11062      AUD     201606 2016-06-06 00:57:45            1     0.734200
11020     BOBL     201606 2016-06-02 07:33:15           -1   131.460000
11023     BOBL     201609 2016-06-02 07:33:15            1   132.360000
11047     BOBL     201609 2016-06-03 07:59:54            1   132.390000
10228     BUND     201606 2016-05-05 16:00:26            1   163.420000
11014     BUND     201606 2016-06-02 07:28:16           -1   164.150000
11017     BUND     201609 2016-06-02 07:28:16            1   163.130000
10888      CAC     201606 2016-05-25 08:02:34            1  4418.500000
10477   COPPER     201609 2016-05-17 14:02:26           -1     2.093000
10369     CORN     201612 2016-05-13 14:30:00            1   393.500000
10843     CORN     201612 2016-05-23 15:39:35            1   403.250000
10852     CORN     201612 2016-05-24 09:05:37            1   398.750000
10882     CORN     201612 2016-05-24 14:30:00           -1   400.500000
11059     CORN     201612 2016-06-03 15:58:53            1   417.000000
11068     CORN     201612 2016-06-06 09:13:06            1   416.250000
10267  CRUDE_W     201612 2016-05-09 17:48:26           -1    45.760000
10324  CRUDE_W     201612 2016-05-11 17:50:45            1    48.470000
10813  EDOLLAR     201906 2016-05-19 14:31:26           -1    98.450000
10903  EDOLLAR     201906 2016-05-26 19:09:12           -1    98.465000
10948  EDOLLAR     201906 2016-05-31 15:44:36           -1    98.420000
11056  EDOLLAR     201906 2016-06-03 14:38:30           -1    98.595000
10486      EUR     201606 2016-05-18 19:22:27           -1     1.123550
10846      EUR     201606 2016-05-24 02:08:18           -1     1.121750
11053      EUR     201606 2016-06-03 14:36:26            1     1.131150
11065      EUR     201606 2016-06-06 02:00:56            1     1.135000
10480   GAS_US     201608 2016-05-18 12:30:22           -1     2.228000
10855   GAS_US     201607 2016-05-24 12:05:03            2     2.194000
10858   GAS_US     201608 2016-05-24 12:05:03           -2     2.264000
10915   GAS_US     201608 2016-05-27 13:01:11           -1     2.217000
10918   GAS_US     201608 2016-05-27 18:17:36            1     2.299000
10951   GAS_US     201608 2016-05-31 17:11:02            1     2.369000
11011   GAS_US     201608 2016-06-01 13:45:56            1     2.424000
11050   GAS_US     201608 2016-06-03 13:02:17            1     2.515000
10273      GBP     201606 2016-05-10 02:08:39           -1     1.441800
10894      GBP     201606 2016-05-26 01:54:53            1     1.471000
10954      GBP     201606 2016-05-31 17:37:35           -1     1.451000
10912     GOLD     201606 2016-05-27 12:53:40           -1  1219.900000
10906      JPY     201606 2016-05-27 04:37:17           -1     0.009100
11032      JPY     201606 2016-06-02 09:33:31            1     0.009185
10327    KOSPI     201606 2016-05-12 03:25:56           -1   242.650000
10897    KOSPI     201606 2016-05-26 02:06:46            1   241.700000
10294     KR10     201606 2016-05-11 03:33:38            1   129.760000
10816     KR10     201606 2016-05-20 01:00:51           -1   129.090000
11005      KR3     201606 2016-06-01 03:20:17           -1   110.360000
10255  LEANHOG     201606 2016-05-06 14:30:33            1    82.100000
10363  LIVECOW     201610 2016-05-12 16:19:14            1   118.750000
10258      MXP     201606 2016-05-09 02:10:43           -1     0.055710
10849      MXP     201606 2016-05-24 02:23:20           -1     0.053850
10237   NASDAQ     201606 2016-05-06 14:03:05           -1  4279.000000
10321   NASDAQ     201606 2016-05-11 14:03:05            1  4388.250000
10933   NASDAQ     201606 2016-05-31 14:16:54            1  4519.000000
10261      NZD     201606 2016-05-09 02:14:49           -1     0.682000
10276      OAT     201606 2016-05-10 08:36:05            1   158.370000
10900      OAT     201606 2016-05-26 07:31:05            1   158.630000
10909      OAT     201606 2016-05-27 07:48:13            1   158.930000
10924      OAT     201606 2016-05-30 14:03:02           -1   158.260000
11008      OAT     201606 2016-06-01 08:37:35            1   158.790000
11026      OAT     201606 2016-06-02 07:40:22           -3   158.770000
11029      OAT     201609 2016-06-02 07:40:22            3   156.810000
10393     PLAT     201607 2016-05-17 12:25:04           -1  1047.200000
10891      SMI     201606 2016-05-25 08:05:31            1  8141.000000
10231  SOYBEAN     201611 2016-05-05 18:19:39           -1  1002.250000
10366  SOYBEAN     201611 2016-05-12 18:06:50           -1  1054.750000
10861  SOYBEAN     201611 2016-05-24 12:15:14           -1  1022.500000
10930  SOYBEAN     201611 2016-05-31 12:16:42            1  1062.750000
10927    SP500     201606 2016-05-30 14:27:24            1  2101.750000
10243     US10     201606 2016-05-06 14:14:39            1   130.765625
10792     US10     201606 2016-05-19 14:02:55           -1   129.453125
10831      US2     201606 2016-05-23 14:01:42           -2   109.039062
10834      US2     201609 2016-05-23 14:01:42            2   108.921875
10279      US5     201606 2016-05-10 14:13:47            1   121.390625
10483      US5     201606 2016-05-18 17:56:54           -1   120.617188
10837      US5     201606 2016-05-23 14:10:44           -1   120.437500
10840      US5     201609 2016-05-23 14:10:44            1   120.046875
10234      V2X     201606 2016-05-06 09:02:41           -1    28.700000
10372      V2X     201606 2016-05-16 08:10:47            5    28.200000
10375      V2X     201607 2016-05-16 08:10:47           -5    26.150000
10828      V2X     201607 2016-05-23 09:06:47           -1    25.250000
10885      V2X     201607 2016-05-24 14:45:13            1    24.650000
10378      VIX     201606 2016-05-16 09:59:23            1    17.910000
10381      VIX     201607 2016-05-16 09:59:23           -1    19.090000
11035      VIX     201607 2016-06-02 10:01:27           -1    17.600000
10264    WHEAT     201612 2016-05-09 12:35:25           -1   491.750000

