Fully automated futures trading

younggotti · Feb 2, 2022

Kernfusion said:
if I use front for carry ("-1") - yes. But for some contracts it's not possible because of liquidity-patterns in that case I can trade front contract and use next for carry (though it's less preferable from the quality of carry signal perspective)..
Not sure about the rest.. definitely more work (And let me vent a little here - new contract onboarding is such a pain! it took me a week to onboard just 6 instruments., it hurts to think that I need to do it for like 90 more.. I have automated rolls, so I have to make sure that I got everything right when I'm adding them, so need to check and re-check everything..)

Yes, definitely more work

HobbyTrading · Feb 2, 2022

@Kernfusion to me it sounds that you have to do quite some analysis work in order to get just one forecast contributor (i.e. carry). I'm too lazy to do all this work and have therefore removed carry altogether, for all instruments.

Kernfusion · Feb 2, 2022

HobbyTrading said:
@Kernfusion to me it sounds that you have to do quite some analysis work in order to get just one forecast contributor (i.e. carry). I'm too lazy to do all this work and have therefore removed carry altogether, for all instruments.

yeah, but hopefully that extra work pays

carry should be quite diversifying..

globalarbtrader · Feb 3, 2022

HobbyTrading said:
@Kernfusion to me it sounds that you have to do quite some analysis work in order to get just one forecast contributor (i.e. carry). I'm too lazy to do all this work and have therefore removed carry altogether, for all instruments.

Kernfusion said:
yeah, but hopefully that extra work pays carry should be quite diversifying..

No more carry wars people... you have been warned...

Rob

Kernfusion · Feb 3, 2022

The system made some profits this morning, Rob published a new blog-post (https://qoppac.blogspot.com/2022/02/exogenous-risk-overlay-take-two.html) - Life is good!

globalarbtrader · Feb 3, 2022

Kernfusion said:
The system made some profits this morning, Rob published a new blog-post (https://qoppac.blogspot.com/2022/02/exogenous-risk-overlay-take-two.html) - Life is good!

Was a good January - though not for people with big equity allocations.

Code:

Total p&l is 4.000%

====================================
P&L by instrument for all strategies
====================================

           codes  pandl
0            AEX   -1.8
1            VIX   -0.7
2            DOW   -0.5
3    SP500_micro   -0.3
4    GAS_US_mini   -0.3
5   NASDAQ_micro   -0.3
6     GOLD_micro   -0.2
7            V2X   -0.1
8            JPY   -0.1
9            CAD   -0.1
10      EU-DIV30   -0.1
11           DAX   -0.1
12      EU-BASIC   -0.1
.....
17       BITCOIN    0.1
18          KR10    0.1
19        KOSDAQ    0.1
20         MUMMY    0.2
21       EU-AUTO    0.2
22        SOYOIL    0.2
23           CAC    0.2
24          IRON    0.4
25          CORN    0.4
26  CRUDE_W_mini    0.6
27        COPPER    0.6
28       SOYBEAN    1.0
29     GASOILINE    2.2
30       HEATOIL    2.3



==================
P&L by asset class
==================

    codes  pandl
0  Equity  -2.54
1     Vol  -0.80
2      FX  -0.20
3    Bond   0.08
4  Sector   0.12
5  Metals   0.84
6     Ags   1.58
7  OilGas   4.76

globalarbtrader · Feb 3, 2022

Risk

Code:

Total risk across all strategies, annualised percentage 13.5

========================================
Risk per strategy, annualised percentage
========================================

                  risk
dynamic_TF_carry  13.5


====================================================================================================================================================================================================================================================================
                                                                                                                          Instrument risk                                                                                                                           
====================================================================================================================================================================================================================================================================

