yep, around the same time for me, from March 9 to 13 it dropped quite a bit (~10% ?) and since then no major action, maybe +2%..
Fully automated futures trading
- Thread starter globalarbtrader
- Start date
Yes, that was the Silicon Valley Bank collapse causing a huge reversal in STIRs and more modest reversals elsewhere. I lost 10.3% in that decline, but quickly made it back (by early April) and continued to rally. But now I'm in another ~10% drawdown since hitting a high in July.
I also had a gut wrencher in March, and a bit of a local high in June, but it looks my performance this year is an anomaly in the industry - you guys are much more in line with my benchmarks. Firstly I 'only' lost 7% in the March incident so not as bad as most, but I've also gone barnstormers since early August gaining about 12.5% whilst most indices have made more gradual profits and so haven't yet recovered from that loss; SG CTA is up just over 2% YTD, and AHL Diversity GBP is down 5% (to end of August, will probably have recovered) [I run higher vol than both, but I'd still be ahead of SG CTA even after adjusting or this).
I'm not bragging - it's just luck - just trying to cheer everyone up in case you think it's just you...
Rob
I'm not bragging - it's just luck - just trying to cheer everyone up in case you think it's just you...
Rob
I'm being lucky as well.
My system is similar to Rob, but with just around 60 markets and less rules. My forecast and instrument weights are different and I use my own DO implementation (it is not using the greedy algorithm, it is using a Mixed Integer Programming approach, I uploaded it to Github a while ago). But yes, mainly luck...
My system is similar to Rob, but with just around 60 markets and less rules. My forecast and instrument weights are different and I use my own DO implementation (it is not using the greedy algorithm, it is using a Mixed Integer Programming approach, I uploaded it to Github a while ago). But yes, mainly luck...
Attachments
Hi Rob,
I meant this github page I created just for documenting a MIP implementation for this forum:
https://github.com/golforado/tracking-portfolio
I actually made several changes to the implementation to include a buffering technique after you introduced it and I didn't update the github. I can update it, let me know if you are curious and I'll do it when I can.
I use the C# implementation in my system, the Python implementation should work as well.
Thanks,
Luis
I meant this github page I created just for documenting a MIP implementation for this forum:
https://github.com/golforado/tracking-portfolio
I actually made several changes to the implementation to include a buffering technique after you introduced it and I didn't update the github. I can update it, let me know if you are curious and I'll do it when I can.
I use the C# implementation in my system, the Python implementation should work as well.
Thanks,
Luis
Also, I think it is really interesting that I usually have positions in more instruments than you do, for similar capital, I think (about 500k USD).
Now I have positions in 40 instruments:
Now I have positions in 40 instruments:
Code:
Financial Instrument Position
ZW Dec13'24 @CBOT -2
ZT Dec29'23 @CBOT -6
ZN Dec19'23 @CBOT -2
ZF Dec29'23 @CBOT -1
ZAR Dec18'23 @CME 1
VXM Nov15'23 @CFE -23
V2TX Nov15'23 @EUREX -3
SI Dec27'23 @COMEX -1
RS Jan12'24 @NYBOT -1
R Dec27'23 @ICEEU -1
OAT Dec07'23 @EUREX -1
MYM Dec15'23 @CBOT -6
MXP Dec18'23 @CME 1
MSF Dec18'23 @CME -11
MNQ Dec15'23 @CME -1
MGC Dec27'23 @COMEX -12
M6E Dec18'23 @CME -10
M6B Dec18'23 @CME -1
M2K Dec15'23 @CME -6
LE Dec29'23 @CME 1
JPY Dec18'23 @CME -7
HG Dec27'23 @COMEX -1
HE Dec14'23 @CME 1
GF Jan25'24 @CME 1
GBX Dec07'23 @EUREX -1
GBS Dec07'23 @EUREX -8
GBM Dec07'23 @EUREX -6
GBL Dec07'23 @EUREX -1
EOE Oct20'23 @FTA -1
DX Dec18'23 @NYBOT 1
DJ600 Dec15'23 @EUREX -1
DA Dec'23 @CME -3
D Jan25'24 @ICEEUSOFT 1
CSC Oct31'23 @CME -1
C Mar13'24 @ICEEUSOFT 4
BZ Dec'23 @NYMEX 2
BTS Dec07'23 @EUREX -2
BTP Dec07'23 @EUREX -1
BRE Nov'23 @CME 1Interesting. Can you work out your current expected standard deviation compared to the sum of absolute(standard deviation per instrument)? If this is very low it suggests you are taking on a lot of apparently hedged leverage which might be risky. Unless you have a very high risk target (mine is 25).
Right now from https://github.com/robcarver17/reports/blob/master/Risk_report the numbers for me are 16.9 and 36.7 which equates to a ratio of 0.46
Rob
It may also because you have more mini/micro... I should use VXM as it's liquid enough for example.
Rob