Code: code contractid filled_datetime filledtrade filledprice 2849 AEX 201503 2015-03-04 08:02:38 -1 481.250000 2848 AUSSTIR 201603 2015-03-04 02:34:45 -1 97.980000 2850 US5 201506 2015-03-04 14:20:22 -1 118.867188 Slippage in GBP, for entire trade code gbpt_slippage_process gbpt_slippage_bidask gbpt_slippage_execution gbpt_slippage_all_trading gbpt_slippage_total 2849 AEX -247.44 7.28 -0.00 7.28 -240.17 2850 US5 -0.00 2.54 -0.00 2.54 2.54 2848 AUSSTIR 18.34 6.11 -12.23 -6.11 12.23 Total slippage: process -229.100000; bidask 15.930000; execution -12.230000; all trading 3.710000; grand total -225.400000 These are mainly risk reduction trades on the back of the recent drawdown. The AEX sample price was grabbed at closing time, and traded the next morning, hence the large positive price movement. Yesterdays LOSS: £1,645 Not much differently (I don't know if you are aware of this but I used to work for AHL). AHL also had a very high Sharpe last year. On a risk adjusted basis we're probably pretty even. I will soon post my simulated returns. The average SR from 1980 onwards is about 0.9. So in a similar ballpark. For what its worth: Reasons why AHL should do better than me, in order of importance: - Much wider set of markets traded; perhaps 300 versus 43. - Much lower execution commissions paid - Smarter execution algos, but more importantly experienced execution traders. - Large team of researchers refining and developing models Reasons why I might do better, most important first: - I have a lower allocation to trend following, so a more diversified style of trading. - There are no fees - Institutional pressures leading to models changing and frequent overrides (http://qoppac.blogspot.co.uk/2014/05/why-black-box-hedge-funds-should-have.html) - Smaller size, so lower slippage
I've finally got round to producing a new backtest which can be found here The bottom line is that the last year has indeed been exceptionally good, versus a realistic long run back tested Sharpe of 0.88. 2009, 2011 - 2013 are flat. However 2010 is more interesting, as my backtest made some money whilst the CTA industry generally didn't. I've done a bit more digging since I wrote that post and this is a further breakdown by trading rule: 'globaltrend', 'breakout', 'normmom' and 'momentum' are different flavours of trend following. Although AHL (and I guess other CTA's) use similar versions of these rules (with the possible exception of 'normmom' which is my own entirely original, though very simple, creation) they don't have them in the same proportions as I do. In particular 'momentum', which is an EWMAC system, was a relatively large part of a typical CTA system in 2010*, wheras I have a more equal weighting. The highest blue line (below the red line) is this type of system, which did the worst in 2010. This scale of outperformance may not be repeatable, but in general I think its better to have a spread of different kinds of trading rules rather than relying too much on one. * I have no idea what the typical proportions are now.
Nice work. Don't want to sidetrack this thread but I working on a system activator/de-activator algorithm and like to test it out on other people's return streams as a robustness check. Any possibility you could upload an excel file containing daily returns for each of your systems? If you'd rather not, I completely understand ...
Yesterdays trades: Code: Trades take 1 code contractid filled_datetime filledtrade filledprice 2851 AEX 201503 2015-03-05 08:04:21 1 485.050000 2855 AEX 201503 2015-03-05 12:26:36 -1 488.650000 2852 BOBL 201506 2015-03-05 12:09:07 -2 129.070000 2864 BOBL 201506 2015-03-05 12:59:29 -1 129.030000 2873 BOBL 201506 2015-03-05 15:00:27 1 129.270000 2853 BUND 201506 2015-03-05 12:13:02 -1 156.390000 2857 CAC 201503 2015-03-05 12:31:35 -4 4963.500000 2869 CORN 201512 2015-03-05 14:30:00 -3 413.750000 2876 CORN 201512 2015-03-05 16:30:08 -1 416.000000 2877 CORN 201512 2015-03-05 18:15:11 1 414.750000 2863 EDOLLAR 201809 2015-03-05 12:49:28 2 97.495000 2856 GAS_US 201505 2015-03-05 12:29:52 -1 2.825000 2858 GOLD 201506 2015-03-05 12:33:13 -1 1202.300000 2875 LIVECOW 201510 2015-03-05 16:45:21 1 146.800000 2866 NASDAQ 201503 2015-03-05 14:05:08 -2 4455.000000 2854 OAT 201506 2015-03-05 12:12:56 -1 153.540000 2867 SP500 201503 2015-03-05 14:05:40 -1 2101.750000 2868 US10 201506 2015-03-05 14:08:27 1 127.062500 2872 US2 201506 2015-03-05 14:23:08 1 109.226562 2871 US5 201506 2015-03-05 14:15:47 1 118.976562 2862 WHEAT 201512 2015-03-05 13:30:22 -2 529.000000 2865 WHEAT 201512 2015-03-05 14:30:03 1 528.500000 Slippage in GBP, for entire trade code