Hi GAT, another one for you: In your legacycsv file, you have a future for US20yr. I do not find any listed US20yr futures anywhere. What is the ticker for this future / what is it? I suspect it might be the US 15-25yr Ultra bond future....
Fully automated futures trading
- Thread starter globalarbtrader
- Start date
Also, where do you source your USDKRW fx rates from? I see it is not possible to stream this from IB as it is an NDF, which they do not offer.
Hi sorry for the delay replying, on holiday.
Yes the groupings are intended for some new reporting code that I haven't written yet, which allows aggregate p&l summed across different dimensions.
2 - There could be a number of reasons. Exactly which optimisation are you comparing to which? Could you give me the parameters for each?
thanks
GAT
I'm trading IMM futures, not spot FX. The margin spreads on interest for spot FX are ridiculous for retail customers. I'd trade FX forwards if IB offered them.
GAT
The ultra bond would be labelled US30, which I don't currently trade - that is for deliveries of 25 years plus. The bond you refer to, ticker ZB, is indeed US20. My US bond codes with IB tickers are:
US2 ZT
US5 ZF
US10 ZN
US20 ZB
US30 UB
GAT
I disagree. I downloaded Winton returns and compared them to mine since inception (March 2014) and got the following stats:
Annual vol: me 25.4%, W 9.3%
Annual returns: me 41.4%, W 8.9%
SR: Me 1.63 W 0.96
Average d/d: Me 2.94%, W 1.72%
Max d/d: Me 19.3%, W 6.65%
Average dd / annual vol: Me 0.12 W 0.18
Max dd / annual vol: Me 0.76, W 0.71
Reducing capital multiplier, or vol target, will reduce drawdowns and returns pro-rata. If I did that, I'd have smaller d/d than Winton, but still higher returns, at least in this period. But lower returns, not what I want.
Incidentally Winton have very low vol for a CTA, they halved their vol target in Nov 2008 and have never raised it. They have also underperformed CTA's generally in this period, compared to relative outperformance between 2009 and 2013.
So unless you can increase Sharpe Ratio, you can't reduce d/d without pain - lower returns.
GAT
A quick question about correlation. I have rebuilt the system from scratch using your suggested instruments. It all works well; just looking at the correlation between instrument returns (weekly resampling, 1992 onwards):
My question is related to correlation/causation. According to your book/blog posts, my understanding is that I should now add instrument weights to offset any correlation. Does adding in those weights make much difference for you, versus an equally weighted portfolio?
(Current Sharpe for this as an equally weighted portfolio 1992:today is ~0.45)
My question is related to correlation/causation. According to your book/blog posts, my understanding is that I should now add instrument weights to offset any correlation. Does adding in those weights make much difference for you, versus an equally weighted portfolio?
(Current Sharpe for this as an equally weighted portfolio 1992:today is ~0.45)
Hi GAT,
I too would like to use forwards, but more so that I can run my account in USD and hedge back to base, which outperforms changing my system to run positions in base currency.
I am curious, if you were to take your FX trades using forwards how would you deal with the constant mismatches in settlement dates? E.g., if you open an exposure today using a 1 month forward in e.g., EURUSD, and if vol and spot moved tomorrow, you would have to adjust your position. In this case, would you open a new 1 month forward the following day or adjust the forward you opened yesterday (and do this everyday until settlement, at which point you'd open a new 1 month forward)? From my experience forwards also have wider spreads as you have counterparty risk due to this being an OTC exposure. What are your thoughts here and how do CTAs deal with this generally?