Fully automated futures trading

Napoleon@Dynamite said:
Hi Elder,
Did you use Gat's pysystemtrade code for your trading? I used it last year and just broke even for the year, so I'm surprised others have had significantly different performance from mine.
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You need to trade VIX futures I believe it accounted for quite a good part of pnl
 
FWIW, just by eye my biggest winners seem to be BTP 8%, Palladium 6%, Eurodollar 4% (mentally adding up per contract figures in my IB report so not super accurate).

GAT
 
globalarbtrader said:
FWIW, just by eye my biggest winners seem to be BTP 8%, Palladium 6%, Eurodollar 4% (mentally adding up per contract figures in my IB report so not super accurate).

GAT
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For me BTP was also the standout (~5% for 1/2 year). Lots of little contributions elsewhere (I couldn't trade palladium as instrument was too large for my account size). Worst performers were the kiwi and coffee -1%, -2% respectively)
 
Elder said:
For me BTP was also the standout (~5% for 1/2 year). Lots of little contributions elsewhere (I couldn't trade palladium as instrument was too large for my account size). Worst performers were the kiwi and coffee -1%, -2% respectively)
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My volatility target is 30%, and I am using 16 instruments, and all of Gat's variations of the breakout and ema rules. I am not using the carry rule currently, nor am I using any volatility instruments. Instruments are sp500, nasdaq, us5, us10, mxp, nzd, eurodollar, corn, wheat, soybeans, live cattle, lean hogs, nat gas, crude oil, copper, plat.
 
Napoleon@Dynamite said:
My volatility target is 30%, and I am using 16 instruments, and all of Gat's variations of the breakout and ema rules. I am not using the carry rule currently, nor am I using any volatility instruments. Instruments are sp500, nasdaq, us5, us10, mxp, nzd, eurodollar, corn, wheat, soybeans, live cattle, lean hogs, nat gas, crude oil, copper, plat.
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Looks quite diversified to me but there is a big lean towards agris, although I don't know the weights. Also out of GAT's biggest performers last year (although I haven't done the analysis), I am guessing carry was big piece of GE, and you were not TFollowing the other two. That could explain some of the variation. But its one year and in future years you might well do better than either me or GAT, particularly if say rates carry reverses and rates become choppier. Also worth adding that Mulvaney Capital, a well known TF CTA, was down 22% in 2019, so you did rather better than them! My two cents worth.
 
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Elder said:
Looks quite diversified to me but there is a big lean towards agris, although I don't know the weights. Also out of GAT's biggest performers last year (although I haven't done the analysis), I am guessing carry was big piece of GE, and you were not TFollowing the other two. That could explain some of the variation. But its one year and in future years you might well do better than either me or GAT, particularly if say rates carry reverses and rates become choppier. Also worth adding that Mulvaney Capital, a well known TF CTA, was down 22% in 2019, so you did rather better than them! My two cents worth.
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Thanks for your input, Elder. I think of myself having about 2 instruments in each category, and I consider hogs and cattle as separate from corn, wheat, soybeans, but maybe I shouldn't. In any case, I rely on GAT's algorithms to assign weights based on correlation, and other attributes. So, more highly correlated instruments would get lower weights, I think.
 
Finally hit the HWM yesterday after flirting with it for a few days. Total profits to date also hit a round number today, 140%. For the tax year that puts me at about 31%; and as I've said before my equity hedge lost money so futures made even more. I won't dignify this thread with a meaningless 2020 figure...

So far this year I've been working on presentations and teaching stuff, plus writing a blog post. Now that's out of the way hoping to start getting my new trading server up and running, although I have just noticed that my old one has some broken legacy code I need to fix (or my likely bypass) first.

GAT
 
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