Fully automated futures trading

[henner247]

hey, I'm wondering... the charts and performance data you are showing. Is that your whole IB account? or just your systematic strategies? because you are saying profits from stocks & hedges....
nice job anyway and gl in the markets

 

[globalarbtrader]

hey, I'm wondering... the charts and performance data you are showing. Is that your whole IB account? or just your systematic strategies? because you are saying profits from stocks & hedges....
nice job anyway and gl in the markets

That's the whole account.

GAT

 

[henner247]

ok, thanks. but there's no long-only equities exposure in it? I remember you said somewhere that is hedged out.

 

[globalarbtrader]

ok, thanks. but there's no long-only equities exposure in it? I remember you said somewhere that is hedged out.

Yes it's hedged out, but no hedge is perfect.

GAT

 

[henner247]

Thx. Have you checked your correlation to the MSCI world or some kind of global equities portfolio...?

If it's low. How can I invest in you ?

 

[globalarbtrader]

Thx. Have you checked your correlation to the MSCI world or some kind of global equities portfolio...?

If it's low. How can I invest in you ?

Yes it's low (about 0.1)

I don't accept outside investment.

GAT

 

[Spectre2007]

What do you suspect this system is doing...numbers look pretty good.

 

[globalarbtrader]

What do you suspect this system is doing...numbers look pretty good.

Pick your favourite answer;

- I have no idea based on the information available
- There is insufficient history to say whether it is any good or not
- performance is hypothetical not real
- the numbers I can see indicate this is probably a strategy with a large amount of hidden risk ('negative gamma')

GAT

 

[drm7]

What do you suspect this system is doing...numbers look pretty good.

It looks like a mean reversion system. Lots of small wins and a few very large losses. I've seen lots of stochastic/RSI/oscillator/BBand overbought/oversold systems with stats like this in rangebound markets, then the equity curve falls off a cliff in a strong trend.

 

[Spectre2007]

It looks like a mean reversion system. Lots of small wins and a few very large losses. I've seen lots of stochastic/RSI/oscillator/BBand overbought/oversold systems with stats like this in rangebound markets, then the equity curve falls off a cliff in a strong trend.

yep.. I've been running tests on multi year data.. even when things look good not many can withstand the drawdowns of some systems that show promise. I have strong belief that algorithmic trading is changing the long term behavior of markets.