Fully automated futures trading

fullautotrading · Feb 9, 2022

globalarbtrader said:
I agree with you but I'm surprised to hear this. Like others, I've not had this experience. If anything over the last 8 years plus of using the product it's actually got a bit more stable over time.

GAT

Sure globalarbtrader. No doubt it has improved compared to 20 years ago. But if they were students of mine, they would still not reach sufficiency

The fact that the software needs to be periodically shut down and restarted every night is just totally ridiculous, IMHO.

To me, this is a sign that they are using some old, lousy piece of code that is going to "explode" over time and over which they have no control.

Otherwise, there should be no reason for such idiotic nonsense. Never heard about "on-line" algorithms and resampling? Mah

Kernfusion · Feb 10, 2022

is it only me, or things were kind of good in the last few days?

About 12% up in a week..
Still fascinated with how this system can just start moving without any "apparent connection" to the real world events. (better when it's up though

)

globalarbtrader · Feb 10, 2022

Kernfusion said:
is it only me, or things were kind of good in the last few days? About 12% up in a week..
Still fascinated with how this system can just start moving without any "apparent connection" to the real world events. (better when it's up though )

Not as good as you, but it's been a steady recovery from the horrors of late November. My drawdown now is just 6%, and I've made money almost every day over the last two weeks. Year to date is +7.2%. Here's more of a breakdown:

Code:

Total p&l is 7.28%

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

           codes  pandl
0            AEX   -1.8
1            DOW   -0.5
2    SP500_micro   -0.3
3            VIX   -0.3
4     BRENT-LAST   -0.3
5   NASDAQ_micro   -0.3
6    GAS_US_mini   -0.2
7        RUSSELL   -0.1
8            CAD   -0.1
9            DAX   -0.1
10           BTP   -0.1
11    GOLD_micro   -0.1
....
22       EUROSTX    0.1
23        SOYOIL    0.1
24        KOSDAQ    0.1
25           CAC    0.1
26         MUMMY    0.2
27       EU-AUTO    0.2
28          KR10    0.2
29      EU-BASIC    0.3
30        COPPER    0.6
31          CORN    0.7
32  CRUDE_W_mini    0.7
33          IRON    0.8
34       SOYBEAN    1.6
35       HEATOIL    2.9
36     GASOILINE    2.9


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

    codes  pandl
0  Equity  -2.56
1     Vol  -0.35
2      FX  -0.12
3    Bond   0.16
4  Sector   0.48
5  Metals   1.34
6     Ags   2.36
7  OilGas   6.01

Rob

Kernfusion · Feb 10, 2022

globalarbtrader said:

Not as good as you, but it's been a steady recovery from the horrors of late November. My drawdown now is just 6%, and I've made money almost every day over the last two weeks. Year to date is +7.2%. Here's more of a breakdown:

Code:

Total p&l is 7.28%

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

           codes  pandl
0            AEX   -1.8
1            DOW   -0.5
2    SP500_micro   -0.3
3            VIX   -0.3
4     BRENT-LAST   -0.3
5   NASDAQ_micro   -0.3
6    GAS_US_mini   -0.2
7        RUSSELL   -0.1
8            CAD   -0.1
9            DAX   -0.1
10           BTP   -0.1
11    GOLD_micro   -0.1
....
22       EUROSTX    0.1
23        SOYOIL    0.1
24        KOSDAQ    0.1
25           CAC    0.1
26         MUMMY    0.2
27       EU-AUTO    0.2
28          KR10    0.2
29      EU-BASIC    0.3
30        COPPER    0.6
31          CORN    0.7
32  CRUDE_W_mini    0.7
33          IRON    0.8
34       SOYBEAN    1.6
35       HEATOIL    2.9
36     GASOILINE    2.9


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

    codes  pandl
0  Equity  -2.56
1     Vol  -0.35
2      FX  -0.12
3    Bond   0.16
4  Sector   0.48
5  Metals   1.34
6     Ags   2.36
7  OilGas   6.01

Rob

Strangely my biggest winners are US20y and BTP, I'm short both of them and they're going down..
I unfortunately haven't onboarded the new energy products yet, and apparently this time oil and nat. gas didn't fully substitute them.
I also made some money on Soybeans and Lean Hogs..

Elder · Feb 10, 2022

Kernfusion said:
is it only me, or things were kind of good in the last few days? About 12% up in a week..
Still fascinated with how this system can just start moving without any "apparent connection" to the real world events. (better when it's up though )

globalarbtrader said:

Not as good as you, but it's been a steady recovery from the horrors of late November. My drawdown now is just 6%, and I've made money almost every day over the last two weeks. Year to date is +7.2%. Here's more of a breakdown:

Code:

Total p&l is 7.28%

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

           codes  pandl
0            AEX   -1.8
1            DOW   -0.5
2    SP500_micro   -0.3
3            VIX   -0.3
4     BRENT-LAST   -0.3
5   NASDAQ_micro   -0.3
6    GAS_US_mini   -0.2
7        RUSSELL   -0.1
8            CAD   -0.1
9            DAX   -0.1
10           BTP   -0.1
11    GOLD_micro   -0.1
....
22       EUROSTX    0.1
23        SOYOIL    0.1
24        KOSDAQ    0.1
25           CAC    0.1
26         MUMMY    0.2
27       EU-AUTO    0.2
28          KR10    0.2
29      EU-BASIC    0.3
30        COPPER    0.6
31          CORN    0.7
32  CRUDE_W_mini    0.7
33          IRON    0.8
34       SOYBEAN    1.6
35       HEATOIL    2.9
36     GASOILINE    2.9


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

    codes  pandl
0  Equity  -2.56
1     Vol  -0.35
2      FX  -0.12
3    Bond   0.16
4  Sector   0.48
5  Metals   1.34
6     Ags   2.36
7  OilGas   6.01

Rob

Very nice. Although it all turned pear shaped around the time of these posts ...reminds me of that scene towards the end of Indiana Jones, when the raiders look with glee into the Lost Ark for the first time

HobbyTrading · Feb 10, 2022

Kernfusion said:
is it only me, or things were kind of good in the last few days? About 12% up in a week..
Still fascinated with how this system can just start moving without any "apparent connection" to the real world events. (better when it's up though )

In my case there is a nice recovery since late January. However, we have nowhere near recovered to the high water mark which I had in mid November. A lot more ground needs to be recovered before I get near that mark.
Being short on bonds (Korea, Germany US) and eurodollar, and long on agriculture and oil seems to be the place to be at the moment.

globalarbtrader · Feb 14, 2022

+2.5% today, but my long only portfolio (which is a bigger part of my risk) is probably down a similar amount, so hey ho....

Rob

Elder · Feb 14, 2022

Down 70bps. Flat on long only equities.

KevinBB · Feb 14, 2022

globalarbtrader said:
+2.5% today, but my long only portfolio (which is a bigger part of my risk) is probably down a similar amount, so hey ho....

Rob

Up 1.5% today.

Why is this significant? The account, with a smallish account size and reduced risk levels, has been auto trading a variance on Chapter 15, with no DO or Carry, since 15 July last year, but it has been in drawdown since 23 July. Broke through to highs today after drawdowns in September and November.

Nothing significantly wrong with the system to cause this drawdown, but maybe starting the system on the back of a strong trending period wasn't the best of decisions.

KH

djames · Feb 15, 2022

Well, I think you guys jinxed it! I'm being killed by energy markets today.