Fully automated futures trading

Bellum-romanum said:
I find myself curious about the asset allocation of the people on this thread. Is everyone well versed in "Smart Portfolios" and adhering to the recommended 25% maximum risk weighted allocation to managed futures? Or is there other strategies - like the outlook for stocks and bonds look awful, I'm going to take my chances on MF?
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Yeah, I'm pretty-much in 1. long-term portfolio (20% (Cash-weight) bonds, 75% stocks, 5% gold + misc.), 2. some real-estate (which I live in) and 3. the futures system. I'm not changing much based on the grim outlook, except that I'm being quite slow to allocate to my LT portfolio a not-so-large pile of cash that's currently sitting in a simple savings account.. In terms of allocation I'd really like to put more into futures, maybe 30-40%, but they require pure cash(not in tax-sheltered accounts) which is hard to come by :)
 
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Do people here update IB gateway often? I was using v.981 before and upgraded to 10.12 a month ago - started having some issues (couldn't re-subscribe to RT-quotes again to the same instance of the gateway, it had to be restarted every time), now tried to upgrade to 10.19 - can't subscribe to RT-quotes at all, some message in the log about datetime format, but unclear..
Good thing I still have 981 version saved, so after reinstalling it everything started to work as before..
This is very annoying because it's of course possible to figure out and resolve the issues, but it's completely unproductive work with zero real benefit., but I'm afraid that at some point I might be forced to update because of some breaking changes and will have to spend time changing my code anyway.. Or in practice people don't upgrade gateway versions for many years\decades?
Also, does anyone know what's the deal with the new Eurex symbology? I received this email from IB about a week ago, it had several links but nothing concreate, like symbol 'AAA' will be changes to 'BBB':
"Please be aware that effective February 6, 2023, Eurex will require a new symbology for their ETD contracts. On or after this date, symbols currently used to trade ETD products will no longer be accepted."
And I saw in the gateway release notes this: "It is now possible to send date/time values in different formats: UTC format, instrument's exchange timezone and operator's timezone" I wander if it's somehow related to my troubles with the new versions and\or to that upcomming Eurex change..
 
Bellum-romanum said:
I find myself curious about the asset allocation of the people on this thread. Is everyone well versed in "Smart Portfolios" and adhering to the recommended 25% maximum risk weighted allocation to managed futures? Or is there other strategies - like the outlook for stocks and bonds look awful, I'm going to take my chances on MF?
More...

I'm at about 60% in systematic futures trading right now. My target is 50%, so I'm overweight at the moment, but I'm quite comfortable with that.

It happens that Rob recently did a blog post about the optimal allocation to TF vs a 60/40 portfolio.

TL;DR - a 60% allocation to TF was determined to be optimal (and robust - not pushing the limits) under a set of assumptions that tends to penalize trend following. With a well-designed & diversified system, an even higher allocation would probably justified.
 
Kernfusion said:
Do people here update IB gateway often?
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I only update when I'm having issues that I suspect might be due to the gateway. Not really a matter of policy, just that as long as it's working I just don't think about it.

I'm currently on 10.18.1b, and everything is working fine for me.

Some people have been complaining of issues in the pysystemtrade GitHub discussions, and their issues seem like they might be related to the Gateway, but so far that hasn't been confirmed.
 
Kernfusion said:
Do people here update IB gateway often?
More...
No. I continued using 972 until IB stopped accepting it. Then I switched over to 981 and continue to use it, until IB will stop accepting it.
Kernfusion said:
some message in the log about datetime format, but unclear..
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The way how you specify a time (e.g. when requesting historical data for a certain period) has changed. Something to do with how time zones have to be specified. IB had received complaints that it is weird that the time zone is set as a parameter in TWS.
Kernfusion said:
Also, does anyone know what's the deal with the new Eurex symbology?
More...
No, just like you I went to the EUREX website, trying to understand what's going on. Unfortunately it is all abracadabra to me and I gave up. I'll see when my software crashes, and take care of it then.
 
Kernfusion said:
Do people here update IB gateway often? I was using v.981 before and upgraded to 10.12 a month ago - started having some issues (couldn't re-subscribe to RT-quotes again to the same instance of the gateway, it had to be restarted every time), now tried to upgrade to 10.19 - can't subscribe to RT-quotes at all, some message in the log about datetime format, but unclear..
Good thing I still have 981 version saved, so after reinstalling it everything started to work as before..
This is very annoying because it's of course possible to figure out and resolve the issues, but it's completely unproductive work with zero real benefit., but I'm afraid that at some point I might be forced to update because of some breaking changes and will have to spend time changing my code anyway.. Or in practice people don't upgrade gateway versions for many years\decades?
Also, does anyone know what's the deal with the new Eurex symbology? I received this email from IB about a week ago, it had several links but nothing concreate, like symbol 'AAA' will be changes to 'BBB':
"Please be aware that effective February 6, 2023, Eurex will require a new symbology for their ETD contracts. On or after this date, symbols currently used to trade ETD products will no longer be accepted."
And I saw in the gateway release notes this: "It is now possible to send date/time values in different formats: UTC format, instrument's exchange timezone and operator's timezone" I wander if it's somehow related to my troubles with the new versions and\or to that upcomming Eurex change..
More...

