Robotrading: CT + Trending Strategy on folios of futures

I have also just learned that real trading has been profitable. Which makes me quite happy ! These fund managers have really shown to have balls (besides money), starting out this adventure before anyone else ;-))

Congratulations!

Tom
 
<b>"Superposition" as ultimate hedging</b>

Here is our mini folio. I have also started another <b>couple of instances</b>. Infact, very large investors (such as banks or other institutions) can add another layer of hedging, besides folio, by overlaying multiple folios.

This would increase greatly the overall Sharpe due to smoothing of the ec. Practically they would span all the trading range, pumping up money all the time... ;-)

I have done this now in separate instances, but i believe the best results should be obtained by opening all folios within the same instance (by "cloning" the folio).

<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3139144" width="1200" />

Tom
 

Attachments

Luckyest performers include SI (6.2K), HO (2.8K), RB (1.9K), EUR (1.4K). The bot also enjoyed CHF, which someone has lately defined a "nightmare". Here are the single trades of chf.

<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3139199" width="1200" />

(Also the 2 other folio instances are doing fine).

Tom
 

Attachments

This is another folio i started a day later.

Now imagine overlaying 100 of these on the same account ;-)

Maybe starting 1 every week or whatever lag. And possibly working within the same program instance, to maximize the effect of global close ;-))

Do you "see" the "self-hedging" effects of all this activity ? <b>Think big! ;-)) </b>

<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3139577" width="1200" />

Tom
 

Attachments

Mini folio update. It's doing quite well (lucky run): exceeded 15K in about 4 days, with minimal dd.

Also the other folio overlays are doing pretty good (about 8K, 4K).

Next week i want to do some instrument selection, picking a <b>more appropriate folio</b> and working with multiple overlays.

<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3140815" width="1200" />

Tom
 

Attachments

Quote from maninmoon:

Are you able to post the individual currency charts that made up the Pnl please.
More...
Hi maninmoon, sure thing.

I just dropped a complete visual report (updated at this very instant) with all single trades for all instruments in your skype window.

It's too large (3.86MB) to be posted here. So anyone interested just send me a PM with email and i will send it.

[ It is actually useful to look at the folio dynamics as it becomes readily apparent the need to make a good choice of folio, considering the different "speeds" and dynamics of the different instruments. In fact, as said, next week i will put together a different folio, which i expect to give more satisfactions, as i will remove the slower paced instruments, which get stopped all the time.

I believe the different folio should be formed based also on considerations about the specific dynamics of each price curve. ]

Tom
 
I have just (14 hours) restarted with a <b>selected</b> folio this time:

CHF FUT 201106 GLOBEX 125000 CHF.USD(6S)
CL FUT 201105 NYMEX 1000 Light Sweet Crude Oil
NG FUT 201105 NYMEX 10000 Henry Hub Natural Gas
HO FUT 201105 NYMEX 42000 Heating Oil
RB FUT 201105 NYMEX 42000 NYMEX RBOB Gas Index
SI FUT 201104 NYMEX 5000 NYMEX Silver Index
HG FUT 201104 NYMEX 25000 NYMEX Copper Index

I plan to proceed doing multiple overlays. This to give an idea (and also study) how a relatively big player could take advantage of the bot to print money ;-)

<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3144143" width="1200" />

Tom
 

Attachments

You must log in or register to reply here.
Back
Top