Futures Markets

[Nick Radge]

A qualified investor is like a sophisticated in Australia. A direct investment into these types of programs usually start at $1m which is why many have released funds.

[ScottMcNab]

Ok…thanks Nick…funds it is

[JulianCohen]

Winston is probably 1 mill minimum but the Equinox funds you can buy into with I think 30K min, maybe less as it is a mutual fund. I tried to buy them with IB but I think you have to be a US resident to do it.

[ScottMcNab]

Conflicted about whether worth it at all…when one of the best in the world (Winton) returns 11%….understand diversification is desirable but how many of us here have designed and are trading systems with a 8-12% returns ?

Aus market gives some diversification but come 2008 type events correlation is highest when don’t want it.

If only could get those commodity etf’s to look better..

short index futures ?….options out as no data from norgate…

[RobGiles]

Was wondering if anyone has looked at, heard about the merits of Larry Williams’ University Trend Trading Stocks, Futures, & Commodities course? I understand that his stocks systems have been heavily data mined, but what about his futures education? probably the same I’m guessing.

[JulianCohen]

Rob Giles wrote:

Was wondering if anyone has looked at, heard about the merits of Larry Williams’ University Trend Trading Stocks, Futures, & Commodities course? I understand that his stocks systems have been heavily data mined, but what about his futures education? probably the same I’m guessing.

With no knowledge what so ever, one would have to assume that they would be heavily data mined

[RobGiles]

Thanks Julian,

What are people’s thoughts on systems that are backtested on single futures instruments like the various e-mini future contracts, or specific commodities contracts?

[TimothyStrickland]

Depends on the system but I would expect significantly less signals than one could get using stocks. I have traded Futures before and it has an immensely smaller universe to choose from and if you limit yourself to one market then also a lot less trades. The other big problem to focusing on 1 market is the lack of robustness that Nick talks about. Futures also adds the additional complexity of contract expiration dates, I would think this would be challenging to code, not impossible but definitely not in the scope of the course. US Markets (at least) are also highly leveraged at 50:1. Unless you have a sizable account the risk % could quite possibly be very large, this does vary depending on the contract, for instance you could trade a futures currency pair like the Mexican Peso which has lower risk then say then say Crude Oil, both because of the contract size and the volatility. That’s my 2 cents at least.

[Nick Radge]

Coding on a single market is easy enough.

You would need to ensure the strategy was robust, i.e. was based on a large sample of trades.

[TimothyStrickland]

My biggest with futures was always the risk involved. It seems incredibly difficult to increase your risk incrementally in futures because the contracts are leveraged so highly, that is one of the reasons I moved to Forex and Stocks. Maybe Nick knows a way around that?

[Nick Radge]

Yes, almost impossible for smaller capital. Really need a decent account size.

[RobGiles]

Thanks guys, Yep understand the account size issue. That’s not my concern it was more the ability to develop robust strategies on a single instrument with the aim of combining multiple single instrument strategies into a futures portfolio, with the aim of adding non or low correlated systems to my equities systems.

There’s a a lot of people spruiking algo trading education in this domain (e.g. the guys from Better Trading Acadamy, the guys mentioned by Petra Zacek in Better system Trader’s recent podcast (andrea unger, & Kevin Davey who won the world trading championships – whatever TF that is)). Any one had experience with any of these people?

[Nick Radge]

These guys are well known, and they all trade data mined systems.

I think both have courses which may be interesting to assess. No doubt you will learn some good stuff, just be wary of data mining is all.

[RobGiles]

Good on you Nick, as always your opinion is highly valued.

Just be sure I’ve got this right, if these guys are consciously trading data-mined systems, their approach must be to continually re-optimize these systems to current market conditions, or have some kind of rule that stops them from trading once the system has been unprofitable for a give length of time?

[Nick Radge]

I would assume both; reoptimisation – maybe daily or even weekly and also some mechanism, such as an equity curve stop, to halt trading.

There is another guy in New Zealand called Tim Rea who apparently trades over ‘100 systems’. I would assume that they’re all single market systems that trade once every so often.

Just my guess…

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