10.12 and touch wood, all ok at the moment.

Like others my strategy is only to upgrade when something breaks.

Rob
 
Kernfusion said:
Do people here update IB gateway often? I was using v.981 before and upgraded to 10.12 a month ago - started having some issues (couldn't re-subscribe to RT-quotes again to the same instance of the gateway, it had to be restarted every time), now tried to upgrade to 10.19 - can't subscribe to RT-quotes at all, some message in the log about datetime format, but unclear..
Good thing I still have 981 version saved, so after reinstalling it everything started to work as before..
This is very annoying because it's of course possible to figure out and resolve the issues, but it's completely unproductive work with zero real benefit., but I'm afraid that at some point I might be forced to update because of some breaking changes and will have to spend time changing my code anyway.. Or in practice people don't upgrade gateway versions for many years\decades?
Also, does anyone know what's the deal with the new Eurex symbology? I received this email from IB about a week ago, it had several links but nothing concreate, like symbol 'AAA' will be changes to 'BBB':
"Please be aware that effective February 6, 2023, Eurex will require a new symbology for their ETD contracts. On or after this date, symbols currently used to trade ETD products will no longer be accepted."
And I saw in the gateway release notes this: "It is now possible to send date/time values in different formats: UTC format, instrument's exchange timezone and operator's timezone" I wander if it's somehow related to my troubles with the new versions and\or to that upcomming Eurex change..
More...

I haven't receive any mail from IB yet. Is this what you're talking about?
https://www.eurex.com/ex-en/trade/next-gen-etd
 
tgibson11 said:
I'm at about 60% in systematic futures trading right now. My target is 50%, so I'm overweight at the moment, but I'm quite comfortable with that.

It happens that Rob recently did a blog post about the optimal allocation to TF vs a 60/40 portfolio.

TL;DR - a 60% allocation to TF was determined to be optimal (and robust - not pushing the limits) under a set of assumptions that tends to penalize trend following. With a well-designed & diversified system, an even higher allocation would probably justified.
More...

Thank you for the response Todd!!

Your answer; 60% very interesting as it is unexpectedly high. My immediate questions are; what are you running as your vol. target? do you mean risk weighted allocation or cash allocation? (a lot of other follow up questions also come to mind, like; what is your investment horizon? are you planning on relying on withdrawals from your investments to cover living expenses (I would venture to say that the answer here is no))

About Mr. Carver's recent blog post about the optimal allocation to TF - I heard about it on the TTU epsiode that came out just after the blog post itself, and skimmed through it with the intention of reading it more thoroughly later. (never got that far) My understanding was that it was a stylized example meant to show how to approach portfolio optimization under uncertainty about future secular trends, and that the portfolio allocation was not necessarily meant to be taken verbatim.

I guess part of the reason I made the assumption mentioned above was that I was reading Smart Portfolios at the time. Chapter eight has a section called "CONCEPT: Why alternatives should get a lower weight" in it Mr. Carver writes "I wouldn’t go higher than 25%."(meaning risk weight, not cash weight) Which I'm fairly certain that I've also heard him say as a reply to a question on the podcast. The question was specifically about systematic trading, not alternatives as an asset group, as in the book section just mentioned.

I have now read the article, and re-listen to the episode, and did not catch any caveats. I'm confused about one part though; all three alternatives were given a 12% annualized risk target. This would have to be adjusted for before using the allocation weights? Perhaps I am oblivious to something obivous and that a change in vol. would still make the blog post allocations relevant, but as risk weights, not as cash weights?
 
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Mr. Carver, I know this is a forum thread about your systematic trading, but I was hoping I could ask you a question related to smart portfolios and your own investment approach. I tried leaving a comment on you blog on the page “my books” but I had issues signing in with google. (signing in I am asked to give the password for the account I setup as an alert mail for my pysystemtrade implementation. I stopped using this a while ago when 2FA became a requirement and I know find myself without a password and not being able to reset the password. I would’ve liked to change the the account, but for the life of me, I can not figure out how to)

My question is; Smart Portfolios talks about long term investing, where profits get compounded. From TTU episodes, and possibly also from things you have written, my impression is that you live of the returns from your investing. In other words you would be withdrawing returns each year, not letting them compound. (You’ve said you treat your systematic trading account as a slot machine, withdrawing profits when they occur. I also think you mentioned your book writing and the lectures as a stable side income to the varying returns)

The reason I am asking is that I would really like to try to do the same thing. Your total portfolio return of 9% geometric return, with 11% vol. would be a dream come true, if I could withdraw the returns every year. o_O I assume that this is not what you are doing, but had to ask! (I do realize that returns probably will not as high because of the secular tail winds you discussed in your blog post about TF / 60:40 allocation, and which you also discussed in chapter four of Smart Portfolios)

This is also the reason for my previous forum question about people’s portfolio allocations. I find myself racking my brain about how to invest in a way that would yield a decent after tax payout. Thought I would ask how many others were thinking about ways to tweak the allocation in a hope of catching a lucky break.
 
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