Fully automated futures trading

Hey folks, long time no post from me, so here's an update while that paint is drying. :D

I'm currently also about 15% up YTD. Today started great, was up about 5%, but now down to +1%, since grains and some other stuff went back down. This DO stuff Rob has sure is some magic if he's still doing great for today.

I'm currently implementing dynamic optimization, planning to have that done in a few weeks.

Let me also tell you a story about how I avoided a ~10% loss, which was I assure you, not lucky at all.
Part of the reason I was away is because I was doing a cross-Atlantic trip in a sailboat (for you sailors out there, we weren't going with the ARC, but had our own deal. Boat was Seawind 1260, from Tenerife to Guadeloupe was 17 days). I do trust my system, but not so much to leave it trading on its own unattended for 3 weeks (internet over the ocean is wonky and I just didn't want to worry about trading on the trip), so I planned to shut the system down.
So it's late November, we're waiting for a favorable weather window on Tenerife and it looks like Saturday 27th is the day for departure. I see that Thursday is Thanksgiving so I decided to close all positions by Wednesday, so I don't have to mess with low liquidity on Friday. Little did I know... :)
Looking at how the folks in this thread have done, and looking at my system, it would have been about 10% down in those few days.
I ended the 2021 with about 14% up, pretty happy with it.
 
wopr said:
Hey folks, long time no post from me, so here's an update while that paint is drying. :D

I'm currently also about 15% up YTD. Today started great, was up about 5%, but now down to +1%, since grains and some other stuff went back down. This DO stuff Rob has sure is some magic if he's still doing great for today.

I'm currently implementing dynamic optimization, planning to have that done in a few weeks.

Let me also tell you a story about how I avoided a ~10% loss, which was I assure you, not lucky at all.
Part of the reason I was away is because I was doing a cross-Atlantic trip in a sailboat (for you sailors out there, we weren't going with the ARC, but had our own deal. Boat was Seawind 1260, from Tenerife to Guadeloupe was 17 days). I do trust my system, but not so much to leave it trading on its own unattended for 3 weeks (internet over the ocean is wonky and I just didn't want to worry about trading on the trip), so I planned to shut the system down.
So it's late November, we're waiting for a favorable weather window on Tenerife and it looks like Saturday 27th is the day for departure. I see that Thursday is Thanksgiving so I decided to close all positions by Wednesday, so I don't have to mess with low liquidity on Friday. Little did I know... :)
Looking at how the folks in this thread have done, and looking at my system, it would have been about 10% down in those few days.
I ended the 2021 with about 14% up, pretty happy with it.
More...

That's a great story! By weird coincidence, my brother in law made the same journey at almost exactly the same time as you did.

Rob
 
I'm jealous of these positions, the DO i'm running has me in SMI (Swiss bluechip index), some Japenese equity indices, MXP and thankfully oil.
Down around %4 over the past ten days.

globalarbtrader said:
Code: 
              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
More...
 
I was expecting some sort of Armageddon when the system was turning on today after all the news over the weekend, but the P&L barely moved from Friday.. Made some money on crude, lost a little on some other things.. hmm..
 
Last edited:
Kernfusion said:
I was expecting some sort of Armageddon when the system was turning on today after all the news over the weekend, but the P&L barely moved from Friday.. Made some money on crude, lost a little on some other things.. hmm..
More...
Naah, it started to go down and changing positions frantically..
 
Finally

Code: 
                            Actual       Max  Accumulated     Broker
2022-03-01 17:00:47.677  393227.27  400000.0    724955.86  394415.38
2022-03-01 19:00:59.529  393227.27  400000.0    724955.86  394415.38
2022-03-02 01:00:20.423  400000.00  400000.0    743380.96  412840.48
2022-03-02 03:00:16.999  400000.00  400000.0    743380.96  412840.48
2022-03-02 05:00:25.848  400000.00  400000.0    743426.67  412886.19
2022-03-02 07:00:27.854  400000.00  400000.0    747241.74  416701.26
2022-03-02 09:00:31.877  399869.79  400000.0    747111.53  416571.05

So I hit HWM first thing this morning with a massive overnight profit to which I've since added another 4K, for a total MTM today of 747 - 725 = 5.8%. Now in a very small drawdown.

Blimey. I guess this is some of that positive skew I've heard so much about....

Rob
 
Code: 
********************************************************************************
Profit and loss report report produced on 2022-03-02 09:14:16.183920 from 2021-12-31 00:00:00 to 2022-03-02 09:14:04.672019
********************************************************************************


Total p&l is 17.353%

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

           codes  pandl
0            AEX   -1.8
1            VIX   -0.7
2       EU-DIV30   -0.5
3            DOW   -0.5
4           BUND   -0.4
5            V2X   -0.4
6    SP500_micro   -0.3
7   NASDAQ_micro   -0.3
8    GAS_US_mini   -0.2
9            JPY   -0.2
10           INR   -0.1
11           CAD   -0.1
12           BTP   -0.1
13           MXP   -0.1
14           CAC   -0.1
15       EUROSTX   -0.0
16           GBP   -0.0
17       RUSSELL   -0.0
18           OAT   -0.0
19       BITCOIN    0.0
20           DAX    0.0
21       EURO600    0.0
22        KOSDAQ    0.1
23          KR10    0.1
24         MUMMY    0.2
25       EU-AUTO    0.2
26       LEANHOG    0.2
27    GOLD_micro    0.4
28      EU-BASIC    0.5
29        COPPER    0.6
30          IRON    0.7
31        SOYOIL    1.1
32          CORN    1.3
33       SOYBEAN    2.0
34  CRUDE_W_mini    2.1
35    BRENT-LAST    2.2
36     GASOILINE    3.8
37       HEATOIL    5.5

Total futures p&l is 15.155%
Residual p&l is 2.197%

==========================
     P&L by strategy     
==========================

              codes  pandl
0  dynamic_TF_carry  13.57
0          residual   3.78


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

    codes  pandl
0  Equity  -3.16
1     Vol  -1.11
2      FX  -0.45
3    Bond  -0.38
4  Sector   0.66
5  Metals   1.67
6     Ags   4.57
7  OilGas  13.36


********************************************************************************
                                 END OF REPORT                                 
********************************************************************************
 
Just rereading my last post and I'm not sure it comes across very well, given the context. It's very hard to get the right tone at a time like this. Is it morally okay to be pleased about "making profits out of a crisis"? I think something I just posted on twitter sums up how I feel:

"I'm happy that I bought insurance against bad things happening, and the insurance paid out (because, for me at least, the gains here are offset by long only losses so I'm losing money overall). I'm obviously not happy that there bad things happening: far from it."

Rob
 
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