Fully automated futures trading

[HobbyTrading]

How much is your volatility risk target?

40%
I must note that I don't use this futures trading system as a "stand-alone system". To me it provides diversification to my other investments (stocks, ETFs, bonds). I want to minimize the allocated capital but at the same time provide the desired amount of diversification. This led me to increase the volatility target to this level. If I were to set it higher it would more often "bump its head" against the margin requirements and require tweaking from my side. I try to get to the sweet spot where as little interference as possible is obtained.

 

[Elder]

40%
I must note that I don't use this futures trading system as a "stand-alone system". To me it provides diversification to my other investments (stocks, ETFs, bonds). I want to minimize the allocated capital but at the same time provide the desired amount of diversification. This led me to increase the volatility target to this level. If I were to set it higher it would more often "bump its head" against the margin requirements and require tweaking from my side. I try to get to the sweet spot where as little interference as possible is obtained.

Punchy! I am at 25% and I thought that was at the edge . Would you be willing to share the estimated SR of the system as a comparison, I assume its high.

 

[HobbyTrading]

Would you be willing to share the estimated SR of the system as a comparison, I assume its high.

I don't know. I don't run back tests and don't do these kind of analysis.

I used to run it for a couple of years at 25% and saw how it behaves and performs. I did that until about 1.5 years ago. At that time I decided to incorporate it in my overall investments and not view it as a stand-alone activity anymore. I reduced the allocated capital and at the same time increased the annual volatility setting. The absolute volatility (counted in USD, not %) remained more or less the same as before. The freed up capital was then added to my other investments. I'm satisfied with the results since then: the volatility of my overall investments (incl. futures) is lower than the volatility of my non-futures investments. Which is exactly what I wanted.

 

[blink18]

Does anyone know, is it still possible to run IB Gateway for a whole week, without daily log-out interruptions? I run daily IB Gateway+IBCAlpha on my paper/test account which doesn't use 2FA. What happens if you go LIVE, do you have to log-in with 2FA every single day? Is the only solution to avoid this, with 2FA opt-out?

 

[HobbyTrading]

Does anyone know, is it still possible to run IB Gateway for a whole week, without daily log-out interruptions? I run daily IB Gateway+IBCAlpha on my paper/test account which doesn't use 2FA. What happens if you go LIVE, do you have to log-in with 2FA every single day? Is the only solution to avoid this, with 2FA opt-out?

I upgraded a few weeks ago to Gateway version 9.81. This version offers a "auto restart". It is by default disabled, but you can enable it in the settings menu. It will automatically restart Gateway when the daily logoff occurs (you can specify at what time this happens). I am running Gateway unsupervised the entire week without using IBCalpha: starting it on Sunday evening and ending it the following Saturday morning.

 

[Kernfusion]

I'm on 981.3e and looks like they made it mandatory in the gateway too (used to be only in TWS I think), the bloody things are so bloated that they probably can't run continuously anymore..

so looks like you either have to exit or logoff but can't just run it forever.. (although, I'm not sure exactly what "Auto logoff" means..) I personally use IB controller and restart it twice a day, doing all the backups, re-indexing, reports, etc. during the downtime..

 

[blink18]

I'm on 981.3e and looks like they made it mandatory in the gateway too (used to be only in TWS I think), the bloody things are so bloated that they probably can't run continuously anymore..
View attachment 274447
so looks like you either have to exit or logoff but can't just run it forever.. (although, I'm not sure exactly what "Auto logoff" means..) I personally use IB controller and restart it twice a day, doing all the backups, re-indexing, reports, etc. during the downtime..

I have just tested it:
Auto logoff --> it logs you out of the account and closes IB Gateway
Auto restart --> it restarts IB Gateway and automatically logs you in without entering anything, every Sunday you have to authenticate with username/pasword/2FA. https://guides.interactivebrokers.c...sguidebook/configuretws/auto_restart_info.htm

 

[HobbyTrading]

I forgot to mention: I don't know what happens with subscriptions (e.g. streaming market data) during/after an auto restart. I don't know whether those subscriptions continue running, or that you would need to re-subscribe to those subscriptions.

 

[HobbyTrading]

they made it mandatory in the gateway too (used to be only in TWS I think)

Correct. This is why I delayed upgrading for as long as possible. I only switched over when IB announced that they will discontinue to usage of the older versions (which don't have this) in January 2022.

 

[globalarbtrader]

I upgraded a few weeks ago to Gateway version 9.81. This version offers a "auto restart". It is by default disabled, but you can enable it in the settings menu. It will automatically restart Gateway when the daily logoff occurs (you can specify at what time this happens). I am running Gateway unsupervised the entire week without using IBCalpha: starting it on Sunday evening and ending it the following Saturday morning.

Same story and solution for me. IBCalpha couldn't restart my gateway, so I upgraded both the gateway and IBCalpha; IBCalpha now doesn't work at all. But I'm using the new 'built in' once a week option. Not ideal as I inevitably forget to do the restart. On the upside it's one less dependency on a hobby project which is subject to the whims of the IB developers.

I've been reading the threads on here but I can't seem to find a workaround whereby IBCalpha will work as it used to, or do the Sunday restart.

GAT