Fully automated futures trading

[Elder]

the API is extremely simple and analogous to Python dictionaries. It's a simple key value store where the values can be Python objects (serialised automatically by Arctic) or pd.Dataframes or np.array all stored as ndarry natively and so can be sliced and diced to save streaming back the whole object to the client - nice!

@djames thanks for sharing. And of course thanks as always to GAT for sharing as well.

 

[riskbiscuit]

There's a lot of futures trading systems out there. I took a look at iSystems and they have some pretty legitimate futures trading systems. Here's the link if anyone's interested: https://cannon.isystems.com/

 

[NZSurfer]

I meant don't trade the 1st or the 2nd contract (because the jump in volume is so high) - I wasn't talking about trading the spread (which I wouldn't do eithier).

GAT

I am wondering if this line, "because the jump in volume is so high", should read, "because the jump in VOLATILITY is so high."
As an aside; this is a great thread, please keep up the good work.

 

[truetype]

AHL Sep results out -- Alpha -3.3%, Dim -0.8%, Div -5.7%, Evo -0.7%

 

[newwurldmn]

@globalarbtrader and @Elder thank you for your conversation about GE. Until now was I using the contract which expires in December 2017. However, I noticed today that the December 2018 has recently a larger daily trading volume. And its price volatility seems a bit larger. Time for me to move over. This is one of those contracts that you don't have to bother about rolling so often (in my view, that is). Thus having the risk of overlooking it.

Dumb question: what is GE?

 

[isotope1]

GE

It's Eurodollar.

Just to add my thoughts- I trade this ~40 months out, and the VIX/VSTOXX 2nd contract, to try and minimise whipsaws.

On the topic of HDF vs Arctic. HDF in Pytables mode is really the fastest solution, I recommend this for running a trading system on your PC. Arctic has roughly half the performance of HDF, but has a number of other issues; the only reason I use it is that I now run everything in Google Cloud with docker, and it makes sense to have a central tick database.

 

[HobbyTrading]

Dumb question: what is GE?

GE is the instrument code for EuroDollar. Don't confuse this with the exchange rate EUR/USD. More info about GE is here: https://www.cmegroup.com/trading/interest-rates/stir/eurodollar.html

 

[newwurldmn]

Thanks guys.

 

[joederp]

Hi GAT,
For the forecasting portion of your system, specifically the annualisation of volatility, doesn't that assume some 'normalcy' in the volatility returns distribution, and/or stationarity? If so, how is that rationalized in context of the system at-large, be it that the looseness in trading rules compensates for it, or other factors?

 

[joederp]

There's a lot of futures trading systems out there. I took a look at iSystems and they have some pretty legitimate futures trading systems. Here's the link if anyone's interested: https://cannon.isystems.com/

Just asking in-earnest: have you followed any of these systems for several months, to see how robust their risk-adjusted returns are? Seems building one's own system is foolhardy, if the primary goal is simply to make money, and it's as simple as letting someone else's system do the grunt work....and, the page states at the top "THE FOLLOWING IS HYPOTHETICAL MODEL ACCOUNT PERFORMANCE"