Fully automated futures trading

globalarbtrader said:
Here's my trading journal. I've been running this system since April last year. It's fully automated, futures trading, with a bias towards trend following.

Here is the p&l to date. I will do a more thorough analysis after a full year

plot.jpg


Current positions (hope the codes make sense):

AEX 201502 1
ASX 201503 1
AUD 201503 -1
AUS10 201503 1
AUS3 201503 2
AUSSTIR 201603 1
BOBL 201503 5
BTP 201503 2
BUND 201503 1
CAC 201502 2
CORN 201512 -1
CRUDE_W 201512 -1
EDOLLAR 201806 3
EUR 201503 -1
EUROSTX 201503 -9
FEEDCOW 201503 1
FTSE 201503 -2
GAS_US 201504 -1
GBP 201503 -1
JPY 201503 -1
KR10 201503 1
KR3 201503 5
LIVECOW 201510 -1
MXP 201503 -1
NASDAQ 201503 1
SHATZ 201503 23
SMI 201503 1
SP500 201503 1
US10 201503 1
US2 201503 3
US5 201503 1
V2X 201503 -1
VIX 201503 -1
WHEAT 201512 -1


More information to follow. I'll try and answer any questions.
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very interesting thread.

i will try to read all 150 pages as time permits.

i will also share some screengrabs of performance reports of mine, i have created some strategies with impressive results on historical data, even out of sample historical data.

this seems like a really nice forum, i'm glad i have now joined.
 
tradrjoe said:
Achieving that Sharpe with daily strategies is possible (and with intraday trading maybe even up to 2-3 sharpe). But like you brought up, the trick is all in the execution/details.

Strategies that are under 1 Sharpe are easy to find in the public domain (such as GAT's trend and carry signals or other alternative beta stuff), but ones that are higher than that are much more closely guarded and probably worth multiple millions. The best thing you can do is to build a framework that lets you backtest strategy ideas quickly and rapidly innovate and iterate. It comes down to eliminating bad ideas quickly. You say each of those ideas would take you multiple months to test, but for comparison I can probably go though each of those in less than a week using my system. Try to design a flexible framework that can let you do that.
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Is an event driven framework more flexible than a vectorised approach since it caters to trades with path dependency? What language did you implement your tester in?
 
Kernfusion said:
This guy claims that his sharpe is around 3.2, well it all goes back to the question "what kinds of returns are actually possible" in systematic (or any kind?) of trading, which was one of the first questions GAT discussed in his books\blog\forum.. I personally have very little experience with it as I only do this as a hobby., But very simply, if I look at the Leaderboard on fundseeder in the "Systematic" section, and order by sharpe desc (https://fundseeder.com/leaderboard/tm_systematic/sharpe_ver/1), the top-best performer at the moment has sharpe 2.59 and his track-record only goes from April 2017. If I search for the best systematic sharpe with at least 3 years of history(which still isn't that much I think) it's only 1.62 (this guy at the moment https://fundseeder.com/trading_account/517).. This kind of tells you something I think about expectations.. Browsing around some more on fundseeder, it seems that Discretionary guys are doing slightly better - there are at least 2 sharpe ratios above 3 with 3+ years of history..
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Fundseeder is a fundraising platform. Someone with a Sharpe 3 strategy would not be seeking funding and is probably already investing at max capacity for his/her strategy. Most professional traders would not be publishing their results on fundseeder.
 
rtw said:
i will also share some screengrabs of performance reports of mine, i have created some strategies with impressive results on historical data, even out of sample historical data.
More...
The most interesting graphs would be those of your live trading results (IMO).
 
You know we were talking about strategies with no negative years? I just noticed that Winton hasn't had any down years:
https://ctaperformance.com/wntn

I'm not sure what they're doing that makes such a big difference. Here's the result of my constant capital back test from 2000:

download.png


As you can see, there are long periods with steep drawdowns.
 
isotope1 said:
You know we were talking about strategies with no negative years? I just noticed that Winton hasn't had any down years:
https://ctaperformance.com/wntn

I'm not sure what they're doing that makes such a big difference. Here's the result of my constant capital back test from 2000:

View attachment 182852

As you can see, there are long periods with steep drawdowns.
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From what I understand, Winton has only about 50-60% of their risk in trend following, about a quarter in carry and the rest in newer strategies, so they are becoming more and more of a hybrid trend-follower as opposed to a pure trend follower. They also trade long/short market neutral equities in their original flagship fund. So you’re not necessarily comparing apples with apples if you’re comparing them with a pure trend follower....
 
AvantGarde said:
From what I understand, Winton has only about 50-60% of their risk in trend following, about a quarter in carry and the rest in newer strategies, so they are becoming more and more of a hybrid trend-follower as opposed to a pure trend follower. They also trade long/short market neutral equities in their original flagship fund. So you’re not necessarily comparing apples with apples if you’re comparing them with a pure trend follower....
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GAT model also includes carry (about 50% atleast according to his book). Winton future program trend following does also include equity futures, but not long/short market neutral equities in their future program.
https://www.winton.com/programs/winton-futures-program

They did had down year in 2009.
around 4 min mark

Their smoothness curve is probably function of number of instruments they use and target volatility they target. Equity curve looks lot different with 8-10% vol vs 25% vol. target.
 
Last edited:
isotope1 said:
You know we were talking about strategies with no negative years? I just noticed that Winton hasn't had any down years:
https://ctaperformance.com/wntn

I'm not sure what they're doing that makes such a big difference. Here's the result of my constant capital back test from 2000:

View attachment 182852

As you can see, there are long periods with steep drawdowns.
More...

What is the weight of your rules?
Does it vary through time?
How many instruments are included in the backtest
 
The equity curve shown above is with ~25% carry and 17% vol.

One grave concern is that the entire system is now only really trading two main themes: rising interest rates (short bonds) and short dollar. Those are fundamentally opposed (dollar should rise if interest rates rise), so I’m concerned a lot can go wrong in the short term.
 
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