Trading FUTURES with IB

This is the PNL situation (about 3.5 days).

Those spikes on the (new) realized curve demostrate that phenomenon i was talking about when discussing the new realized algo. They are due to the fact that the algo matches with higher priority the higher scalps. [ So there can be orders which temporarily "attract" a larger scalp. ]

The chart shows the realtime volatilities (new stuff) of the instruments.

Tom

<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3281599" width="1200" />
 

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The weekly session ended fine. Very small dd and nice profit (7.6K). I think i like the way this new approach manages to have a small position most of the time.

Next week i will start a new thread devoted to this new strategy.
It will have smaller dd, therefore we must also expect smaller profits.

Anyway, now that we at least know how to be profitable, our next goal is to calibrate a strategy which, while yielding consistent gains, has dd more generally bearable.

Tom

<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3283382" width="1200" />
 

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Hi Tom and any curious readers.

I have been working with Tom for the past 2 - 3 weeks and I have been inspired by the G-Bot he has built.

There is very little that he has left to chance, or perhaps he has left everything to chance :D and that great big GMV sim.

I would like to take this opportunity and commend him on his efforts so far, and ask him to try and get some sleep so he can be strong for the upcoming profit season :p

On a serious note, this is a very real project and Tom should be well supported in this forum, keep posting the comments and the journal updated with the new strategy as that is what is more of interest to me.

Regards

Mickson
 
Quote from mickson:

Hi Tom and any curious readers.

I have been working with Tom for the past 2 - 3 weeks and I have been inspired by the G-Bot he has built.

There is very little that he has left to chance, or perhaps he has left everything to chance :D and that great big GMV sim.

I would like to take this opportunity and commend him on his efforts so far, and ask him to try and get some sleep so he can be strong for the upcoming profit season :p

On a serious note, this is a very real project and Tom should be well supported in this forum, keep posting the comments and the journal updated with the new strategy as that is what is more of interest to me.

Regards

Mickson
More...

Thank you Mickson,

It's my honor to collaborate with you guys.

The last month, very unexpectedly, the number of people helping with this project or testing the strat has increased dramatically, which is for me a big incentive to put extra effort for best results.

Keeping up with ET elitarian spirit, i am also giving to the initiative the character of a sort of private circle, with individual interaction.
This is a real great way for me to learn more and get all kind of peculiar problems and different perspectives from all over the world.
I do enjoy and <b>value each and every personal contact</b>, trying to learn as much as possible.
So as "money never sleeps", why should we ? ;-))

[By the way if i have missed to reply to anyone, please, let me know.]

Last week was fine, with another 7K (same folio as before, 10 instruments).

In the meantime, i have added some other features to the simulation engine <b>(mixing of random process)</b>, in addition to volatility randomization, and have been trying several strategy variants, with a different modulation of risk.

This week I will be testing 2 variants: one which should be pretty "flat", with very low risk profile, and another one more "daring" (with higher potential profit and drawdown).
The (relatively) smaller risk profile is mostly obtained also by <b>adjusting to mkt volatility</b>.

We will see which one is more likeable (probably also a personal matter). The "flat" version might be a little boring and overprotective most of time: we will see... I think i will generalize further the framework to allow the trader, to choose among a few preset risk profiles.

Tom

<img src="http://www.elitetrader.com/vb/attachment.php?s=&postid=3291187" />
 

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Stocking up on the Future:

I have also clocked another week of profits, in my IB paper account trading 2 folios.

I have been experimenting with the inclusion of stocks as well as various futures contract. As I haven't developed this strategy and I haven't "looked under the hood" I feel it is best to test drive the bot for a while before committing funds.

In my first folio I have Australian stocks along with a global futures portfolio. I learned with this folio that first gold and silver futures contracts are designed for those with a bit of extra strenght under pants as they require some balls. I of course got off to a nice drawdown start and thought I was going to get carried out, true to Toms logic "we" have clawed back the initial "investment" and some.

