Hi Rob, Inspired by your position in the Mothers Index as revealed on a recent podcast I got the dynamic optimisation running locally. My dataset is a bit rough in places, the code to robustly download hourly prices for 120 markets using IBs API is a test of nerve and patience. These are my recent positions, the data for BBCOMM is stale. Code: BBCOMM BITCOIN CORN CRUDE_W_mini V2X VIX index 2022-01-06 3.0 0.0 0.0 0.0 -2.0 -1.0 2022-01-07 3.0 0.0 0.0 0.0 -2.0 -1.0 2022-01-10 3.0 -1.0 0.0 0.0 -2.0 -1.0 2022-01-11 3.0 -1.0 0.0 0.0 -2.0 -1.0 2022-01-12 3.0 -1.0 1.0 0.0 -2.0 -1.0 2022-01-13 3.0 -1.0 1.0 0.0 -2.0 -1.0 2022-01-14 3.0 -1.0 1.0 0.0 -2.0 -1.0 2022-01-17 0.0 -1.0 1.0 0.0 -2.0 -1.0 2022-01-18 0.0 -1.0 1.0 1.0 -2.0 -1.0 2022-01-19 0.0 -1.0 1.0 1.0 -2.0 -1.0 Looking at the equity curve there are some strange spikes which need investigating, again it's probably my underlying data (data is bootstrapped from various places). It is interesting that given this broad universe this is what DO chooses to allocate risk to. Given your experience with DO so far, where do you think you would focus further research? On my TODO is to dig deeper and pull out the covariance clusters from which we've picked the above. Nice! How are you collecting data for these 100+ markets? Do you batch download hourly, or do you just grad daily prices? I guess you have a realtime thing running to monitor moves?
Interesting. You obviously have quite a small portfolio, cash wise (sorry if that sounds patronising!). The spikes might be real, reflecting a relatively undiversified set of instruments. Obviously there's more concentration risk here than I'd be happy with, but then I suppose you'd probably get the same with a static portfolio for the same capital. My positions in those instruments are the same sign as yours, if that gives you any comfort. Interestingly I don't really have much going on with equities and bonds right now, so it could be that this tiny portfolio gives you a fairly accurate representation of the unrounded portfolio. Code: daily_price_stdev annual_price_stdev price daily_perc_stdev annual_perc_stdev point_size_base contract_exposure daily_risk_per_contract annual_risk_per_contract position capital exposure_held_perc_capital annual_risk_perc_capital VIX 0.76 12.11 23.60 3.21 51.33 730.84 17247.74 553.37 8853.89 -2.0 353337.46 -9.76 -5.01 JPY 0.00 0.00 0.01 0.36 5.80 9135456.90 80145.36 290.53 4648.54 -1.0 353337.46 -22.68 -1.32 GAS_US_mini 0.15 2.47 4.06 3.80 60.83 1827.09 7408.86 281.66 4506.51 -1.0 353337.46 -2.10 -1.28 V2X 0.91 14.55 24.35 3.73 59.76 83.56 2034.67 75.99 1215.91 -3.0 353337.46 -1.73 -1.03 MUMMY 21.89 350.22 841.00 2.60 41.64 6.42 5401.57 140.59 2249.40 -1.0 353337.46 -1.53 -0.64 BITCOIN 1532.87 24525.86 42990.00 3.57 57.05 0.07 3141.87 112.03 1792.44 -1.0 353337.46 -0.89 -0.51 GOLD_micro 14.93 238.92 1815.10 0.82 13.16 7.31 13265.41 109.13 1746.08 1.0 353337.46 3.75 0.49 EU-DIV30 17.46 279.31 1995.00 0.88 14.00 8.36 16670.11 145.87 2333.88 1.0 353337.46 4.72 0.66 DOW 296.50 4744.06 35575.00 0.83 13.34 0.37 12999.76 108.35 1733.57 2.0 353337.46 7.36 0.98 IRON 3.41 54.62 125.10 2.73 43.66 73.08 9142.77 249.48 3991.72 1.0 353337.46 2.59 1.13 CORN 4.61 73.75 557.50 0.83 13.23 36.54 20372.07 168.44 2694.96 2.0 353337.46 11.53 1.53 SOYBEAN 10.55 168.84 1294.00 0.82 13.05 36.54 47285.12 385.60 6169.54 1.0 353337.46 13.38 1.75 CRUDE_W_mini 1.38 22.02 82.38 1.67 26.73 365.42 30101.33 502.92 8046.76 1.0 353337.46 8.52 2.28 COPPER 0.06 0.93 4.42 1.32 21.07 18270.91 80730.03 1063.28 17012.41 1.0 353337.46 22.85 4.81 HEATOIL 0.03 0.56 2.53 1.38 22.12 30695.14 77514.42 1071.46 17143.37 1.0 353337.46 21.94 4.85 GASOILINE 0.04 0.59 2.54 1.46 23.34 30695.14 77861.28 1135.83 18173.25 1.0 353337.46 22.04 5.14 AEX 7.80 124.77 785.15 0.99 15.89 167.12 131213.43 1303.19 20851.05 1.0 353337.46 37.14 5.90 For me at least we definitely need some better diagonstics on this fascinating process. I'm thinking maybe something along the lines of a factor decomposition of the raw unrounded portfolio and then of the rounded optimised portfolio. Rob
The above backtest was run with a 150k notional, I'm double checking the universe of instruments as perhaps there was missing data which caused a lack of position.
Interesting how you don't have BBCOM, rolling up your risk from broader commodities exposure perhaps.
Not related to trading but to long-term investing., what are the general theoretical\scientific views on these new(or not so new?) covered call-selling ETFs, do they have a place in a long-term investment portfolio or they're expected underperform the market because of fees and general upward movement of stocks ? Btw, futures-trading-wise - the last couple of days, and the last night specifically were kind of.. not good probably lost 3% or so..
Anyone trading IBKR LME OTC Futures? Aluminum has a much tighter spread than the NYMEX contract. Besides the higher trading fee and IB counterparty risk, are there any other drawbacks? Unlike IB CFDs, there are no swap fees, right? Thanks
I wonder how you have setup TSEMOTHR, I'm not seeing any prices for the June expiry which should be being used as the carry contract
Hi Rob, You have reported the following return on your Systematic Trading: 2014 >>> 124.0% 2015 >>> 23.0% 2016 >>> -14.0% 2017 >>> -3.7% 2018 >>> 1.0% 2019 >>> 7.0% 2020 >>> 0.3% Could you please explain the following chart? is this the growth rate of your capital? or it is your profit in million GBP? you mentioned you started with 300K Gbp. Did you add any money? how much you withdrawn from your profit? Thanks a lot YAD