To be honest, I am kind of happy that I still paper trade futures. The system has had a good run till April (+15%) and lost all of that again. I plan on going live after the summer break and will have to make a decision then. As trend following has some weak mean reverting behaviour, going live in a drawdown sounds reasonable. But actually pulling the trigger will be harder...
Fully automated futures trading
- Thread starter globalarbtrader
- Start date
Similar here, although not "stomach churning". I am still running the system in its original version, close to how it was described in Rob's first book. There is no dynamic optimization and fancy stuff like that. Also this "basic system" had a nice run up and is now coming down. I'm pretty sure that after this it will go up again.
Yeah, hit a 'local HWM' around Jul 11, then lost about 8% over a couple of weeks, still up for the year. The system was quite correlated with the stock market lately..
Makes sense since equities had been one of the strongest trends out there. Of course it depends on how you allocate among the various sectors.
Looks like some trend followers / managed futures are getting hit hard the last two days.
On the plus side, 40in20out was up 1.88% yesterday and another 1.01% so far today. So if you're shorter term, you might be doing well.
On the other hand, DBMF (managed futures) fell 1.80% yesterday and is down another 3.13% today.
And TFPN, Jerry Parker's "Trend following plus nothing" that also includes single stocks, is down 2.86% today but is normally quite low vol so it's giving up nearly all its gains for the year.
As for me, I continue to give back some of my yearly gains, but am holding up relatively well.
On the plus side, 40in20out was up 1.88% yesterday and another 1.01% so far today. So if you're shorter term, you might be doing well.
On the other hand, DBMF (managed futures) fell 1.80% yesterday and is down another 3.13% today.
And TFPN, Jerry Parker's "Trend following plus nothing" that also includes single stocks, is down 2.86% today but is normally quite low vol so it's giving up nearly all its gains for the year.
As for me, I continue to give back some of my yearly gains, but am holding up relatively well.
Similar for me, not as bad as DBMF\TFPN and not as good as yours
, I lost a tiny bit more in the last couple of days, but it seems to be stabilizing.. Fun fact, my system just closed the last MES position.. Also interestingly, my Paper system, which runs on a much larger capital (paper money is much easier to obtain ) has been hit worse than my Prod., just randomness..
Btw, do I understand correctly that if you invest in a trend-following ETF, you're not earning interest on the "remaining cash" or is it included in the overall performance? E.g. I can see than DBMF has expense ratio of 0.85%, and Yahoo says it's up by 6.68% YTD, but it's YTD total return is 8.18%, does it mean it pays interest earned on the cash that's not participating in margin as distributions or something like that ?
, I lost a tiny bit more in the last couple of days, but it seems to be stabilizing.. Fun fact, my system just closed the last MES position.. Also interestingly, my Paper system, which runs on a much larger capital (paper money is much easier to obtain ) has been hit worse than my Prod., just randomness..Btw, do I understand correctly that if you invest in a trend-following ETF, you're not earning interest on the "remaining cash" or is it included in the overall performance? E.g. I can see than DBMF has expense ratio of 0.85%, and Yahoo says it's up by 6.68% YTD, but it's YTD total return is 8.18%, does it mean it pays interest earned on the cash that's not participating in margin as distributions or something like that ?
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We are very much alike and look forward to communicating with youHere'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.
Attachments
Yes, I also have had Gateway crash a couple of times since the beginning of this month (August). It always happens at exactly the same time of the day. On most days it manages to restore connection to the servers, but sometimes it doesn't, and then it closes itself. In fact, this sequence of events happens twice every 24 hours.
Which IB Gateway version do you use? Maybe it's time for an upgrade?