Fully automated futures trading

FCT · Mar 29, 2017

GAT, any performance update scheduled? Eager to see how you've done year-to-date.
Another question: it seems you're short VIX for its risk premium by default. Aren't you worried about spikes in low-vol enrvironments? And can the mean-reversion VIX be captured by trading futures? Thanks a bunch, it's great to have someone around on ET with actual knowledge of systematic trading.

truetype · Mar 29, 2017

traider said:
Man AHL may soon begin betting with it too. Winton and Two Sigma are also getting into the brain game. https://bloom.bg/2o916ut

All CTAs are in the machine-learning buzzword-bingo game now, on a belief it's what clients want to hear. But it is notable the BBG article gave AHL as much airtime as Winton. Usually David Harding is the media go-to for a soundbite.

marketsurfer · Mar 29, 2017

globalarbtrader said:
http://quantcon.com/

GAT

ernie C. from QTS use to post here often before the trolls drove him away---

globalarbtrader · Mar 30, 2017

FCT said:
GAT, any performance update scheduled? Eager to see how you've done year-to-date.
Another question: it seems you're short VIX for its risk premium by default. Aren't you worried about spikes in low-vol enrvironments? And can the mean-reversion VIX be captured by trading futures? Thanks a bunch, it's great to have someone around on ET with actual knowledge of systematic trading.

I'll be doing a full year review on my blog to cover the entire UK tax year, probably in a couple of weeks or so.

I have a trend following and carry system on VIX which should help reduce my position when vol spikes.

What precisely do you mean by "the mean reversion in VIX"?

GAT

globalarbtrader · Mar 30, 2017

marketsurfer said:
ernie C. from QTS use to post here often before the trolls drove him away---

A thick skin and the ignore button are your best friends on here, that's for sure

GAT

isotope1 · Mar 30, 2017

globalarbtrader said:
I have a trend following and carry system on VIX which should help reduce my position when vol spikes.

How far out do you trade VIX? I'm a little concerned that a repeat of the 2007 spike could catch me unaware. Is that something I need to worry about?

(VIX, panama stitch, traded 3 months out)

globalarbtrader · Mar 30, 2017

isotope1 said:
How far out do you trade VIX? I'm a little concerned that a repeat of the 2007 spike could catch me unaware. Is that something I need to worry about?

(VIX, panama stitch, traded 3 months out)

I'm currently in May and rolling to June.

GAT

globalarbtrader · Mar 30, 2017

isotope1 said:
Is that something I need to worry about?

... sure, which is why you need to diversify over as many instruments as possible.

GAT

FCT · Mar 30, 2017

globalarbtrader said:
I'll be doing a full year review on my blog to cover the entire UK tax year, probably in a couple of weeks or so.

I have a trend following and carry system on VIX which should help reduce my position when vol spikes.

What precisely do you mean by "the mean reversion in VIX"?

GAT

I meant that the VIX (spot) index is stronly mean-reverting. Is that a property that can be exploited trading futures?

globalarbtrader · Mar 30, 2017

FCT said:
I meant that the VIX (spot) index is stronly mean-reverting. Is that a property that can be exploited trading futures?

Not exactly because you can't "own" VIX spot. Owning front VIX will be the closest match but then that has other nasty properties (the largest skew and kurtosis, compared to owning further out months).

As an aside is isn't as easy to make money on a mean reverting index as you might think if you glance at a chart (which of course involves forward information) and say "oh looky it always comes back to a level of 15". Nevertheless at first glance it looks like you could probably make some dough trading front VIX on a mean reverting basis. I wouldn't do it myself because I'm not keen on signals that only work on one market (or maybe two, eurostoxx vol).

GAT