Futures Markets

[JulianCohen]

Said Bitar wrote:

I have no experience/idea about this so maybe what i will say is complete nonsense but if the ETF is tracking the exact performance of the CTA why would people put their money in CTAs and pay management fees and performance fees if they can get the same if not better by trading the ETF of the CTA. What i want to say it sounds like a bad trade for the CTA .

One advantage for the CTA is it makes their product more easy to use for the layman. As a customer you don’t need to set up a futures account and go through all that hassle. You just buy a mutual fund. Everyone knows how to do that, so it makes the process less intimidating. The CTA gets more business by diversifying his product.

[JulianCohen]

If you are interested in Futures and the CTA’s performance have a look here:

http://www.automated-trading-system.com/trend-following-wizards-july-2/

My results for this year so far are exactly the same as theirs. So I’m in good company at least…..

[SaidBitar]

feels good when you know you are not in the shit alone

i have almost the same results for the year on stocks the last two months are disasters

[Nick Radge]

And I think the average quant hedge fund return for the year is -1.5%. Tough for the heavyweights…

[JulianCohen]

Said Bitar wrote:

feels good when you know you are not in the shit alone

i have almost the same results for the year on stocks the last two months are disasters

My Share account is up 7% YTD so it has rescued me from having a horrible year.

[JulianCohen]

So far…….

[ScottMcNab]

Was browsing through followingthetrend.com after reading Maurice’s info re Amibroker and right edge…found this

Seems great results for something so simple…and would be great to have some markets not correlated with stocks as has been mentioned in futures and ETF posts previously…

but do the results depend heavily on the
actual futures selected ? I have found I can get results that look great with ETFs if I just try enough variations in the basket of ETF’s in the backtest

Has anyone who has backtested with futures tried this rule of Clenows ?

Is another issue the large range of markets needed for diversification making it impractical for the average investor?

Thanks in advance

[JulianCohen]

Scott I believe the idea behind posts like these from Andreas is to demonstrate that a simple system can have great results….BUT it is not as simple as that. As we know from our tests of selection bias, a system with results of 35% CAGR and 10% MDD can look great initially but actually be impossible to replicate in real life. If you posted one of your systems that you had tested with 60% selection bias then it would read the same. Buy when the close is over the 100 day moving average and when the market has had 2 lower lows. Sell on next highest close. That will give you a great CAGR and low MDD but we all know that the selection bias will kill the system.

I think Andreas is trying to show you that it is easy to build a system that gives you great results but he always says that to trade it would require more work. This is due to the selection of the markets, and correlation coefficient rules that you might or might not choose. As you have found if you juggle the ETFs in just the right way you can get great results. Add/subtract one more and it all goes pear shaped? Then you know that’s not a system you want to trade.

Andreas goes into the market selection process in his first book on futures trading and how to choose the markets to trade and the various ways you can split them up to control the correlation. It’s a good read.

[Nick Radge]

You’d need very deep pockets to trade that on futures contracts…

Unholy Grails, page 55, had a New Yearly High strategy, albeit long only and without vola position sizing.

[ScottMcNab]

Julian Cohen wrote:

Scott I believe the idea behind posts like these from Andreas is to demonstrate that a simple system can have great results….BUT it is not as simple as that. As we know from our tests of selection bias, a system with results of 35% CAGR and 10% MDD can look great initially but actually be impossible to replicate in real life. If you posted one of your systems that you had tested with 60% selection bias then it would read the same. Buy when the close is over the 100 day moving average and when the market has had 2 lower lows. Sell on next highest close. That will give you a great CAGR and low MDD but we all know that the selection bias will kill the system.

I think Andreas is trying to show you that it is easy to build a system that gives you great results but he always says that to trade it would require more work. This is due to the selection of the markets, and correlation coefficient rules that you might or might not choose. As you have found if you juggle the ETFs in just the right way you can get great results. Add/subtract one more and it all goes pear shaped? Then you know that’s not a system you want to trade.

Andreas goes into the market selection process in his first book on futures trading and how to choose the markets to trade and the various ways you can split them up to control the correlation. It’s a good read.

Thanks Julian. I assumed he would have the equivalent of positionscore in rightedge if he wasn’t using a buystop or buylimit order. The results struck me as too good to be true (how many CTA’s are reporting those metrics long term !!) but I hadn’t considered it may be selection bias….futures are a market I know very little about but I thought I would pop his quote up here as a talking point.
Cheers

[ScottMcNab]

Nick Radge wrote:

You’d need very deep pockets to trade that on futures contracts…

Unholy Grails, page 55, had a New Yearly High strategy, albeit long only and without vola position sizing.

Interestingly I actually pulled out my copy and read that section after I read Clenow’s post.

[Nick Radge]

The key to successful trend following is not necessarily the system. All basic trend style systems will generate a return. The two things you need are:

1. correct position sizing to withstand the streaks of losing trades
2. the discipline and tenacity to stay the course for the long term – which very few people can’t do.

This is my gripe with Michael Covel. He espouses the benefits of trend following, which I agree with, but rarely, if ever, does it discuss the psychological difficulties of actually doing it. I have actually asked him to bring it up in his interviews but he shrugs it off (obviously bad for sales). I suspect that he doesn’t actually trade – otherwise he’d address it in a helpful way.

I think the Jerry Parker interviews are possibly the most valuable in the trend following space – system simplicity and taking the long term view.

[ScottMcNab]

Along that line of though re TF systems, I took some data I had for LSE and ran rotational system over current consituents of FTSE 100…problem with survivorship bias as not Norgate but its school holidays so any excuse to hide in the office for a bit….data from 2005 to 2017…only change to code was UKX as index….results were around the often quoted TF returns… 15% cagr/25% max dd….not going to win any competitions but would take that over the next 20 years

[ScottMcNab]

Julian Cohen wrote:

Equinox run three CTA mutual funds. They have chosen three legends of the CTA universe, Parker, Campbell and Crabel.

https://equinoxfunds.com/strategies/single-strategy-mutual-funds/equinox-chesapeake-strategy-fund

https://equinoxfunds.com/strategies/single-strategy-mutual-funds/equinox-campbell-strategy-fund

https://equinoxfunds.com/strategies/single-strategy-mutual-funds/equinox-crabel-strategy-fund

Campbell and Chesapeake (Jerry Parker) are Trend Followers and Crabel is a mean reversion strategy. I am thinking of just holding a combination of the three. I would do it as Buy and Hold. You could probably set up a watchlist and actually trade them according to your own recipe if you wanted to but either way you have a relatively easy access to three of the best CTAs. I looked on IB and you can buy them through the fund section of the order ticket which you have to enable in permissions.

One other one to look at. HTUS which is a stock ticker. This is Hull Trading and his S&P stock fund. He is another Market Wizard legend.

I just thought this might be a great way to add these CTAs into your portfolio without the hassle of trading futures and all this entails: watching for the contract rolls, watching for when they change the tic values, paying high execution fees, diversifying across a number of markets and currencies etc etc…

Pardon my ignorance but is it possible to invest in the funds like these and Winton directly or are they not available to retail investors ?

[ScottMcNab]

PS…i have used google but remain confused….Winton does seem to allow for “qualified” investors…not sure if drawbacks or benefits to going down either path

[Author]

Posts