Fully automated futures trading
- Thread starter globalarbtrader
- Start date
Hi GAT,
Just a quick question on how you collect settlement prices. I'm currently collecting data from Quandl en-masse at 2.30pm UK time and trading then, once a day.
Just a quick question on how you collect settlement prices. I'm currently collecting data from Quandl en-masse at 2.30pm UK time and trading then, once a day.
- What's really the best way to do this? Should I be collecting settlement prices from IB on-close and firing off market orders while the market is shut?
- Given that different futures settle at different times, how do you account for this, if at all?
If you're trading a slow system (sufficiently slow that daily prices are fine anyway) it doesn't matter so much what you do, and different settlement times are also irrelevant (just make sure that any cross sectional system you are using is slow enough to be robust to this, and I'd also advise weekly aggregating before calculating correlations).
So what you do is as fine as any other method, although I wouldn't advise firing off market orders when the market is shut...
GAT
Hi GAT,
Are there any plans to add additional systems to pysystemtrade in the near term, such as e.g., cross sectional strategies?
Also, will your QuantCon talk be recorded and/or will you place the slides on your website?
Can't wait to see your new book!
Thanks
Are there any plans to add additional systems to pysystemtrade in the near term, such as e.g., cross sectional strategies?
Also, will your QuantCon talk be recorded and/or will you place the slides on your website?
Can't wait to see your new book!
Thanks
Yes to additional systems at some point.
I believe the talk will be recorded, but I don't know if that will be accessible afterwards. I will put slides on my website however.
GAT
Thanks, clearly not a great year for trend following. My YTD is -0.3% and 12M p&l is around +5% both to April 6th (UK tax year so not exactly the same) but I'll do a more comprehensive report in a week or so.
GAT
I am pleased to report that there is a full review of my 12 month performance (UK tax year, ends April 5th) in the usual place.
Other figures, YTD I am flat. Since the last update (December 21st) up to today the picture looks like this:
P&L to date: 95.8%
P&L since last report: -0.6%
Drawdown (HWM set in August): 11.8%
Positions:
Code:
code contractid positions Lock WrongContract InFwdNotRoll
3 AEX 201705 2 False False False
5 AUD 201706 -1 False False False
4 BTP 201706 2 False False False
20 CAC 201705 3 False False False
7 CORN 201712 -4 False False False
1 EDOLLAR 202012 -1 False False False
14 EDOLLAR 202009 -2 False False False
15 EUR 201706 -1 False False False
9 EUROSTX 201706 -6 False False False (hedge)
13 GOLD 201706 1 False False False
12 LIVECOW 201710 1 False False False
0 MXP 201706 1 False False False
16 NASDAQ 201706 1 False False False
6 OAT 201706 3 False False False
11 PALLAD 201706 1 False False False
10 SMI 201706 3 False False False
19 SOYBEAN 201711 -4 False False False
2 V2X 201706 -1 False False False
8 V2X 201705 -18 False False False
17 VIX 201705 -4 False False False
18 WHEAT 201712 -6 False False FalseRisk:
Code:
code multisignal expected_annual_risk expected_annual_risk_per_contract position expected_annual_risk_rounded_pos
28 MXP 4.7 3767 2658 1 2658
2 LIVECOW 4.6 3695 3948 1 3948
31 GOLD 7.7 6231 9668 1 9668
8 BTP 11.0 8884 5531 2 11061
20 CAC 15.7 12706 3839 3 11516
22 NASDAQ 10.8 8765 5791 2 11583
32 PALLAD 16.7 13463 11889 1 11889
19 AEX 18.6 15024 7542 2 15085
10 OAT 18.4 14904 5463 3 16389
21 SMI 18.6 15024 5596 3 16789
36 EDOLLAR -4.7 3793 1613 -3 4840
24 AUD -7.0 5689 4894 -1 4894
25 EUR -13.0 10507 7509 -1 7509
0 CORN -11.2 9022 1960 -4 7840
16 V2X -14.3 11557 560 -21 11762
17 VIX -18.1 14661 3587 -4 14349
3 SOYBEAN -20.7 16722 3634 -4 14535
4 WHEAT -20.6 16653 2845 -6 17070GAT
AHL Evo up for an award in June -
http://www.mfpawards.com/
The Managed Futures Pinnacle Awards
5-Year Best Diversified CTA ($500 million+ AUM)
Man AHL (AHL Evolution)
http://www.mfpawards.com/
The Managed Futures Pinnacle Awards
5-Year Best Diversified CTA ($500 million+ AUM)
Man AHL (AHL Evolution)
There is an important point that I didn't put in the blog post which I've mentioned before here; I believe it's pretty difficult / dangerous to earn your living purely from trading; in the sense that you should never be in a position where you have to make money every year, never mind every single month.
Cutting through all the numbers my main futures trading strategy lost around $70,000 last year (fortunately coming off the back of two significantly positive years, and coinciding with an significant up year in my 'equity hedge' and long only portfolios). But I had sufficient other income (some book sales and other bits and pieces; but mainly dividends from my long only portfolio) that I can be completely relaxed about dropping that kind of money and still being able to pay the mortgage and other bills that a family of five (+cat) accrues.
GAT