Fully automated futures trading

[newbunch]

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.

Honest answer: I didn't know about these options (those that existed at the time) when I started this journey. I didn't plan to become an almost fully automated, systematic trader with an emphasis in trend following when I started developing my systems. If I had planned it from the outset, I probably would have invested in one of these.

Now that it's done, I prefer my method to any of these other options. Of course I believe my system is objectively better, but that doesn't mean it is. But it is certainly better for my tastes.

 

[globalarbtrader]

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.

No it's just, as is often the case, a timing issue as to when you take your closing mark. I'm down 2.4% today, for a net loss of around 2% over the two days.

Rob

 

[Elder]

Honest answer: I didn't know about these options (those that existed at the time) when I started this journey. I didn't plan to become an almost fully automated, systematic trader with an emphasis in trend following when I started developing my systems. If I had planned it from the outset, I probably would have invested in one of these.

Now that it's done, I prefer my method to any of these other options. Of course I believe my system is objectively better, but that doesn't mean it is. But it is certainly better for my tastes.

Please allow me to butt in. I did know about those options, looked at Mulvaney and Dunn and invested in Dunn for a short period and then got out last year at broadly flat, just to watch their fund rocket up almost 60 pct this year. I much prefer my own system to anyone elses not because it may do better in the long term but because I can tailor costs and risk according to my utility function and fine tune the target return which I cannot with a third party fund. And last but not least the journey of being part of this elite group that understands software and finance, following of course in the esteemed footsteps of GAT, has been and continues to be massively enjoyable (admittedly more so when not watching pnl swings). Finally wrt to the other thread, I am broadly flat in the last two days and on the week +/- 0.1%.

 

[Kernfusion]

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.

For me it's all of the above (there's always a hope that I can do it better ), plus I'd need to research and understand what exactly these things are doing to trust them, and for sure they don't have all the signals that I incorporate in my system.
But also a huge "geek-factor" i.e. it's soo cool to me to be able to make my computer to generate real money on the actual real-world markets, i.e. this bridge from virtual to physical, and to get a glimpse into the understanding and hopefully mastering this randomness of the financial markets.
And I've always been a DYI-kind of guy, I prefer to make things myself over just buying the ready-to use package, probably because I believe that I can do it better and doing it myself allows me to truly understand and therefore really own things (e.g. I'm really annoyed that I can's make\fix my own smartphone and have to rely on all of these big-tech companies which are spying on me through my own phone that I can't fully control).

But I'm not fanatical about it., if it can be reliably shown that trading an ETF is objectively better than doing it myself - I'll trade the ETF (e.g. for my long-only portfolio I don't buy individual stocks to get the required exposure, I just use ETFs because it makes sense from all perspectives including fees - you just can't beat the economy of scale effect), i.e. practicality and real value still trumps everything else for me..

 

[jtrader33]

Thanks guys, I appreciate the thoughtful replies. Although the fees on these funds are likely high enough to make GAT puke, I think I would be fine with that tradeoff personally. The part that gives me pause is the potential to pick up some performance in illiquid markets the funds can't access (shitcoins and whatnot). Tricky to quantify though...

 

[KevinBB]

but what stops you from investing your trend following allocation in a few of these funds rather than doing the work yourself?

I haven't seen the correct answer to this question as yet. You've all got it wrong!

The answer should be ... Where's the fun in that?

This systematic trend following project, for me, has been all about putting into place something I've wanted to, and needed to, put in place for a very long time. Finally, in retirement, it happened.

Much more fun than working full time.

KH

 

[Gambit]

While I appreciate Rob’s contributions tremendously, DBMF et al are a tremendous benefit to 401k investors. There is a way to trade futures in an IRA via custodian but DBMF is much easier. Refers to US citizens only obviously.

 

[wopr]

Was just reading Kernfusions post from early August and thinking about trading without market data. I'm not sure how this wasn't brought up more (though I did see a mention in early 2020), but we can use snapshot request to get the real-time quote, which as far as I understand is all that's needed for Rob's algo. It's $0.03 per request.
If your exec algo does a lot of requests to get the quote, this might add up. Mine does one request only, and I have to pay professional fees, so this pays off big time.
Keep in mind this is not available for some exchanges, details here https://ibkr.info/article/2830. I guess if an exchange is not listed, snapshot requests are not available, so no ICE stuff, but CBOT/CME/COMEX/NYMEX work.

So if we combine that with the fact that we can get data history without the market data subscription if we use

ib.reqMarketDataType(3)

, this can be a viable way to trade without market data.

An update on this one. If this sounded too good to be true, it's because it is.
TL;DR - seems like you can't get the snapshot data through the API without a corresponding market data subscription. If you're now saying "well that makes the snapshot feature completely useless", you are right.
EDIT: not *completely* useless, just completely useless if you're using the API. For manual stuff, it works well.

I confirmed that with IB, just got off the chat with the support:

IB: The request can be made via API but access to market data via API is restricted and requires subscription. The same way it works with US contracts, you can see the real-time data in TWS but you du require a paid subscription for API access

wopr: That is unfortunate and makes the snapshot feature quite useless. If I have the market subscription, then I can just get the real time quote.

IB: Yes, I can understand that, unfortunately API access does have some restrictions

That's definitely a bummer.

 

[SimpleMeLike]

Here's my trading journal. I've been running this system since April last year. It's fully automated, futures trading, with a bias towards trend following.

Here is the p&l to date. I will do a more thorough analysis after a full year

Current positions (hope the codes make sense):

AEX 201502 1
ASX 201503 1
AUD 201503 -1
AUS10 201503 1
AUS3 201503 2
AUSSTIR 201603 1
BOBL 201503 5
BTP 201503 2
BUND 201503 1
CAC 201502 2
CORN 201512 -1
CRUDE_W 201512 -1
EDOLLAR 201806 3
EUR 201503 -1
EUROSTX 201503 -9
FEEDCOW 201503 1
FTSE 201503 -2
GAS_US 201504 -1
GBP 201503 -1
JPY 201503 -1
KR10 201503 1
KR3 201503 5
LIVECOW 201510 -1
MXP 201503 -1
NASDAQ 201503 1
SHATZ 201503 23
SMI 201503 1
SP500 201503 1
US10 201503 1
US2 201503 3
US5 201503 1
V2X 201503 -1
VIX 201503 -1
WHEAT 201512 -1


More information to follow. I'll try and answer any questions.

Good Morning globalarbtrader,

I like your thread.

How many trading systems do you trade in total please?

 

[globalarbtrader]

Good Morning globalarbtrader,

I like your thread.

How many trading systems do you trade in total please?

1

Rob