Suggestions for futures to trade

[globalarbtrader]

So, just because I am slow; I was sure I heard / read you saying that you would need to trade a notional value of miniumum around 600.000 USD to get the diversification gradual easing in and out of positions that your your system requires. But from your reports repo it looks like you are trading aroud 400.000 GBP.

So based on this; are you saying that the capital you deposit to your IBKR trading account is 41,666 USD (so minimum margin requirement basically)?

No. I have 400K notional capital, and that is what I use to scale my positions. That is only sufficient to trade 30 or so markets and deal with the issue you describe, but I now use a dynamic optimisation method to cope with this and still have 140 odd markets in which I could potentially take positions, with perhaps 20 or so actually having positions.

And I have 400K in cash in my trading account, of which perhaps 1/4 is being used for margin.

I'm not sure where the 600 figure came from or indeed 41.666?

GAT

 

[HTBs]

I don't see MCL in your list. It has become a better alternative than QM for crude oil futures due to liquidity and tick size...

 

[Overnight]

I don't see MCL in your list. It has become a better alternative than QM for crude oil futures due to liquidity and tick size...

You go where the volume is. If MCL is better than QM, then you trade that. And we know inherently MCL will be better than QM, because QM is a POS with no volume relative to CL.

 

[Bellum-romanum]

No. I have 400K notional capital, and that is what I use to scale my positions. That is only sufficient to trade 30 or so markets and deal with the issue you describe, but I now use a dynamic optimisation method to cope with this and still have 140 odd markets in which I could potentially take positions, with perhaps 20 or so actually having positions.

And I have 400K in cash in my trading account, of which perhaps 1/4 is being used for margin.

I'm not sure where the 600 figure came from or indeed 41.666?

GAT

Apologies; did a poor quote job. 41.666 is the implied value from you following comment, is it not?;

It's $250 per month for financials and commodities, through IB. No non-pro discount.

That's 0.6% of my account value per year. A rule of thumb I have, is that a return increase should at least be three times the value of any cost. Would I expect my CAGR to increase from ~20% say to 21.8% through adding these ICE markets? Probably not.

GAT

If 250 USD is 0,6%, then a 100% is 41.666 USD ((250/0,6)*100).

 

[HarryHindsight]

https://www.interactivebrokers.co.uk/it/index.php?f=4745&p=fut

potentially useful page (even if originally drafted in italian)

eg - micro commodities on nymex and micro treasuries on cbot (too illiquid?)

I'm keen to automate a strategy on a small batch of micros.
Much worse outcome than Aspect? Yes.
But lots of intrinsic value to growing and eating your own vegetables, and learning a lot along the way.

 

[easymon1]

No. I have 400K notional capital, and that is what I use to scale my positions. That is only sufficient to trade 30 or so markets and deal with the issue you describe, but I now use a dynamic optimisation method to cope with this and still have 140 odd markets in which I could potentially take positions, with perhaps 20 or so actually having positions.

And I have 400K in cash in my trading account, of which perhaps 1/4 is being used for margin.

I'm not sure where the 600 figure came from or indeed 41.666?

GAT

Someday, could we see some graphs depicting your system's hold times, profitability, drawdowns, sliced and diced in interesting ways.

 

[HobbyTrading]

Someday, could we see some graphs depicting your system's hold times, profitability, drawdowns, sliced and diced in interesting ways.

As a starter: many graphs have been posted over the years on his journal here at ET (started in 2015), and also on his own blog:
https://www.elitetrader.com/et/threads/fully-automated-futures-trading.289589/
https://qoppac.blogspot.com/