gbpt_slippage_process gbpt_slippage_bidask gbpt_slippage_execution gbpt_slippage_all_trading gbpt_slippage_total 2857 CAC -652.72 7.25 -0.00 7.25 -645.47 2855 AEX -380.76 3.63 7.25 10.88 -369.88 2875 LIVECOW -162.55 13.00 -26.01 -13.00 -175.55 2856 GAS_US -133.29 9.75 -19.51 -9.75 -143.04 2862 WHEAT -97.53 16.25 -32.51 -16.25 -113.78 2876 CORN -105.66 4.06 -8.13 -4.06 -109.72 2863 EDOLLAR -48.76 8.13 -16.25 -8.13 -56.89 2851 AEX -65.27 7.25 14.50 21.76 -43.51 2858 GOLD -35.76 6.50 -0.00 6.50 -29.26 2867 SP500 -24.38 4.06 -8.13 -4.06 -28.45 2877 CORN -12.19 4.06 -8.13 -4.06 -16.25 2866 NASDAQ -3.25 3.25 -13.00 -9.75 -13.00 2872 US2 0.00 5.08 -10.16 -5.08 -5.08 2873 BOBL -7.25 3.63 0.00 3.63 -3.63 2869 CORN -0.00 -0.00 -0.00 -0.00 -0.00 2864 BOBL 14.50 3.63 -7.25 -3.63 10.88 2865 WHEAT 16.25 4.06 -8.13 -4.06 12.19 2871 US5 5.08 2.54 5.08 7.62 12.70 2852 BOBL 43.51 7.25 -0.00 7.25 50.77 2854 OAT 50.77 3.63 -0.00 3.63 54.39 2853 BUND 65.27 3.63 -7.25 -3.63 61.65 2868 US10 142.23 5.08 -20.32 -15.24 126.99 Total slippage: process -1391.760000; bidask 125.720000; execution -157.950000; all trading -32.180000; grand total -1423.940000 Lots of trading today, I'll explain why in a second P&L: £12427 Good day. Only about £3K below HWM at yesterdays close. Yesterday I made some changes to my trading system. I try and avoid changing it frequently. One of the issues with my professional career in this business is that system changes are all too common. Generally you should only change an automated system when you have new information, or a serious concern about its behaviour (a bug if you like). In this case after nearly a year of trading I felt I had some new information. Not about raw performance, a year being not enough to influence a 30 year plus year backtest, but about costs. Up to now I've run all instruments at the same trading speed. Now I feel confident about the numbers I have for slippage to use these to optimise my allocation to faster or slower signals differently for NASDAQ (which is very cheap) versus say AUSSTIR (which costs 40 times more). Theres a brief description of how this is done in the last post on my blog. In terms of making changes to trading systems its important to minimise the impact this has. The trading above (which fortunately cost me nothing in execution -minus £158 in fact) represents about half the adjustment. In other markets where I will be rolling in the next few days and I'm increasing my position it would be expensive to buy more of the current contract, only to sell it again into the roll. Better to buy more of the new contract once that is liquid enough. It's my judgement that this cost is higher than the expected benefit I'd get from moving to the new positions now. This also means I'm temporarily underrisked. I'm cool with this -better than the converse situation.
Thanks for the look at the backtest, so it's been 3 years since system made equity high, which parallels most trend following cta, drawdown seem shallow, good job nonetheless. What was your largest equity drawdown on backtest, did I see a dip in 1983?
Here you go. Although its .txt extension, its actually csv (ET won't let me upload .csv files). Missing data is blank. Each return is based on its contribution to my system. So if you want to use them in isolation you'll need to adjust them so they have the same volatility, unless you use Sharpe Ratio as your filter. Every time I've looked at this issue in the past I've got nothing significant. Partly this might be because when we do this we're already preselecting models that work. If you used some random data from arbitrary models you could . But then you would just end up with a glorified significance test, whereas I imagine what you're more interested in is some kind of time series prediction of whether a model will work or not in the next year ahead. I can't imagine that working in isolation, though some kind of conditioning variable might help. For example the level of interest rates might be an interesting one to look at. Good luck!
About 33% of capital. Yes, 1983 is the biggest; though there are only 4 markets with data then. The first interesting drawdown is 1994 (Fed tightening, particularly hits fixed income. Could have been worse, I guess it was for Orange county...).
thanks for uploading. I volatility normalized your different systems and fed the return streams into my system picker. I didn't come out well. It underperformed your equally weighted portfolio. In my research, system timing does work but it tends to be sensitive to the characteristics of the systems that are fed in and also the correlations within the basket.