              daily_price_stdev  annual_price_stdev     price  daily_perc_stdev  annual_perc_stdev  point_size_base  contract_exposure  daily_risk_per_contract  annual_risk_per_contract  position    capital  exposure_held_perc_capital  annual_risk_perc_capital
VIX                        0.86               13.73     24.25              3.54              56.61           737.22           17877.48                   632.47                  10119.58      -1.0  363996.22                       -4.91                     -2.78
V2X                        0.91               14.55     24.45              3.72              59.52            83.27            2035.94                    75.74                   1211.85      -4.0  363996.22                       -2.24                     -1.33
JPY                        0.00                0.00      0.01              0.38               6.00       9215196.97           80577.68                   302.23                   4835.72      -1.0  363996.22                      -22.14                     -1.33
KR10                       0.38                6.03    120.61              0.31               5.00           613.45           73988.44                   231.29                   3700.59      -1.0  363996.22                      -20.33                     -1.02
RUSSELL                   32.93              526.95   2022.70              1.63              26.05             3.69            7455.83                   121.40                   1942.37      -1.0  363996.22                       -2.05                     -0.53
BITCOIN                 1462.06            23392.91  37425.00              3.91              62.51             0.07            2759.03                   107.79                   1724.56      -1.0  363996.22                       -0.76                     -0.47
GOLD_micro                15.55              248.85   1808.70              0.86              13.76             7.37           13334.02                   114.66                   1834.54       1.0  363996.22                        3.66                      0.50
EU-DIV30                  18.35              293.56   1970.00              0.93              14.90             8.33           16404.12                   152.78                   2444.48       1.0  363996.22                        4.51                      0.67
CORN                       4.89               78.27    570.50              0.86              13.72            36.86           21029.08                   180.32                   2885.08       2.0  363996.22                       11.55                      1.59
SOYOIL                     0.87               13.95     65.98              1.32              21.15           442.33           29184.90                   385.77                   6172.30       1.0  363996.22                        8.02                      1.70
SOYBEAN                   10.79              172.56   1390.25              0.78              12.41            36.86           51245.71                   397.54                   6360.72       1.0  363996.22                       14.08                      1.75
CRUDE_W_mini               1.18               18.82     86.25              1.36              21.82           368.61           31792.43                   433.50                   6935.97       1.0  363996.22                        8.73                      1.91
EU-BASIC                  12.04              192.60    626.40              1.92              30.75            41.63           26080.05                   501.17                   8018.66       1.0  363996.22                        7.16                      2.20
IRON                       3.66               58.51    141.20              2.59              41.44            73.72           10409.49                   269.60                   4313.58       2.0  363996.22                        5.72                      2.37
HEATOIL                    0.03                0.50      2.61              1.20              19.15         30963.06           80785.72                   966.73                  15467.60       1.0  363996.22                       22.19                      4.25
GASOILINE                  0.03                0.52      2.67              1.22              19.47         30963.06           82823.09                  1007.93                  16126.95       1.0  363996.22                       22.75                      4.43

Sum of abs(notional exposure % capital) 160.8
Sum of abs(annualised risk % capital) 28.8
Net sum of annualised risk % capital 13.9

=====================================================================================================================================================
                                                                    Correlations                                                                     
=====================================================================================================================================================

