Down a little over 2%. Less than half of "that" November day. Not just energy, but all commodities in my limited instrument universe.
KH
Fully automated futures trading
- Thread starter globalarbtrader
- Start date
Down a little over 2%. Less than half of "that" November day. Not just energy, but all commodities in my limited instrument universe.
KH
Obviously a mistake to bring this up, but I made 2.5% yesterday and a few bps this morning.
Always feels weird when the portfolio is positioned pro-bad news, and you find yourself thinking you'd wish there would be a war or something...
GAT
Always feels weird when the portfolio is positioned pro-bad news, and you find yourself thinking you'd wish there would be a war or something...
GAT
I wonder if Alexander Hamilton had his trend-following portfolio in mind when as a kid in 1769 he wrote "I wish there was a War." https://founders.archives.gov/documents/Hamilton/01-01-02-0002
Scraped of course, you taught me the value of automation
I imagine that it has been a couple of good days for pure trend following systems, they have been very good for me. I'm too fully aware, though, that with just one political decision, the good days could have been reversed, and we'd all be crying into our pretzels.
KH
Another 2.5% at pixel time. Drawdown less than 1% now. I can taste the HWM, it's so close.
Global equities down 2.5% so if my mix was 50:50 I'd be perfectly hedged. It's not :-(
Rob
Global equities down 2.5% so if my mix was 50:50 I'd be perfectly hedged. It's not :-(
Rob
Expected risk is below target, so these are big moves
Code:
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Risk report report produced on 2022-02-23 21:01:01.993912
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Total risk across all strategies, annualised percentage 15.6
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Risk per strategy, annualised percentage
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risk
dynamic_TF_carry 15.7
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Instrument risk
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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
BUND 0.67 10.74 165.94 0.40 6.47 835.07 138571.63 560.42 8966.69 -1.0 386653.72 -35.84 -2.32
V2X 1.17 18.72 26.75 4.37 69.98 83.51 2233.81 97.70 1563.15 -4.0 386653.72 -2.31 -1.62
JPY 0.00 0.00 0.01 0.33 5.36 9218255.09 80198.82 268.43 4294.95 -1.0 386653.72 -20.74 -1.11
BITCOIN 1706.90 27310.47 38415.00 4.44 71.09 0.07 2832.95 125.88 2014.04 -2.0 386653.72 -1.47 -1.04
KR10 0.35 5.55 119.63 0.29 4.64 618.63 74007.12 214.48 3431.67 -1.0 386653.72 -19.14 -0.89
MXP 0.00 0.00 0.05 0.52 8.39 368730.20 18145.21 95.16 1522.63 1.0 386653.72 4.69 0.39
INR 0.43 6.84 133.41 0.32 5.13 368.73 49192.30 157.63 2522.04 1.0 386653.72 12.72 0.65
EU-DIV30 21.81 349.00 1878.00 1.16 18.58 8.35 15682.63 182.15 2914.38 1.0 386653.72 4.06 0.75
GOLD_micro 15.98 255.74 1908.90 0.84 13.40 7.37 14077.38 117.87 1885.97 3.0 386653.72 10.92 1.46
IRON 4.89 78.30 138.85 3.52 56.39 73.75 10239.64 360.89 5774.23 1.0 386653.72 2.65 1.49
CORN 5.23 83.74 609.75 0.86 13.73 36.87 22483.32 192.98 3087.68 2.0 386653.72 11.63 1.60
SOYBEAN 11.22 179.54 1485.00 0.76 12.09 36.87 54756.44 413.77 6620.33 1.0 386653.72 14.16 1.71
LEANHOG 1.50 24.03 118.98 1.26 20.19 294.98 35095.74 442.94 7087.05 1.0 386653.72 9.08 1.83
CRUDE_W_mini 1.31 20.91 91.80 1.42 22.77 368.73 33849.43 481.81 7709.03 1.0 386653.72 8.75 1.99
EU-BASIC 11.74 187.77 641.80 1.83 29.26 41.75 26797.42 490.01 7840.19 1.0 386653.72 6.93 2.03
BRENT-LAST 1.27 20.26 92.06 1.38 22.00 737.46 67890.61 933.68 14938.92 1.0 386653.72 17.56 3.86
HEATOIL 0.03 0.53 2.74 1.21 19.44 30973.34 84984.64 1032.34 16517.44 1.0 386653.72 21.98 4.27
GASOILINE 0.04 0.58 2.84 1.28 20.43 30973.34 88075.78 1124.88 17998.06 1.0 386653.72 22.78 4.65
Sum of abs(notional exposure % capital) 227.4
Sum of abs(annualised risk % capital) 33.7
Net sum of annualised risk % capital 19.7Made some more money over lunch. Drawdown now is just 0.22%.
If you're bored of the live feed of my performance, go and watch some paint dry or something.
Rob
If you're bored of the live feed of my performance, go and watch some paint dry or something.
Rob