Fully automated futures trading

globalarbtrader said:
No it depends on the contract. Ideally CARRY would be earlier than PRICE but that's not aways possible if you're already trading the front contract. I suggest you read this http://qoppac.blogspot.co.uk/2015/05/systems-building-futures-rolling.html ("The need to measure contango") or appendix B of my book on the carry rule p.285 print edition

GAT
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Ok, I re-read the carry section of appendix B, but still I miss something. In Futures: If Trading Nearest Contract, Net return would be a multiple of Price Differential. Price Differential = Next Price - Current price ~= (in the case of WTI currently) 51.3 - 50.8 = 0.5. However, the curve is in contango so I would expect that the Net Return would be a negative number, wouldn`t you say so?
 
Hi GAT

Are there any other books you can recommend for algorithmic trading?

Happy to read something with a more technical bent; just trying to expand my knowledge.
 
Hi globalarbtrader,

I saw that you trade FEEDCOW (these are the futures).

Could you please tell me any other stock instrument to get exposure to the Cattle on Feed?. There is an ETF called COW, but it does not have the adequate liquidity, the bid-ask is huge.

Thanks!
 
ibapilessons said:
Hi globalarbtrader,

I saw that you trade FEEDCOW (these are the futures).

Could you please tell me any other stock instrument to get exposure to the Cattle on Feed?. There is an ETF called COW, but it does not have the adequate liquidity, the bid-ask is huge.

Thanks!
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Sorry I only trade futures and I don't really know the commodity ETF's

You could try asking this on another part of the website, there is one area specifically for commodity traders.

GAT
 
itb said:
Ok, I re-read the carry section of appendix B, but still I miss something. In Futures: If Trading Nearest Contract, Net return would be a multiple of Price Differential. Price Differential = Next Price - Current price ~= (in the case of WTI currently) 51.3 - 50.8 = 0.5. However, the curve is in contango so I would expect that the Net Return would be a negative number, wouldn`t you say so?
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itb: Look here to clear up your question: http://qoppac.blogspot.co.nz/2015/11/typo-in-definition-of-carry-rule-for.html
 
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Hi GAT.

I think I've read that the amount of institutional money trading trend following strategies have hit a record high, and on a similar note smart beta strategies are also very popular these days.

How would you identify if this space is crowded or not?
 
Hi globalarbtrader!

Really enjoyed your book.

Question regarding carry rule: how would you deal with assets with strong positive carry? E.g. EM currencies, like RUB or TRY? Carry rule will always be long on such asset, is it a bit strange for trading rule? And such strategy (always long EMFX currency vs USD) didn't do a good job in recent years.
 
Hey - I'm unsure the "carry rule" makes sense with equity index futures. The difference between expries is the present value of the dividends paid over the period, and both the front and back months trade pretty tightly to this. (I used to push them back inline in another job, and I know some of the guys who keep them in line currently. All via institutional market making algorithms.). The return (carry) you will get is exactly the funding rate that the institutions are paying, which is not much over risk free.

Where's the edge?
 
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