Quite a lot of rolling, as you'd expect given the time of year. Stocks, currencies and some odds and sods remain to be rolled.

Expected slippage £315
Actual £269.

GAT

gonzatti · Jun 6, 2016

GAT,
Don you have or use any seasonality analysis to infer if there is something that impacts negatively the results of the TF strategies for your portfolio of futures? ("i usually do not perform so well in grains in the months of full moon, blablabla etc etc..")

If there is such, you could maybe allocate a bigger part of your capital to the hedged equities strategy, even though the futures probably don't use much $ besides margin deposits..

Best Regards

globalarbtrader · Jun 6, 2016

gonzatti said:
GAT,
Don you have or use any seasonality analysis to infer if there is something that impacts negatively the results of the TF strategies for your portfolio of futures? ("i usually do not perform so well in grains in the months of full moon, blablabla etc etc..")

If there is such, you could maybe allocate a bigger part of your capital to the hedged equities strategy, even though the futures probably don't use much $ besides margin deposits..

Best Regards

No (except that I always trade December Crude and fixed points for other commodities where prices show seasonal patterns to avoid confusing signals). I've never been convinced by seasonal effects. There normally isn't enough data to test whether an annual signal works or not. Turn of month is more compelling, but requires high trading costs (buy and then sell within a couple of days of month end).

GAT

sidzkosic · Jun 7, 2016

Hello,
I have a smaller account and to prevent problems with small account size I was thinking if trading shares of SPY instead of futures of S&P500 and QQQ instead of futures NQ (even stock options ?) etc. would do the trick? I would be definetly more free what goes to position sizing. Have you tried something similar?