Fully automated futures trading
- Thread starter globalarbtrader
- Start date
Good point. It looks like the only one that might be of interest is USDEUR & USDGBP.
Subsystem returns correlation (EWMAC & Carry), weekly resample:
(Sorry for terrible colours, I'm using a dark theme on Jupyter)
All the correlations are below 0.4; so if you can then you should trade them all.
GAT
A man after GAT's own heart... spotted at a mutual-fund conference in Palm Springs...
Can't see the picture....?
GAT
"Works on my machine" -- but anyway, https://s28.postimg.org/i3g8avycd/mym.jpg
Thanks to everyone who attended my talk at Quantcon. The slides are here https://www.docdroid.net/7Mq0son/quantcon-rob-carver-to-present.pdf.html
Video will be available here http://quantcon.com/ (click playback) from May 12th (free to attendees, live stream purchasers, or you can buy access now. A public version of the video should be available later this year.
GAT
Video will be available here http://quantcon.com/ (click playback) from May 12th (free to attendees, live stream purchasers, or you can buy access now. A public version of the video should be available later this year.
GAT
... and heres my blog post about the other presentations that I saw http://qoppac.blogspot.co.uk/2017/05/some-reflections-on-quantcon-2017.html
GAT
GAT
Brief update on performance:
P&L to date: 105.6%
P&L since last report: +9.8%
Drawdown (HWM set in August): 2.1%
Big profits in KOSPI, LIVECOW, NASDAQ, OAT (Merci Macron), SMI. Interestingly I haven't benefited that much from the well publicised crush in vol - the +2 futures I trade haven't moved as much as spot.
Position is dead easy to interpret: I'm long equities and OAT, and short vol. So risk on, big time.
GAT
P&L to date: 105.6%
P&L since last report: +9.8%
Drawdown (HWM set in August): 2.1%
Big profits in KOSPI, LIVECOW, NASDAQ, OAT (Merci Macron), SMI. Interestingly I haven't benefited that much from the well publicised crush in vol - the +2 futures I trade haven't moved as much as spot.
Position is dead easy to interpret: I'm long equities and OAT, and short vol. So risk on, big time.
GAT