For comparison I looked at the calculation results in my trading system. I calculate the value volatility based on daily close price data and use a 25 day lookback period. The value volatility of one V2TX contract was about 34 USD as of Saturday (25th). This volatility jumped up to about 59 USD at the end of Monday's trading day. The volatility therefore almost doubled, so the maximum position size was cut in half in my trading system. This maximum position size is then multiplied by the normalized forecast value, to reach the desired position size.
Fully automated futures trading
- Thread starter globalarbtrader
- Start date
Slightly off topic perhaps but while this strategy makes new highs year after year, I notice managed futures ETFs such as WTMF tend to make new lows. Are there any clear reasons behind this? Presumably there should be sufficient skills and experience at WT, JPM etc to make it work.
Thanks,
Tom
Thanks,
Tom
I had a quick look at that prospectus, and there's a few obvious differences between my system and theirs. For example, their portfolio is very commodities heavy with no equities and only two bonds, has only 3 momentum rules, has some weird rules about not going short certain commodities... Frankly it looks like the usual overfitted crap produced by sell side research teams, which they don't use to trade their clients money, it just has to look as good as possible in backtest. To be fair, some of it is probably a deliberate decision to reduce their equity beta.
It's hard to tell where the performance differences come in, but individually each of those differences will, in expectation, reduce returns. And they've probably been very unlucky in the last few years; for example having no equity exposure, so missing out on the equity rally.
GAT
Thanks, this makes a lot of sense. The $1M question is: are there any products similar to your system? Your old shop has AHLIX / AHLPX which looks diversified but of course exact rules are not specified, and a hefty fee!
Tom
TOP ACTIVE EXPOSURES BY ASSET CLASS
Commodities % of VaR
Gold Long 3.1
Natural Gas Short 2.4
Aluminum Short 2.2
Copper Short 2.2
Corn Short 2.2
Currencies % of VaR
AUD/USD Short 6.0
EUR/USD Short 5.7
BRL/USD Short 3.1
JPY/USD Short 2.4
NZD/USD Short 2.4
Equities % of VaR
S&P 500 Index Long 3.6
Euro-STOXX Index Long 2.9
Australian SPI 200 Index Long 2.6
Korean Kospi Index Long 2.4
DAX Index Long 2.2
Fixed Income % of VaR
U.S. Treasuries Long 2.6
Japanese Bonds Long 1.7
Australian Bonds Long 1.4
German 10-Year Bond Long 1.2
Euribor Long 1.0
Tom
TOP ACTIVE EXPOSURES BY ASSET CLASS
Commodities % of VaR
Gold Long 3.1
Natural Gas Short 2.4
Aluminum Short 2.2
Copper Short 2.2
Corn Short 2.2
Currencies % of VaR
AUD/USD Short 6.0
EUR/USD Short 5.7
BRL/USD Short 3.1
JPY/USD Short 2.4
NZD/USD Short 2.4
Equities % of VaR
S&P 500 Index Long 3.6
Euro-STOXX Index Long 2.9
Australian SPI 200 Index Long 2.6
Korean Kospi Index Long 2.4
DAX Index Long 2.2
Fixed Income % of VaR
U.S. Treasuries Long 2.6
Japanese Bonds Long 1.7
Australian Bonds Long 1.4
German 10-Year Bond Long 1.2
Euribor Long 1.0
Most of their products are similar to what I do, to varying degrees. Alpha is closest. Evolution is momentum and carry, but on OTC markets I don't trade. Diversified is a blend of alpha and evo, so again quite close to what I do. Short term trading, target risk and tail protect are obviously quite different strategies, whilst Dimension is a multi-strat product which is mostly non TF.
I benchmark myself against AHL Diversity (which is a vehicle for Alpha) GBP share class
https://www.morningstar.co.uk/uk/funds/snapshot/snapshot.aspx?id=F00000H6PZ
.... because it is what I would be able to invest in if I wasn't doing my own thing (UCITS III), and it's GBP so same as my account.
GAT
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MTUM only uses stocks, not bonds, forex, commodities, and other asset classes.
Thanks, this is very helpful. I think this is the equivalent on the USD side:
https://www.man.com/products/man-ahl-diversified-guernsey-usd-tranche-a
Exposure to managed futures is a great portfolio diversifier but tough to make money after fees unless you roll your own.
Tom
Fees
Management Fee (up to) 3.00%
Performance Fee 16.67%
Introducing Broker Fee 1.00%
Redemption fees (between)
0 and 24 months 2.00% of the net asset value per unit
25 and 48 months 1.50% of the net asset value per unit
49 and 72 months 0.50% of the net asset value per unit
After 72 months 0%
I am mulling over the following decision. I want to increase the capital allocated to my system and had planned to do that this year around now but with no fixed date in mind. By allocating more capital to the system right now, conditioned on my knowledge of the existing positions, I am in effect increasing my 'risk on' exposure. This may be construed as a discretionary directional decision (a). However, by not increasing my capital, I am making the opposite discretionary decision i.e. not to increase my risk on exposure (b). Which is correct: (a) or (b)? Should I average in?