Fully automated futures trading

SteveH said:
GAT,

I have your new book on order. I was wondering if you would be interested, as a demonstration of the ideas presented there, in starting a futures account based on its contents of leveraging up over time? Maybe it could start at first with the micro e-minis and then move to e-minis, etc.?

It's certainly small potatoes for you but I think it would be highly educational as well as something to center Q&A on from the book.

Thanks for your consideration!
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Interesting idea let me think about it.

GAT
 
Quick update. My new book is out officially, although annoyingly Amazon US have already sold out (some SNAFU with the order, or I've sold a hell of a lot more copies than the publishers expected to). @kevinkdog has already given me a nice review.

Trading wise I'm now in a ~10% drawdown from the HWM about 2 months ago. However it's still been a pretty decent year and if I hang on to the profit so far it will still be the 2nd best calendar year I've had since I started trading about 5.5 years ago.

Project wise, my technology stack is now in better shape. In a pivot from my previous post I've decided to keep pysystemtrade as a replacement for my existing futures system, and also as a platform for new trading systems (evolution not revolution, agile not waterfall...).

I'm currently going through the long list of issues for pysystemtrade, which has been neglected for a while. After that I'll be continuing to write the 'production' code which will allow it to eventually take over from my existing trading system, starting with spot FX, then other prices, then signal generation, and finally execution. I may also do some refactoring of the simulation code; the p&l and optimisation code are particularly horrific.

For occasional light relief I am going to try and stick to a schedule of writing a blog post every month. I've gone through my old emails and posts on here and I have a long list of topics to write about. No doubt there will be some PR duties relating to my new book as well.

Once that's completed I'll be in a position to start thinking about the new research ideas which I vaguely alluded to before; researching them, adding them to pysystemtrade, and blogging about them. Might start writing the next book then as well. As well as the two ideas mentioned earlier I have a third idea, for a more non technical book about humans and computers in the financial markets.

GAT
 
Tell me about it, GAT. I back-ordered through Amazon on Sept 16 and got the message on ship date that the expected arrival is now Dec 4 thru mid-Jan!
 
I have been spending some time to find out the difference between these configuration options:

instrument_weight_ewma_span
instrument_weight_estimate['ewma_span']

Any ideas?
 
globalarbtrader said:
The latter shouldn't do anything... where did you see it?

Thanks
GAT
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Oh my god I have a complete mess-up in my configuration. Damn hell. I have probably collected as many as possible configuration keywords to a single file in a careless way in the early days. Excuse me. The error is mine.
 
My unit of risk per bet is 1% of my capital. Volatility determines how I should dimension the trade (2xATR). That normally results in a 20% equity being traded. Is that basically the 'annualized volatility target' mentioned in Systematic Trading?

Since I am trading trend following rules (skew>0) is it safe to assume 'pessimistic' Sharpe Ratio should be 0.30 and expected return as 0.30x20% = 6%?

Thanks
 
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