Fully automated futures trading

[Gambit]

It's pretty much my last 'working' day of the year so I thought I'd do quick annual update of my performance.

I appreciate there haven't been many of these recently, but I've been pretty busy with this. Next year I should have more time to tend to some things I've been neglecting: my blog, pysystemtrade and perhaps even some new research. I'll also be giving some thought to my next book.

Would you mind posting your syllabus and class notes here? Thanks and Happy Holidays.

 

[globalarbtrader]

@globalarbtrader No Vix/Vstoxx?

Anybody here been crazy enough to add the BTC futures?

Dropped because of margin requirements.

I'm literally in the middle of writing a post about BTC.

GAT

 

[globalarbtrader]

Would you mind posting your syllabus and class notes here? Thanks and Happy Holidays.

I don't think I'm allowed to do that. What I plan to do is write some blog posts that cover roughly the same material (excluding anything already covered in my books or elsewhere on the blog). That should be ok.


GAT

 

[Napoleon@Dynamite]

Can I clarify that for signal generation, we use the stitched prices?
What about pnl calculation? Do we use original prices or the stitched prices?

Right, for trend signal generation use the continuous. For PL use the real price. For Carry calculation (if it's part of your system), you will need to use the difference between the real prices of the two different contracts.

 

[globalarbtrader]

https://qoppac.blogspot.co.uk/2017/12/obligatory-bitcoin-post.html?m=1

GAT

 

[sle]

Rob, I am trying to assemble a reading list for a young monkey I just hired. Would you say your systematic trading is a good enough introduction into CTA-style thought process? If not, is there a book you'd recommend?

 

[globalarbtrader]

Rob, I am trying to assemble a reading list for a young monkey I just hired. Would you say your systematic trading is a good enough introduction into CTA-style thought process? If not, is there a book you'd recommend?

If it's CTA style you're particularly interested in then Andreas' book is probably an easier introduction


GAT

 

[hmcp]

Probably a little off topic but my daughter surprised me for Christmas with Smart portfolios. I asked her how she found this book she tells me her professor was reading it and that maybe we can read it a go over it together so I thank you for writing this.
Phil

 

[isotope1]

I have a question about portfolio bootstrapping.

To be clear, I'm using past data to find the weights for instruments in a portfolio that generated the highest Sharpe ratio.

The thing is, this can up-weight highly correlated things because they worked over the time sample (e.g. vstoxx/vix), but really we have no expectation of what the future Sharpe might be.

In other words, ought the weights not be inversely proportional to the correlations?

This should minimise volatility, which we can know with reasonable certainty, and we know the correlations with almost absolute certainty, and ignores any expectation of return, which is unknown.

PS all current weights are here:

 

[Elder]

When calculated correctly skew is a standardised measure so doesn't need annualising.

γ = E([{rt – m}/ s]^3)

where y is skew, E is the expectations operator, rt is the return, m is the mean, s is the standard deviation (sorry it looks better in greek)

GAT

Hi Rob, I have been trying to wrap my head around changing skew over different measurement frequencies (prior discussion of it in your journal on page 51). I was wondering if this has anything to do with returns volatility hammering any +ve drift in the short term but over longer measurement periods the drift dominating (since the drift goes up faster than sdev)? Is this what the equation here is sort of saying?

....happy holidays to all!