Fully automated futures trading

newbunch said:
Rob can probably also more comprehensively, but here's my take.

There are many differences between the systems of various people.

Signals: Each of use includes different strategies, models, lookbacks. As a result, each person will have a different signal strength for the same instrument.

Correlations: DO relies on a correlation matrix. Each person will calculate these correlations differently.

Instruments: Since DO looks at the correlations between instruments, having different instruments will result in different allocations to each.

Costs: How one accounts for costs could effect whether a person will trade a certain instrument or trade something that is somewhat correlated but cheaper to trade.

Capital and vol target: How much someone is willing to risk overall will effect whether an instrument is tradeable within his system.

Noise: Even if all of the above was the same, two people with identical systems will end up with some variation depending on when they trade, the bid-ask spread at the time, the execution price, etc. Over time, this variation may add up and the two systems may take different trades. In the end, though, the two systems will be highly correlated, but it may not appear that way when looking at individual trades.
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Yet It's fascinating to me how after all of these differences the systems end up being quite correlated. E.g. today, I bet all the people here had a drop in P&L, mine is about -3% :)
 
Kernfusion said:
Yet It's fascinating to me how after all of these differences the systems end up being quite correlated. E.g. today, I bet all the people here had a drop in P&L, mine is about -3% :)
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Down about 2.2%, which is relatively good from what I'm seeing out there.

Some comps I check intraday if things are moving:
40in20out -1.06%
DBMF -4.49%
CTA - 1.66%
KMLM -5.07%
 
The impressive things about today's results are:

1. Average signal strength for my static portfolio turned positive. First time since recording.

2. Sum of absolute values of signal strength (similar to TTU trend barometer) for the same portfolio is at the lowest level since recording (a couple of months).

Average Signal Strength 221110.png

I'm now at a position level not seen since the March / April market shenanigans.

KH
 
globalarbtrader said:
Daily mtm is noisy and meaningless.

Rob
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You are certainly the outlier today Rob. Here's what I see among our competitors:
40in20out -1.07%
DBMF -3.90%
CTA -1.69%
KMLM -5.18%
EQCHX -3.05% (this is Jerry Parker's Chesapeake MF)
MFTFX -4.99% (this fund is "advised" by Dunn)

I was down about 2.3%, which I consider good all things considered.

I noticed in your (Rob's) reports that you had no positions in the Yen or Bonds/STIRs. That's where most of my losses came from, so either your system was smart/lucky not to have positions there or you got lucky with your DO's trade decisions.
 
newbunch said:
You are certainly the outlier today Rob. Here's what I see among our competitors:
40in20out -1.07%
DBMF -3.90%
CTA -1.69%
KMLM -5.18%
EQCHX -3.05% (this is Jerry Parker's Chesapeake MF)
MFTFX -4.99% (this fund is "advised" by Dunn)

I was down about 2.3%, which I consider good all things considered.

I noticed in your (Rob's) reports that you had no positions in the Yen or Bonds/STIRs. That's where most of my losses came from, so either your system was smart/lucky not to have positions there or you got lucky with your DO's trade decisions.
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Hope you guys don’t mind the question, but what stops you from investing your trend following allocation in a few of these funds rather than doing the work yourself? Is it primarily to save the fees or do you expect to outperform? Just curious, as I’m looking to add a trend following sleeve and find the lazy route tempting.
 
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