Fully automated futures trading

Crikey this thread is quiet :-) Sorry guys, have been finishing off my third book (the prototype web site is here: https://www.systematicmoney.org/leveraged-trading which will give you some clues) and also been doing some consultancy work (and being distracted by watching way too much s*** on youtube - I find this guy especially fascinating at the moment - he is running a sort of 'X-factor / American idol' for newbie forext traders. I find it especially ironic that he disses some idiot who's cold called him because they don't have FCA registration and offers to give them his reg number, but as far as I can tell he is not an authorised person and neithier is his firm).

But thought I'd mention that I hit a HWM today and at pixel time I've also made a fraction over £600,000 in accumulated pre-tax profits since I started trading this account, which is a nice landmark (even if, inevitably, I soon slip back below this level). In more meaningful terms, adjusting for the changes I made in the risk target, that's a gain of about 119%. For the calendar year I'm up about 15%, and for my preferred look-back since the start of the tax year about 10%.

Hope everyone else is profitable, or at least hanging in there.

GAT
 
Congrats GAT on both the performance and the book! And its good to have you back on this thread, however fleetingly :). I wonder if I could ask whether this performance relates to systematic futures trading and is ringfenced from other trading activities or does it include everything such as your stock portfolio, etc?

I only went live a short while ago, so its probably premature to comment on live performance but I am running a paper system alongside which has been going since Sep of last year (I have decided to make the effort to keep this going for testing code changes). This is up much less than your system in 2019 (single digits), perhaps because my average risk is somewhat lower than yours. As a side comment, most of the performance is still coming from bond futures, so I am still awaiting validation of sustainability across diversified markets going forward.
 
I am still running the futures system on my live account. Looking at this year (2019) my account took a big hit on January 5th (Trump announced tariffs on China). This announcement caused my account to drop by 11% in one day. Since then has the account value gone up and down, but basically has not recovered from that hit.
 
I'm up 15.4% since January 1st, but I think my volatility target (30%) is higher than Gat's, and my sharpe is lower at .8, trading 16 instruments. I also don't use Gat's carry rule, since it always has a negative impact to my backtests. Anyone else experiencing bad carry performance? Gat, what volatility do you target?
 
Napoleon@Dynamite said:
I'm up 15.4% since January 1st, but I think my volatility target (30%) is higher than Gat's, and my sharpe is lower at .8, trading 16 instruments. I also don't use Gat's carry rule, since it always has a negative impact to my backtests. Anyone else experiencing bad carry performance? Gat, what volatility do you target?
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25%

Elder said:
Congrats GAT on both the performance and the book! And its good to have you back on this thread, however fleetingly :). I wonder if I could ask whether this performance relates to systematic futures trading and is ringfenced from other trading activities or does it include everything such as your stock portfolio, etc?
More...

It's my trading account, so that's effectively futures trading plus some fully delta hedged stock exposure (but not a perfect hedge). It's a pain to check where the p&l is coming from, but based on my experience most of it (at least 2/3) is probably from the pure futures trading.

GAT
 
May was brutal (trading ES, NQ and YM fully automated) but still up a little over 30% YTD. Look forward to checking out the new book!
 
globalarbtrader said:
25%
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I seem to recall that you once mentioned that you had put a fixed cap on the volatility target. If I remember correctly you had set it at 25% of 400 k GBP. If your current account value is 600 k GBP this would mean that you are effectively are using a 16.7% volatility target?
 
HobbyTrading said:
I seem to recall that you once mentioned that you had put a fixed cap on the volatility target. If I remember correctly you had set it at 25% of 400 k GBP. If your current account value is 600 k GBP this would mean that you are effectively are using a 16.7% volatility target?
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No. My volatility target is set as follows:

25% * NOTIONAL CAPITAL
NOTIONAL CAPITAL = MIN(£400K, £400K + current drawdown)

[I translate everything into $ since most of my futures are $ based, but that's not really a big issue]

Notice that this means my account won't compound up, since I reduce my risk if I lose money, but I never increase if I make more than my original stake. It also means that all my profits over a new HWM are 'banked', since I don't subsequently put them at risk. Discussed more here https://qoppac.blogspot.com/2016/06/capital-correction-pysystemtrade.html (under 'half compounding').

So my account value is completely irrelevant. My account value is:

Starting capital + accumulated profits - net withdrawals

So in fact my account value isn't 600k because I withdraw profits from my account, usually annually (in fact, since my account started with about 550k, the value would be over 1 million if I hadn't withdrawn anything). I am to keep my account value as:

ACCOUNT VALUE TARGET = CURRENT NOTIONAL CAPITAL + BUFFER

... where the buffer is 'just in case' money, usually between 50k and 100k. If the buffer gets too high, then I withdraw money, as I said usually once a year.

In practice then my notional capital will eithier be 400K, or if I'm currently in a drawdown less than 400k. And my account value will usually be a bit more than my notional capital.

For example right now:

I'm at HWM, so my drawdown is zero
My notional capital then is 400K
My risk target is 25% * 400k = 100k
My account value is 468k (so the buffer is 68k)
FWIW, My accumulated profits are 603K
I've withdrawn about 685k from the account in pre-tax profits*. A bit more than the accumulated profits, because I started with more in the account than I needed. I've spent some of that, but most has been invested in my long only accounts to produce dividend income

Let's say I now lose money and go 20k below the HWM.

My drawdown is 20k
My notional capital is 380k
My risk target is 25% * 380k = 95k
My account value would be 448k (so the buffer is unchanged at 68k)
My accumulated profits are 583k
My total withdrawals are still 685k.

Now let's suppose I decide to withdraw 20k of my profits:

My drawdown is 20k
My notional capital is 380k
My risk target is 25% * 380k = 95k
My account value is 428k (so the buffer is lower at 48k)
My accumulated profits are 583k
My total withdrawals are now 705k

Hope that all makes sense now. The key point is that you must reduce your risk target and thus exposure when you lose money, but you don't have to raise it when you make money. You should raise it if you are compounding your account, but if you like you live partly off trading profits then it might make more sense not to compound it.

GAT

* Any novice traders reading this. Do not be tricked into thinking you too can make six figures a year trading futures! Remember that:

- I started with over half a million quid.
- I have a highly diversified trading system with low costs (something you can't have without a fair chunk of money, sadly)
- I have been very lucky. According to my back-test there is roughly a 30% chance that I could have lost
money over the last 5 years.
- Small point, but adjusting for the different risk my average annual profit is more like 23%: 92k a year
- Although I have made an average of 23% a year, that has been very lumpy. I couldn't have relied on this money to completely fund my lifestyle.
 
Hi all - a question on historical market data. After CME took their historical data off quandl, I have been searching for an alternative source (IB only keep 2 years etc). I also notice that the data that used to be on quandl has some "imperfections" (read: large gaps which throw the rolls code into a tizzy). What do people use when they want to trade a new instrument and need some historical data? Specifically, does anyone have experience with http://www.csidata.com and are they (or their ilk) worth the money.
 
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