I'd be more interested to see how Rob's DO has done in live trading as compared to the backtest.
Fully automated futures trading
- Thread starter globalarbtrader
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Rob, have you written about high level asset allocation or come across other sources worth recommending? I did search the blog but didn't find your thoughts specifically on this topic. So the question is how should one approach allocation at highest level if investing activities are first categorized into something like a) investing into financial assets, b) trading and c) putting money into everything else, such as real estate, land, art, classic cars and what have you. You have written about a) and certainly b) but how to look at everything as a whole.
Unfortunately I don't have the problem of having too much money and not knowing what to do with it, I'm focusing on trading with limited capital, but anyway the question is interesting. Had I much more to invest, I would personally take more risk on the financial asset side but also play somewhat safe with other stuff so I don't lose everything with some brilliant trading ideas.. So in total I would be diversified to be more or less risk neutral.
Unfortunately I don't have the problem of having too much money and not knowing what to do with it, I'm focusing on trading with limited capital, but anyway the question is interesting. Had I much more to invest, I would personally take more risk on the financial asset side but also play somewhat safe with other stuff so I don't lose everything with some brilliant trading ideas.. So in total I would be diversified to be more or less risk neutral.
Hello Robert,
I'm trying to replicate your results from the "Advanced Futures Trading Strategies" book. In the code for strategy one you calculate the returns as follows:
(adjusted_price - adjusted_price.shift(1)) * position_contracts_held.shift(1) * multiplier * fx_series_aligned / (multiplier * current_price)
Why do you calculate returns over the actual current_price instead of current_price.shift(1) as it would be the starting point for the returns calculation, if I'm not wrong. I also don't understand why you calculate the difference between adjusted prices and then divide by the unadjusted price. I understand that the required capital must be calculated over the unadjusted price but, why do you use the adjusted price for return calculation? The return with adjusted and unadjusted prices differs a lot. I believe it is because of the continuous trading, am I right?
In that case if it was discrete trading would you use unadjusted prices?
Thank you very much
Daniel Cano
I'm trying to replicate your results from the "Advanced Futures Trading Strategies" book. In the code for strategy one you calculate the returns as follows:
(adjusted_price - adjusted_price.shift(1)) * position_contracts_held.shift(1) * multiplier * fx_series_aligned / (multiplier * current_price)
Why do you calculate returns over the actual current_price instead of current_price.shift(1) as it would be the starting point for the returns calculation, if I'm not wrong. I also don't understand why you calculate the difference between adjusted prices and then divide by the unadjusted price. I understand that the required capital must be calculated over the unadjusted price but, why do you use the adjusted price for return calculation? The return with adjusted and unadjusted prices differs a lot. I believe it is because of the continuous trading, am I right?
In that case if it was discrete trading would you use unadjusted prices?
Thank you very much
Daniel Cano
Sure, could be current_price.shift(1)
It's because we're trading futures which we have to roll. Reread the whole of chapter one, carefully.
No not relevant
Rob
Hello Robert,
This would make the positive returns bigger as you are dividing by a smaller price and the negative returns smaller as you are dividing by a bigger price. Therefore changing your strategy statistics. Is there any particular reason you use current_price instead of current_price.shift(1)?
I have reread the whole chapter and I now understand that the difference between adjusted and unadjusted returns are the returns obtained from carrying. So with unadjusted prices you obtain the spot returns but with adjusted prices you get the excess return. This would also apply in stocks, for example. Am I right?
Thank you
Daniel Cano
This would make the positive returns bigger as you are dividing by a smaller price and the negative returns smaller as you are dividing by a bigger price. Therefore changing your strategy statistics. Is there any particular reason you use current_price instead of current_price.shift(1)?
I have reread the whole chapter and I now understand that the difference between adjusted and unadjusted returns are the returns obtained from carrying. So with unadjusted prices you obtain the spot returns but with adjusted prices you get the excess return. This would also apply in stocks, for example. Am I right?
Thank you
Daniel Cano
No it should be shift(1)
Not quite. Unadjusted prices are a series of futures prices without accounting for carry. Not the same as spot prices as they will have sharp breaks on each contract expiry and in between will include carry.
Rob
Hello Rob
From your spreadsheet St.9, why does 16 Span EMA from EWMAC4 is different from 16 Span EMA from EWMAC16?
Aren't they supposed to have the same value?
Best,
From your spreadsheet St.9, why does 16 Span EMA from EWMAC4 is different from 16 Span EMA from EWMAC16?
Aren't they supposed to have the same value?
Best,