Several new HMW over last few days.
Total profits to date 146%, for the tax year +37%.
GAT
Total profits to date 146%, for the tax year +37%.
GAT
Fully automated futures trading
- Thread starter globalarbtrader
- Start date
My system finally closed all V2X and MXP positions and started to make some money, currently up 10%., Biggest winners are AUD and LE. But in the long-only portfolio it's a total devastation, and it continues.. Strangely gold isn't doing it's job of hedging\insurance at all, and pretty-much keeps going down with everything else..
I'm not holding gold, but copper instead. It is currently the most profitable single open position I have. The forex basket which I'm holding (AUD, CAD, MXP, NZD) is doing great.
I'm only holding a some gold in my long-only stock-bond portfolio, should've acted as insurance, but not this time.. This time the only protection seems to be is to short something 
Long VIX products worked very wellThis time the only protection seems to be is to short something
Crazy day today (so far). I hit another HWM at 152% of profits at 3am this morning, about £733K in cash terms, putting me at 43% for the tax year. Then gave back a little at the European open, before getting smashed this afternoon losing about 7% so far since the HWM (or 5% on the day, and back to where I was about 27 hours ago ). I'm quite light on positions so just shows you how big these moves are. I was up to 11th on the fundseeder leaderboard as of yesterdays close, but this will probably be a HWM as well.
I'm trying to do some coding on pysystemtrade, but dragging my attention away from the markets has been difficult. Although I haven't done that much in terms of non automated trading (maybe an average of a couple of trades a day), I have spent a fair bit of time thinking and worrying.
Generally I've been sufficiently nervous to take 2008 style precautions: keeping cash in my brokerage account to a minimum by sweeping out excess and buying money market style funds with the rest, and putting all my excess cash into a government backed account (which pays 0.7%: a decent rate in todays environment!). In normal times my long only portfolio generates dividends to keep me alive, but right now it won't since I've got so much cash, and a lot invested in low / zero yield bonds.
Fortunately, my policy of withdrawing all profits over a HWM and not componding up allows me to treat the account like a cash machine, and the ATM has paid out plenty this year. I've basically got enough profits withdrawn from my trading account this year to cover about 18 months living expenses, even if I don't have any other income or dividends. In a sense the trading account has delivered what I wanted it do to exactly when I wanted.
The automated system will just do it's thing, and a worst case scenario will be +20% for the tax year when it closes in a couple of weeks, which will still do very nicely indeed. Not sure how it will do versus benchmarks; I haven't seen stellar numbers from CTAs generally though some have done well. More widely a lot of hedge funds have been killed this month, and sequencing risk will hurt them: any gains they make now will be on drastically reduced capital, assuming they have been brave enough to hold their positions (and they have been allowed to). Will be interesting to see March end performance figures.
More interestingly is this is starting to feel like the beginnings of a an upturn, at least in risk assets. In my long only ETF portfolio I'll be monitoring closely to see when some rebalancing back into equities is due to happen, based on my momentum filter (which inevitably will mean missing the exact bottom, but there you go). So I expect to be reinvesting most of that big cash pile, and then switching out of the safe bond positions I'm currently massively overweight.
As well as indices I intend to buy individual UK stocks (which I'm almost completely out of now). There will be a *lot* of value out there once the dust settles, but I also want to see some updated analysts forecasts before I start buying (they will be guess work, but better than using pre-virus forecasts). I may also look at US and European stocks, if anyone can recommend a decent free online value filter (or .csv download).
I feel like I've done reasonably well in protecting capital on the way down (I'm down about 12% in total for the tax year versus ~20% in equities depending on the index), and this could be an opportunity to do well on the upside as well. I'm looking forward to rebuilding my long only portfolio with plenty of fat yielding stocks and ETFs so I will be in a position to live off the dividends once more (a short pause in dividends not withstanding). If valuations recover that would be a nice bonus
GAT
). I'm quite light on positions so just shows you how big these moves are. I was up to 11th on the fundseeder leaderboard as of yesterdays close, but this will probably be a HWM as well.I'm trying to do some coding on pysystemtrade, but dragging my attention away from the markets has been difficult. Although I haven't done that much in terms of non automated trading (maybe an average of a couple of trades a day), I have spent a fair bit of time thinking and worrying.
Generally I've been sufficiently nervous to take 2008 style precautions: keeping cash in my brokerage account to a minimum by sweeping out excess and buying money market style funds with the rest, and putting all my excess cash into a government backed account (which pays 0.7%: a decent rate in todays environment!). In normal times my long only portfolio generates dividends to keep me alive, but right now it won't since I've got so much cash, and a lot invested in low / zero yield bonds.
Fortunately, my policy of withdrawing all profits over a HWM and not componding up allows me to treat the account like a cash machine, and the ATM has paid out plenty this year. I've basically got enough profits withdrawn from my trading account this year to cover about 18 months living expenses, even if I don't have any other income or dividends. In a sense the trading account has delivered what I wanted it do to exactly when I wanted.
The automated system will just do it's thing, and a worst case scenario will be +20% for the tax year when it closes in a couple of weeks, which will still do very nicely indeed. Not sure how it will do versus benchmarks; I haven't seen stellar numbers from CTAs generally though some have done well. More widely a lot of hedge funds have been killed this month, and sequencing risk will hurt them: any gains they make now will be on drastically reduced capital, assuming they have been brave enough to hold their positions (and they have been allowed to). Will be interesting to see March end performance figures.
More interestingly is this is starting to feel like the beginnings of a an upturn, at least in risk assets. In my long only ETF portfolio I'll be monitoring closely to see when some rebalancing back into equities is due to happen, based on my momentum filter (which inevitably will mean missing the exact bottom, but there you go). So I expect to be reinvesting most of that big cash pile, and then switching out of the safe bond positions I'm currently massively overweight.
As well as indices I intend to buy individual UK stocks (which I'm almost completely out of now). There will be a *lot* of value out there once the dust settles, but I also want to see some updated analysts forecasts before I start buying (they will be guess work, but better than using pre-virus forecasts). I may also look at US and European stocks, if anyone can recommend a decent free online value filter (or .csv download).
I feel like I've done reasonably well in protecting capital on the way down (I'm down about 12% in total for the tax year versus ~20% in equities depending on the index), and this could be an opportunity to do well on the upside as well. I'm looking forward to rebuilding my long only portfolio with plenty of fat yielding stocks and ETFs so I will be in a position to live off the dividends once more (a short pause in dividends not withstanding). If valuations recover that would be a nice bonus
GAT
there's a couple here https://finance.yahoo.com/screener/ like "Undervalued Growth Stocks", "Undervalued Large Caps" but no idea how decent they are..
Some huge oil-related companies which doped like 65%..
Also resorts and airlines, which are probably a bad idea to buy, but who knows, if government starts bailing them out.. but still people might be scared of vacation-travelling for a long time..
Some huge oil-related companies which doped like 65%..
Also resorts and airlines, which are probably a bad idea to buy, but who knows, if government starts bailing them out.. but still people might be scared of vacation-travelling for a long time..
what timeframe chart would be close to the method you use? Thx
I'm using the system which @globalarbtrader described in his book "Systematic Trading". The system calculates a signal (called "forecast") based on multiple rules and on multiple time frames. In my case are the rules based on daily close prices. The fastest responding rules use about 1~2 week(s) of daily close prices, whereas the slowest rules use about 1 year of daily close prices. Plus some time frames in between.
