The important distinction is that you don't have to fit a simple rules, instead just allocate trading capital to each rule. As I've said before, I think this is a more robust approach which is less prone to overfitting.
GAT
Fully automated futures trading
- Thread starter globalarbtrader
- Start date
The important distinction is that you don't have to fit a simple rules, instead just allocate trading capital to each rule. As I've said before, I think this is a more robust approach which is less prone to overfitting.
GAT
Down another 0.5% today. The most satisfying thing is watching my account jump up the fundseeder leaderboard as all the high beta / short gamma guys get smashed.
GAT
GAT
That's news to me! I had to google "Donchian channel". It looks like my breakout rule so I guess that's what you're referring to. To be clear my breakout rule is just one of 4 different ways I implement momentum. Most of these are based on moving averages.
GAT
Can you please transfer some money to my trading account such that I can hold a similarly large position? 500k USD would be fine, thank you very much.
Sure give me your account number, password, and mothers maiden name. I'll get right on to it.
GAT
I was indeed referring to the breakout rule. Where did I learn about it being known as Donchian channel? I believe it was on your blog, where you describe it and then a reply was posted by somebody else who mentioned this name.
Current positions
GAT
Code:
code contractid position
1 AUD 202003 -2
17 CORN 202012 -5
3 EUR 202003 -3
2 EUROSTX 202003 -6
12 GAS_US 202005 -2
9 JPY 202003 -3
8 LEANHOG 202006 -1
10 LIVECOW 202010 -2
13 NZD 202003 -1
18 SOYBEAN 202011 -5
15 V2X 202004 -7
16 VIX 202004 -1
19 WHEAT 202012 -1
5 BOBL 202003 1
4 BUND 202003 1
6 EDOLLAR 202212 1
7 EDOLLAR 202303 7
0 KR3 202003 2
11 MXP 202003 7
14 OAT 202006 1GAT
That sounds plausible. I try not to clutter up my brain with silly 'TA' names. This leads to frequent embarrasment when some MTA type person asks me whether I use 'wibbly wobbly pattern lines', and I have to confess I don't know what they are, which makes me look like a complete amateur.
GAT
Weirdly, I am also long 7 cts in MXP, and therefore truly fearless. I am also in 4.5% drawdown (6.5 pct if you exclude the discretionary structured equity short)
I'm up 3.5% for the day, but still in 3.3% drawdown overall.
I did cheat tho, I couldn't look at that MXP long anymore, so I sold that yesterday. In hindsight, it was a good call (at least for now) as it continues to go down, but I know I shouldn't be doing this.
So I'm looking at things I can do to not do that going forward, either come up with a mechanical rule and have the system exit (not ideal as well), have less size in contracts like that or just trust the system
I've only been running this for a month, so this is great learning experience for me.
I did cheat tho, I couldn't look at that MXP long anymore, so I sold that yesterday. In hindsight, it was a good call (at least for now) as it continues to go down, but I know I shouldn't be doing this.
So I'm looking at things I can do to not do that going forward, either come up with a mechanical rule and have the system exit (not ideal as well), have less size in contracts like that or just trust the system
I've only been running this for a month, so this is great learning experience for me.
yep, already lost 6k on that thing and still stubbornly long 4 contracts (I don't know why I'm doing it to myself...
)