I am newbie I hope this chart of my equity comes out.

http://screencast.com/t/hyZ6Fo3aSeE

With regards my 2nd folio I have gone with a much more constrained list of futures contracts with a number of mini's so as to keep the drawdown to a more likely size for my initial start with real $'s. As part of this 2nd folio I have included Hong Kong shares.

http://screencast.com/t/ZeN83scM1pgb

The conclusion I draw from all of this is that like Tom has suggested to me the money is in the futures, they behave in a way that the G-Bot obviously likes. Perhaps in a future post, Tom can explain in a little more detail why there should be a difference. (I know you have explained it Tom but maybe a refresher, if you have done so already on ET - then humble apologise). What was interesting is that from a stock perspective Hong Kong is by far producing superior PNL than is Australia. I am not sure why this is, it may have to do with the stock price in nominal terms which may produce enough "bounce" for the bot. Not sure, will consider it more at the end of this month when I will close out the experiment.

I will post some performance metrics in the near future.

Mickson:D :D :D
 
Sorry I couldnt resist this :D

Tom we started this folio with the same 10 futures contracts as you at about the same time but I am getting a little bit more juice than you
:p

Must be my Cool shades that are the difference :cool:

On second thoughts I just noticed my max dd relative to yours :confused:
 

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Quote from mickson:

Sorry I couldnt resist this :D

Tom we started this folio with the same 10 futures contracts as you at about the same time but I am getting a little bit more juice than you
:p

Must be my Cool shades that are the difference :cool:

On second thoughts I just noticed my max dd relative to yours :confused:
More...
Yes, you have a different variant than the one i used last week (mine is "flatter").

Lately, i am really accelerating my tests developing variants on a daily basis: i want to get a feeling of how any change can impact on not only pnl/dd, but also the general "feeling".

It's almost like perfecting an image working on color profiles. Some aspects, beyond risk management, belong to the realm of trader perception. ;-)

As to futures, i must say that the merit of pushing me towards them is all of Pocketchange, who when we first met (on ET, a few years ago) made some effort to convince me that futures were the way to go. He can certainly explain better than i all the reasons.

Tom
 
I am posting in here for the benefit of future or existing users to perhaps flesh out thoughts that you may or may not have had. Tom if you prefer this offline, just say the word.

I will be back to Skyping with you in the very near future.

I am interested to observe the behaviour of the bot, during US holidays when the e-mini is trading. My sense would be that due to the fact that the main index is closed there is an added bounded price and therefore we should observe more trading opportunities.

However, if in fact the futures market is in fact the price maker not price taker then my thesis may be flawed.
 
It's fine to discuss here the aspects of broader interest.

[Your first folio was a huge one, of almost 70 simultaneous instruments, if i remember well. It may be useful also to mention the instruments or at least the folio size, so that one can put results in perspective. Also maybe you are "newbie" with pictures, but not at trading... just to clear up that mike is actually a very experienced fund manager ;-) and we have a lot to learn from him ]

Personally, what i like of futures, apart many other technical aspects (liquidity, exchange), is their strong tendence to reverse most of time, their leverage, and the fact that they trade all the time.

Stocks would make me anxious, trading only rth ;-) [not to mention that some companies may not show much reversion, and they might even fail. ]

[Anyway, some traders are experimenting with stocks, and some other even with options. We will see what they say. ]


Tom
 
DUE DILIGENCE

I continue to do a due diligence on the G-Bot project. To give you a better feel for it I have included a snapshot of my IB account (paper).

The base currency is in A$ hence the starting balance is less than $1m. Absolutely no other trading takes place in this account other than the G-Bot, this can easily be verified by reconciling the IB trades with the bots, but I am doing this for myself, and I am only making this public because Tom has welcomed skeptics like myself (initially) and as this man works around the clock he deserves some feedback, both positive and negative. The data I present does not include yesterdays returns which only make the returns look better. So it is coming up to 1 months worth of out of sample testing and one has to be impressed with the bot.

Go Tom.

:D
 

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