              BITCOIN  CORN  CRUDE_W_mini  EU-BASIC  EU-DIV30  GASOILINE  GOLD_micro  HEATOIL  IRON   JPY  KR10  RUSSELL  SOYBEAN  SOYOIL   V2X   VIX
BITCOIN          1.00  0.13          0.15      0.21      0.12       0.14        0.10     0.14 -0.01  0.06  0.04     0.19     0.08    0.02 -0.08 -0.05
CORN             0.13  1.00          0.14      0.15      0.14       0.11        0.05     0.13  0.12  0.04 -0.05     0.09     0.43    0.28  0.03  0.04
CRUDE_W_mini     0.15  0.14          1.00      0.29      0.15       0.43        0.10     0.47  0.15 -0.05 -0.01     0.27     0.15    0.21 -0.19 -0.18
EU-BASIC         0.21  0.15          0.29      1.00      0.25       0.26        0.14     0.27  0.22 -0.02 -0.03     0.26     0.21    0.17 -0.20 -0.18
EU-DIV30         0.12  0.14          0.15      0.25      1.00       0.13        0.07     0.13  0.09 -0.09 -0.07     0.25     0.14    0.12 -0.17 -0.16
GASOILINE        0.14  0.11          0.43      0.26      0.13       1.00        0.05     0.46  0.16  0.01  0.00     0.29     0.15    0.21 -0.14 -0.16
GOLD_micro       0.10  0.05          0.10      0.14      0.07       0.05        1.00     0.08 -0.04  0.22  0.13     0.04     0.09    0.08 -0.04 -0.03
HEATOIL          0.14  0.13          0.47      0.27      0.13       0.46        0.08     1.00  0.18 -0.06 -0.04     0.26     0.16    0.23 -0.15 -0.15
IRON            -0.01  0.12          0.15      0.22      0.09       0.16       -0.04     0.18  1.00 -0.09 -0.08     0.06     0.21    0.21  0.11  0.09
JPY              0.06  0.04         -0.05     -0.02     -0.09       0.01        0.22    -0.06 -0.09  1.00  0.12    -0.02     0.03    0.03  0.10  0.12
KR10             0.04 -0.05         -0.01     -0.03     -0.07       0.00        0.13    -0.04 -0.08  0.12  1.00     0.03    -0.05   -0.09  0.09  0.11
RUSSELL          0.19  0.09          0.27      0.26      0.25       0.29        0.04     0.26  0.06 -0.02  0.03     1.00     0.10    0.12 -0.26 -0.28
SOYBEAN          0.08  0.43          0.15      0.21      0.14       0.15        0.09     0.16  0.21  0.03 -0.05     0.10     1.00    0.36  0.02  0.04
SOYOIL           0.02  0.28          0.21      0.17      0.12       0.21        0.08     0.23  0.21  0.03 -0.09     0.12     0.36    1.00  0.02  0.04
V2X             -0.08  0.03         -0.19     -0.20     -0.17      -0.14       -0.04    -0.15  0.11  0.10  0.09    -0.26     0.02    0.02  1.00  0.49
VIX             -0.05  0.04         -0.18     -0.18     -0.16      -0.16       -0.03    -0.15  0.09  0.12  0.11    -0.28     0.04    0.04  0.49  1.00

KevinBB · Feb 3, 2022

What kind of instruments are in the Sector asset class? Are these just equities?
KH

globalarbtrader · Feb 3, 2022

KevinBB said:
What kind of instruments are in the Sector asset class? Are these just equities?
KH

Equity sectors eg EU basic

Elder · Feb 4, 2022

globalarbtrader said:

Was a good January - though not for people with big equity allocations.

Code:

Total p&l is 4.000%

====================================
P&L by instrument for all strategies
====================================

           codes  pandl
0            AEX   -1.8
1            VIX   -0.7
2            DOW   -0.5
3    SP500_micro   -0.3
4    GAS_US_mini   -0.3
5   NASDAQ_micro   -0.3
6     GOLD_micro   -0.2
7            V2X   -0.1
8            JPY   -0.1
9            CAD   -0.1
10      EU-DIV30   -0.1
11           DAX   -0.1
12      EU-BASIC   -0.1
.....
17       BITCOIN    0.1
18          KR10    0.1
19        KOSDAQ    0.1
20         MUMMY    0.2
21       EU-AUTO    0.2
22        SOYOIL    0.2
23           CAC    0.2
24          IRON    0.4
25          CORN    0.4
26  CRUDE_W_mini    0.6
27        COPPER    0.6
28       SOYBEAN    1.0
29     GASOILINE    2.2
30       HEATOIL    2.3



==================
P&L by asset class
==================

    codes  pandl
0  Equity  -2.54
1     Vol  -0.80
2      FX  -0.20
3    Bond   0.08
4  Sector   0.12
5  Metals   0.84
6     Ags   1.58
7  OilGas   4.76

Nice. By way of comparision non-DO portfolio, 38 instruments:
Jan 22 + 3.3%
Asset Class Breakdown
BM* 0.06
BONDS -0.78
CRYPTO 0.05
ENERGY 2.66
EQUITIES -1.64
FX 0.13
PM* -0.58
SOFTS 3.47
STIR 0.10
VOL -0.19

*BM = Base Metals; PM = Precious Metals