Fully automated futures trading

[globalarbtrader]

In case you're asking me: I'm not having a good year this year. And there is not much time left over to have that corrected. Probably I have to consider this year as a lost year and hope for better results in the future.

I'm down about 4% YTD but up about 2.5% on the tax year that I usually analyse.

GAT

 

[FCT]

I'm down about 4% YTD but up about 2.5% on the tax year that I usually analyse.

GAT

Is this futures-only, GAT? I think -4% YTD is actually ‘good’ - most trend followers are substantially below that.
On statistical significance: I think that if you test how ‘abnormal’ the last few years have been given the returns before that (backtest or actual track records), the null of no difference will get rejected. My hunch is that TF performance over the last few years is statistically worse than what’s expected give long-term track records like Winton’s. Having said that, GAT’s performance actually seems better, with less extreme drawdowns.

 

[globalarbtrader]

Is this futures-only, GAT? I think -4% YTD is actually ‘good’ - most trend followers are substantially below that.
On statistical significance: I think that if you test how ‘abnormal’ the last few years have been given the returns before that (backtest or actual track records), the null of no difference will get rejected. My hunch is that TF performance over the last few years is statistically worse than what’s expected give long-term track records like Winton’s. Having said that, GAT’s performance actually seems better, with less extreme drawdowns.

It's everything, so yes it's plausible i'm being flattered by my equity hedge. Don't forget I'm only about 60% TF even in my futures bucket, so other stuff could be helping there. I'll break it down as usual in April.

My hunch is that your hunch is wrong

GAT

GAT

 

[Elder]

Any rates experts out there? Don't know if anyone can see the posted image but in summary the bid/ask of stg stir were equal at 98.68 all afternoon today. Checked depth of book and could see bid and ask volume at that price but not executing. How can the bid-ask be equal?

 

[globalarbtrader]

Any rates experts out there? Don't know if anyone can see the posted image but in summary the bid/ask of stg stir were equal at 98.68 all afternoon today. Checked depth of book and could see bid and ask volume at that price but not executing. How can the bid-ask be equal?

View attachment 195327

It can happen, I've seen it occasionally before. Unusual for this length of time though, which suggests it was stale data maybe or something else weird.

GAT

 

[Elder]

Thanks GAT, the needle did move briefly and I saw a 1 cent spread on Mar 21 but its back to 0 spread again. Mar 20 hasn't budged from 0. I think I will post this as a question to IB and hopefully get their 2 cents worth and revert back if I hear anything.

 

[globalarbtrader]

Thanks GAT, the needle did move briefly and I saw a 1 cent spread on Mar 21 but its back to 0 spread again. Mar 20 hasn't budged from 0. I think I will post this as a question to IB and hopefully get their 2 cents worth and revert back if I hear anything.

I'm seeing a spread of 0.005 on another feed which suggests it might be an issue with IB

GAT

 

[Quiet1]

Short-sterling trades in half-basis points but IB is showing whole-basis points from 2019 on (Dec is showing half ticks). Not sure when it changed to half-ticks as I don't trade it but it was whole ticks in the past.

 

[HobbyTrading]

For those who use Quandl as data source:
https://business.nasdaq.com/mediace...quandl-to-advance-the-use-of-alternative-data

NEW YORK and TORONTO, Dec. 04, 2018 (GLOBE NEWSWIRE) -- Nasdaq (Nasdaq: NDAQ) announced today it has acquired Quandl, Inc., a leading provider of alternative and core financial data.

 

[djames]

Well done Quandl, was only a matter of time.