Fully automated futures trading

[Phoenix_colossal]

After dropping ~10% on Friday, I was up ~0.2% today, so basically flat.

I am curious to hear how others fared.

Monday was OK for me, basically flat (+0.1%), but Tuesday is worse, so far 1.5% down. A couple orders going out to scale back positions. Oil is unrelenting. I start to wonder if something bigger is going on, than just the new variant/accelerated taper talk.

 

[Phoenix_colossal]

Currently at -1.9% for today, which is nothing unusual.

For me it's cotton (after being a good boy for such a long time) and gasoline that are hurting me the most.
Interestingly, of the better performers at the moment are two shorts: cocoa and EUR/USD.

cotton has been very kind to me this year. last few days not so much. I am still long cocoa, not good today...

 

[test_user]

This thread now reminds me of something else:

"Hi my names Steve"
[Everyone] "Hi Steve"
"Well I've been sober, I mean succesfully targeting risk, for 5 years straight now, but ...."
[Moderator] "Go on Steve. We're all in the same boat here."
"OK <chokes> Well: I lost 10% on Friday <breaks down into tears>"
[Moderator] "It's okay Steve <pats back> How many standard deviations was that?"
"About six <completely breaks down and starts sobbing> .... I just don't believe in the Gaussian distribution anymore <wails, cries and puts head in hands>"
[Moderator] "Thanks for sharing Steve. Who wants to go next?"

GAT

Yes, kind of anonymous forum therapy for traders.

Hey! I never believed in the Gaussian return distribution. This volatility targeting is taken with a grain of salt. Most days it's a fine approximation but I expect abnormalities in the markets to happen occasionally.

 

[Kernfusion]

After dropping ~10% on Friday, I was up ~0.2% today, so basically flat.

I am curious to hear how others fared.

Recovered a bit on Saturday evening but now it's even more down than Friday

 

[blink18]

Rob, have you ever encountered any overnight symbol name changes since doing automated trading with so many instruments? It becomes even more complicated if you get quote data from one provider and trade somewhere else (one symbol name for quotes, actual trading with IB's symbol name). Any tips on handling such scenarios?

 

[globalarbtrader]

Rob, have you ever encountered any overnight symbol name changes since doing automated trading with so many instruments? It becomes even more complicated if you get quote data from one provider and trade somewhere else (one symbol name for quotes, actual trading with IB's symbol name). Any tips on handling such scenarios?

Yes! It happened recently
https://www.elitetrader.com/et/threads/micro-bitcoin-futures.359690/

Tips: make sure you check everything.

In this instance, basically a lot of my automated checks would fail. In particular, my position reconciliation with IB would say "Looks like no position matching in IB for this [old] ticker" and "Hey I don't recognise this ticker that IB sent me!".

When I tried to get prices it wouldnt' happen, so I'd see in my daily status report that a particular ticker hadn't updated. If not a holiday, suggests something is broken.

GAT

 

[Elder]

This thread now reminds me of something else:

"Hi my names Steve"
[Everyone] "Hi Steve"
"Well I've been sober, I mean succesfully targeting risk, for 5 years straight now, but ...."
[Moderator] "Go on Steve. We're all in the same boat here."
"OK <chokes> Well: I lost 10% on Friday <breaks down into tears>"
[Moderator] "It's okay Steve <pats back> How many standard deviations was that?"
"About six <completely breaks down and starts sobbing> .... I just don't believe in the Gaussian distribution anymore <wails, cries and puts head in hands>"
[Moderator] "Thanks for sharing Steve. Who wants to go next?"

GAT

For some reason I have not been getting automatic updates on new posts, so I completely missed the recent TA get-togethers. FWIW belatedly my numbers in recent days are:
2021-11-26 -5.5%
2021-11-29 0.4%
2021-11-30 -1.2%

Further losses yesterday, and I am currently in my worst drawdown of -16.3% since I went live in mid-2019. Its good to be able to share. Now back to deep breathing exercises....

 

[globalarbtrader]

Would it be possible to view the configuration of your system used in the blog post?
Is the Config yaml commited anywhere?

Sorry I will add a link

Actually my blog post for next month will be a complete review of what I'm now trading, more informative than a config.

GAT

Here you go: https://qoppac.blogspot.com/2021/12/my-trading-system.html

There are links to the .yaml and code in the post.

GAT

 

[HobbyTrading]

Here you go: https://qoppac.blogspot.com/2021/12/my-trading-system.html

There are links to the .yaml and code in the post.

GAT

Thank you for this extensive overview of how your futures trading system has evolved over the years. It is quite an evolution, and in my eyes the current version looks very different from the basic approach which was presented in your book "Systematic Trading".

 

[newbunch]

Here you go: https://qoppac.blogspot.com/2021/12/my-trading-system.html

There are links to the .yaml and code in the post.

GAT

GAT,

My current system is currently in Excel and Visual Basic. One thing I don't like about it is how much work it takes to add a new instrument or model/strategy/system. In your system in Python, how much time/effort does it take to add a new instrument? How much time does it take to add a new system to your already existing suite of systems?

Thanks.