Robotrading: CT + Trending Strategy on folios of futures

These are SI trades (current: the situation has rapidly changed in the meantime !).

[The distance between the green lines is $250, to have an idea of how crazy this is.]

<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3183058" width="1200" />
 

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For a comparison, let's see what something less volatile would look like. This is CHF (green line distance is always $250, compare with SI above ! ):

<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3183070" width="1200" />
 

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Quote from fullautotrading:

I don't see many other ways than to remove it. Maybe it could join a folio of "big" contracts, if one has real big money to invest.
It's something i have to think about, and i'd like to hear you guys' thoughs.

Tom
More...

Hi Tom
Not sure this has been mentioned here before... What about calculating the average daily range (and/or average true range) in $ for each product and then use a "clip size" in terms of number of contracts that would allow each product to contribute the same way.

Ex:
Silver has a daily range of 2 points, that is 10,000 USD for each contract.
ES has a daily range of 20 points, which is 1,000 USD for each contract.
Etc... with other products
So the "clip size" for ES should be 10 contracts.
This way the folio PL should depend less on 1/2 products only.
 
Quote from unco:

Hi Tom
Not sure this has been mentioned here before... What about calculating the average daily range (and/or average true range) in $ for each product and then use a "clip size" in terms of number of contracts that would allow each product to contribute the same way.

Ex:
Silver has a daily range of 2 points, that is 10,000 USD for each contract.
ES has a daily range of 20 points, which is 1,000 USD for each contract.
Etc... with other products
So the "clip size" for ES should be 10 contracts.
This way the folio PL should depend less on 1/2 products only.
More...
Hi Unco.

Yes that is a very good idea. (Making the basic packet inversely proportional to volatility, if i understood correcly your proposal) :-)

One only problem i see, if it is a real problem at all, is that this way (since the min packet is 1 contract) we are forced to make larger packets for most (less volatile) instruments.
And this, for instance, in a medium folio with 1 single largely volatile instrument (like SI) would cause playing with a much larger number of contracts.

In some way, we might be increasing further the risk (do we?), for sake of "balancing" the folio (which, in turns reduces the risk).

Anyway, if one trades SI, maybe he can also afford this, and probably it is the only reasonable thing to do (is it ?) ...
This seems a good concept which can be in general applied to any folio (even not containing "extreme" instruments like SI).

Tom
 
Quote from fullautotrading:

Hi Unco.

Yes that is a very good idea. (Making the basic packet inversely proportional to volatility, if i understood correcly your proposal) :-)

One only problem i see, if it is a real problem at all, is that this way (since the min packet is 1 contract) we are forced to make larger packets for most (less volatile) instruments.
And this, for instance, in a medium folio with 1 single largely volatile instrument (like SI) would cause playing with a much larger number of contracts.

In some way, we might be increasing further the risk (do we?), for sake of "balancing" the folio (which, in turns reduces the risk).

Anyway, if one trades SI, maybe he can also afford this, and probably it is the only reasonable thing to do (is it ?) ...
This seems a good concept which can be in general applied to any folio (even not containing "extreme" instruments like SI).

Tom
More...

Yes you got it :)
I think it would reduce the risk, as you don't put all your eggs in the same basket.
You just need a bigger basket ;)
Joke apart, the capital required to trade the folio will be higher, but we both know that this tool is to be used by bank of HF... I'm sure they don't mind having 10 ES (certainly a bit more when adding).
Also as you said removing product like NG and SI would allow to play it with a smaller capital.
With this method the kitchen folio concept will have a real impact on the smoothness of the global equity curve.

Ideally the user could
- enter his own volatility parameters for each product (people could disagree on which period to choose for the historical vol)
- modify manually an automatically suggested packet size per product
- trade products not denominated in USD (gbot would use a currency conversion when you specify the devise of the future) (that last line is less important, as you can always amend manually the point value of the future from EUR/JPY/CAD... to USD)

Anyway we can catch up on skype for details
 
Quote from unco:



[...]
Ideally the user could
- enter his own volatility parameters for each product (people could disagree on which period to choose for the historical vol)
- modify manually an automatically suggested packet size per product
- trade products not denominated in USD (gbot would use a currency conversion when you specify the devise of the future) (that last line is less important, as you can always amend manually the point value of the future from EUR/JPY/CAD... to USD)

Anyway we can catch up on skype for details
More...
Hi Unco,

very valuable ideas :-)

In practice, i would rather simply leave mostly this to the discretionary part of the bot (like the discretionary bounds, the forced directional entries, and so on).
It's just too handy and convenient to manually modify the packet size, in order to balance at best 2 or more instruments.
After all we can only have whole increments and relying too much on automatism based on measures of volatility can be less flexible, and arbitrary, as you righly point out.

Probably nobody can beat the experience and the sensitivity of a good trader or fund manager in possibly creating (and modifying realtime) an optimal balance, by simply adjusting the packets, just when he feels so.

Not only, strategically speaking, one could use the discretionary manual change of packet size also on many situations, like, for instance, when range is possibly "exhausted" (trader discretion), and we want to <b>maximize those extreme scalps, and the returns of retracement</b>.

Tom
 
Following the last suggestions, and the proposals by pocketchange and unco i am adding now some visual views of folio performances.

Here is a (very preliminary) sketch.
The idea is to add the possibility to select different metrics and display the corresponding chart (to do today).

This is an example where it's shown the <b>"relative contribution" to PNL</b>. Here defined as the ratio of avg daily profit to the max investment ever (multiplied 100K).

I am planning to add many more: let me know what you propose.
(I am thinking: Absolute contributions, Max DD, current position, profit/max pos ratio, some volatility measure, ...)

Tom

<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3186815" width="1200" />
 

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Ok i have added a few quick indicators to the new "folio performance" panel.
For now i have chosen a few metrics, but i am sure that you can suggest more, and more can come from discussion.

I will probbaly use later a dropdown list to make it more compact. For now, i have just thrown randomly a few radiobuttons to let immediately see the labels.

I have benn running the "kitchen sink" folio (now testing 31 instruments) for almost 15 hours.

Calm mkt: ideal for some good scalping without much risk, which allowed the bot to "realize" at almost 1k per hour rate (clearly the rate averagely always decreases in time due to the "extreme bounds").

Here is a view where i compare the <b>absolute contribution</b> of instruments to PNL (top window) and the <b>"relative" contribution</b> (bottom window).
Relative here is in the sense of <b>a "reward/risk" ratio</b>.

It's interesting for instance to note how SI, while is currently contributing much in absolute terms (top), is instead contributing less in relative terms (bottom). CL is instead contributing similarly in both terms, absolute and relative (clearly these results are relative to the few hours considered so far).

I think it is pretty interesting to compare instruments this way, to "meditate" on future folios.
You will certainly come up with new ideas about interesting metrics to compare instrs.

Tom

<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3187600" />
 

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