Fully automated futures trading

[tradrjoe]

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.

No investment (except t-bills) is guaranteed to make money with no risk. Even stocks could be flat/down over a 10 year period, as after the Great Depression, stocks entered a drawdown that lasted 2 decades.

 

[globalarbtrader]

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?

helderpalaro.com

GAT

 

[southall]

Even stocks could be flat/down over a 10 year period, as after the Great Depression, stocks entered a drawdown that lasted 2 decades.

Yeah but that is passive investment. If you are actively trading using systems it is reasonable to expect decent returns for 10 years of effort.

 

[H2O]

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.

What is rude? Asking for someone's (expert) views on a subject?

I'm not looking for a shortcut, but I am aware that GAT's views / suggestions on any adaptions required are likely to highlight areas that may be missed otherwise.

 

[globalarbtrader]

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

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.

What is rude? Asking for someone's (expert) views on a subject?

I'm not looking for a shortcut, but I am aware that GAT's views / suggestions on any adaptions required are likely to highlight areas that may be missed otherwise.

Relax everyone!

And to answer the question, quite a long way down my to-do list.

GAT

 

[globalarbtrader]

 

[truetype]

Apr / Ytd on the tape... Alpha -0.8, -3.7; Dim +1.2, -3.1; Div -1.4, -7.3; Evo +0.1, -4.1

 

[megab]

Hi there,

Great video, and thanks for putting it out there. Learning everyday.

Question. For step:4 the correct betting size at 1:02:03. How is the outcome supposed to be read? In your example, with 5 positions, 3 months holding period, are you saying the trader should allocate 5% of the whole portfolio equity, to that trading rule, i.e. meaning 5% into thoose 5 positions total?

 

[globalarbtrader]

Hi there,

Great video, and thanks for putting it out there. Learning everyday.

Question. For step:4 the correct betting size at 1:02:03. How is the outcome supposed to be read? In your example, with 5 positions, 3 months holding period, are you saying the trader should allocate 5% of the whole portfolio, to that trading rule, i.e. meaning 5% into thoose 5 positions total?

No % per position, 25% total. Same question was asked at the end of the video.

GAT

 

[globalarbtrader]

I'm keynoting at this thing in London in a few weeks, if anyone is around

https://www.fxcm.com/uk/algorithmic-trading/algo-trading-summit-2018/

Same talk I gave in New york last year, but there's also a Q&A session on strategy development. And the other speakers of course

GAT