LSJ Legend  Posts: 515 Joined: 8/17/2006 Location: Citrus Springs, FL  User Profile | DDiamondjag: I have used a couple different futures data vendors. They all have some form of continuous contract that is composed of rolling to the next active month based on some criteria. Typically when the volume or open interest is exceeded or a fixed number of days. Dealing with rollover gaps is handled usually by back adjusting. So, no matter what, it isn't perfect but any signals generated are on the HRE which is current price. Mark: Generally I have observed that using strategies that use pivot points to exit is a bit too much latitude given the high leverage of a futures contract. Taking the eMini S&P 500 the price factor is $50/point. Looking at a daily chart with medium pivots, 100 points or more between the pivots is not unusual and that is, of course, $5000. For that reason I prefer using a fixed stop based on a stop level determined with technical analysis. In the futures portfolio run all I did was add a fixed loss stop to the strategy that used pivot points. The idea being that it would stop out at a smaller loss before getting to a pivot based stop which could be a huge loss. That brings me to the discussion I started on your thread which Jim moved (a good thing). I would prefer to allocate trades based on actual risk. If I take a futures position on the eMiniS&P 500 I may find an entry and stop point which are $500 apart. That risk then is what I want to use as an allocation criteria, not a % of equity or the margin required. There would still need to a calculation to make sure enough equity was available to cover the margin even though the risk was a lot less. I am not sure how OT is calculating the % of equity for taking a futures trade. Ideally it should be using the margin in the futures database. I have exported trades to an Excel which I will go over tomorrow but it does look as if the % equity is being used for the futures margin in the database to determine how many contracts to trade. The performance of the portfolio is mostly due to the leverage of the futures contract itself. Even though no leverage is applied to the portfolio, the futures contracts range in leverage up to 30 times. (At today’s prices and required margin the Emini S&P 500 leverage is 22:1). I just began experimenting with ATM and futures and am in the early stages. I have just been throwing jelly on the wall to get a feel for it and not keeping meticulous records yet. I have to admit I have not been able to reproduce the curve I posted but the results are still Avg Ann ROI in the 100’s of %, Calmars of over 10 and avg ann MDD of 10 to 15%. I don’t think all the gears mesh with futures and ATM but I will keep experimenting. There is a lot of very good data for futures on which to base market states and filters. Intercommodity correlations, seasonality, commitment of traders all figure heavily in futures trading and would be interesting to crank into ATM methods. As always if anyone differs with any of this I want to hear it. | |
