Fully automated futures trading

truetype said:
It's your money, but I'm not a fan of strategies that haven't worked for a decade.
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What length of historical performance do you like to have to be confident that a strategy will continue to work for at least the short term future? After what period of underperformance would you discard a strategy?
 
a really good last couple of days or just a data-glitch ?

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On a nice run at the moment. +8.4% YTD, +14.8% for the tax year that I normally look at, 3.8% drawdown from the HWM set in late January.

Hope everyone else is okay. Sorry I've been so slack in posting recently; finding book 3 hard going.

GAT
 
djames said:
Book 3! Nice. Give us a clue?
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Probably easiest to paste in a quote:

How does this book different from my first book, “Systematic Trading”?

If you read the “About the Author” section you’ll have noticed that I wrote another trading book a few years ago, “Systematic Trading”. Perhaps you are browsing on-line and trying to decide which of these two books you should buy. Maybe you already own “Systematic Trading”, and want to know if you should buy this book as well.

The main differences between the two books are:

  • “Systematic Trading” explains how to design trading systems from scratch, which requires using software to simulate historical system performance. In this book I present a number of systems that I’ve already designed, although I will explain how you can modify the system for different types of trading and to cover different markets.

  • “Systematic Trading” explains the various components of a complex trading system in turn; it isn’t until the end of chapter eleven that you can see the entire picture. This makes it a tough read. But in this book I introduce a very simple system in it’s entirety which you can start using right away. I then go on to explain how and why you’d go about modifying it to make it more complicated.

  • “Systematic Trading” is a general book which doesn’t go into much detail about how to trade specific markets. This book includes methods for trading specific leveraged financial products. Also “Systematic Trading” only covers two different trading rules, whereas in this book I describe a larger variety of rules.

  • “Systematic Trading” is written for relatively advanced traders with some knowledge of theoretical financial concepts.
Because I’ve designed the trading systems in this book with the same principles in mind there are some ideas that readers of “Systematic Trading” will find familiar, although I explain them differently and there is no duplicated content in this book.I’d recommend that you read this book if:

  • You (tried to) read “Systematic Trading”, and didn’t get it.

  • You haven’t read “Systematic Trading”, and you are a less experienced trader who isn’t comfortable with financial theory, and doesn’t want to learn how to use back-testing software (at least not yet).

  • You read, and understood, “Systematic Trading”, but are struggling to build a simple system from scratch. Perhaps the example systems I included in that book either didn’t meet your needs, or were too complex to understand. This book starts with the simplest possible system, and then explains how you can extend it.

  • You’re specifically interested in implementing trading systems for leveraged financial products: FX, CFD, spread-bets, and futures.

GAT
 
Arguably the band went commercial some time ago, in view of the fact they released the original chart topping single for purchase in the first place. Admittedly, these musical analogies make little sense in the age of Spotify. As a die hard fan I will, in any case, keep buying any music available for purchase.
 
Great stuff GAT, way to go! It's encouraging to see that you're not loosing interest to this..

I started paper-trading of my trend-carry futures system, for now catching\fixing bugs.. hopefully will join the ranks soon:)
 
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