Fully automated futures trading

[globalarbtrader]

Thanks, GAT, for a great read. I have been trading a version of your strategy for a year now, and I am obviously underwhelmed by my performance. Obviously a year is far too short a timeframe to make a claim like "trendfollowing is dead". However, over what timeframe could I have sufficient evidence that I had "missed the party", and I should go back to my previous life as a strictly buy/hold index fund guy? Thanks.

From a statistical perspective, effectively never.

GAT

 

[Napoleon@Dynamite]

From a statistical perspective, effectively never.

GAT

Interesting, so if I replicated your Chapter 15 strategy, and I had 10 year annualized returns of zero, and lets say the SP500 did 5 percent per year annualized, I should still stick with it?

 

[Elder]

Sorry to butt in but my less than 2c worth (blame the recent drawdowns) is that the Computer says 'probably Yes'.

Of course if it was me and competing strategies do better in a statistically significant way than using GAT's distilled wisdom, I would be inclined to increase allocations to the better performing strategies. Keep in mind whatever you do, over an infinite time horizon your risk of ruin is 100% in any case

 

[globalarbtrader]

Sorry to butt in but my less than 2c worth (blame the recent drawdowns) is that the Computer says 'probably Yes'.

Of course if it was me and competing strategies do better in a statistically significant way than using GAT's distilled wisdom, I would be inclined to increase allocations to the better performing strategies.

I agree with that.

Keep in mind whatever you do, over an infinite time horizon your risk of ruin is 100% in any case

GAT

 

[globalarbtrader]

Interesting, so if I replicated your Chapter 15 strategy, and I had 10 year annualized returns of zero, and lets say the SP500 did 5 percent per year annualized, I should still stick with it?

It depends. Do you have the option of putting some of you money in the strategy and some in the S&P? (of course you do) Why are you allocating to trend following- for absolute return, or portfolio diversification?

GAT

 

[H2O]

Hi Rob,

I noticed in the presentation (~17:25) you mention that the framework you discuss in the presentation doesn't particularly 'play well' for mean-reversion strategies, or if limited leverage is available. Specifically you suggest making some tweaks to make it work for these type of strategies / conditions.

I would be very interested if you could provide some further information / suggestions with regards to these 'tweaks'

'Tweaks' is perhaps an underestimate; certainly the adaptations required would require a blog post to explain properly (I'll add it to my list...)

GAT

Hi Rob,

Just wanted to check on the position of the above item on your to-do list
Your thoughts / view on adaptations required would be much appreciated!

Thanks in advance

 

[truetype]

wanted to check on the position of the above item on your to-do list

This is rude, although GAT will be too polite to say so. It's a public chatboard. If you're in a hurry for results, do the work yourself.

 

[Napoleon@Dynamite]

It depends. Do you have the option of putting some of you money in the strategy and some in the S&P? (of course you do) Why are you allocating to trend following- for absolute return, or portfolio diversification?

GAT

Thanks @Elder (please don't apologize for offering your view!) and GAT. I am looking to maximize returns, as this is my retirement account, to be tapped in maybe 25 years. I do have some money in index funds, but not as much as I'd like because most of my account capital is required to have enough instruments (16) in my futures portfolio to get sufficient diversity to produce a decent backtested sharpe (.87). I guess I'm just nervous that trend following might be dead, and I'd feel regret if I made no money or lost money after ten years on my futures portfolio when it could have been in stocks all that time.

 

[traider]

Hi GAT and all other fellow traders,

say we want to estimate the 1 month volatility ahead, a good method will be to use the implied vol of traded options.
However if we want to do some estimate of the intraday volatility, say just the volatility of today, are there any good techniques to do so?

 

[truetype]

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