Fully automated futures trading

[AvantGarde]

Hi GAT,
I was wondering if you could explain the benefit of using a home database like e.g., SQLlite vs just saving everthing in CSVs? To me, learning SQL and creating a database seems like more work than its worth vs just accessing data in CSVs, but it does seem common practice, so there must be more to it than I understand. I know you use your own home database. What is the advantage of this?
Thanks and congrats on a solid year of performance!

 

[AvantGarde]

A follow up question: how frequently do you sample the market for your own trading system?

 

[globalarbtrader]

A follow up question: how frequently do you sample the market for your own trading system?

Hourly, but this is currently unnecessary as my current system uses daily data.

GAT

 

[globalarbtrader]

Hi GAT,
I was wondering if you could explain the benefit of using a home database like e.g., SQLlite vs just saving everthing in CSVs? To me, learning SQL and creating a database seems like more work than its worth vs just accessing data in CSVs, but it does seem common practice, so there must be more to it than I understand. I know you use your own home database. What is the advantage of this?
Thanks and congrats on a solid year of performance!

This is the kind of question stack exchange is better for than me

https://stackoverflow.com/questions/2356851/database-vs-flat-files


GAT

 

[globalarbtrader]

I wrote a very large number of words at my blog discussing performance over the last 12 months:

https://qoppac.blogspot.com/2020/04/trading-and-investing-performance-year.html

GAT

 

[test_user]

I wrote a very large number of words at my blog discussing performance over the last 12 months:

https://qoppac.blogspot.com/2020/04/trading-and-investing-performance-year.html

GAT

I think mark to market for futures value is missing.

 

[globalarbtrader]

I think mark to market for futures value is missing.

Fixed, thanks

GAT

 

[test_user]

I wonder what was your max drawdown over the whole 6 years period. Specifically for your futures trading, excluding the hedges. Do you happen to have monthly performance data? Or perhaps even daily?

 

[globalarbtrader]

I wonder what was your max drawdown over the whole 6 years period. Specifically for your futures trading, excluding the hedges. Do you happen to have monthly performance data? Or perhaps even daily?

About 15%

GAT

 

[test_user]

About 15%

GAT

I don't want to come off as nit-picky, but looking at yearly data there are two consecutive periods 16/17 and 17/18 that had -14% and -3.7% respectively. That's 17.2% based on yearly data. I believe on monthly and daily it would be even larger? Likely somewhere in the range of 18-20%?

The reason I'm so interested in this is that I'm comparing it to my system which is a simple long term TF without diversification into other types of rules and timeframes and doesn't do volatility targeting.

Looking at the period of 2014 April to 2020 March, I'm finding:
CAGR: GAT 15.5% vs my 13.8%
Annualized volatility: GAT 25% (targeted) vs my 20.9% (30 year backtest 23.5%)
Average annual return: GAT 18.1% vs my 18.6%
Max DD: GAT 17.2% (?) vs my 28.1%

Your MAR ratio is superior (0.90 vs 0.49) - irrelevant over 6 year period?
Sharpe ratio: 0.72 vs 0.89
Similar CAGR/Volatility ratio: 0.62 vs 0.66

Makes me wonder if I should implement a more sophisticated way like yours or if there is no real difference over long term.
For instance, in my 40 year backtest I'm getting sharpe ratio of 0.92, CAGR 18.7%, annualized volatility 22.1% and max drawdown 36%.