OmniTrader Forum - Futures and Forex
ATM with Futures to cure World Hunger and Cancer
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LSJ

Posts: 515

Joined: 8/17/2006
Location: Citrus Springs, FL

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Subject : ATM with Futures to cure World Hunger and Cancer
Posted : 10/7/2018 7:58 PM
Post #45549
As previously posted the inherent leverage in futures contracts greatly magnifies returns when used in conjunction with ATM % of equity. The calculations in Port Sim actually exceed the capability of OT so limits have to be placed.
Just for the fun of it this is a $100K acct with no leverage, 10 years with 2% of equity and including commissions.



This scenario is based on 40 futures contracts all classes from agricultural, metals, energy, currency, etc. The most profitable position was a six-week trade in Lean Hogs which netted $867K. The biggest loser was a soybean meal trade which lost $322K.

Now, back to work <:)

Attached file : ATM Futures PS.jpg (139KB - 715 downloads)

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AlanD

Posts: 35

Joined: 12/1/2006
Location: Waipio, Hawaii

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Subject : RE: ATM with Futures to cure World Hunger and Canc
Posted : 10/8/2018 1:22 AM
Post #45551 - In reply to #45549
Larry,

Thanks for sharing. That is an interesting finding. I am not that familiar with using OT for futures trading. How did you chose those 40 contracts to get the year over year performance metrics? Were those contracts continuous? Did you use filters for a certain amount of volume or other metric?

Thanks,
Alan
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LSJ

Posts: 515

Joined: 8/17/2006
Location: Citrus Springs, FL

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Subject : RE: ATM with Futures to cure World Hunger and Canc
Posted : 10/8/2018 6:20 AM
Post #45552 - In reply to #45551
Here's the Perf Sum and the focus list.

The suffix on the symbols shows that it is a Perpetual contract and the rollover parameters. The HRE data is the current front month. Backtesting is on a man-made contract but it represents the price action and hopefully gives an indication of performance.

(I once thought about retiring in Hawaii but man do you have to get up early to trade! <:)

Attached file : FutPerfSum.jpg (248KB - 644 downloads)

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LSJ

Posts: 515

Joined: 8/17/2006
Location: Citrus Springs, FL

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Subject : RE: ATM with Futures to cure World Hunger and Canc
Posted : 10/13/2018 9:58 PM
Post #45577 - In reply to #45549
In the previous Port Sim post there was some duplication of contracts, RTH and Globex.
Here it is with a cleaned up list, $25K, no leverage and 10 years. OT had previously stumbled on the big number but it came through this time. We can throw in paying the national debt, too. That final number is $340,796,300,000,000,000,000.00. Obviously this is % Equity run amuck.

I am not doing tricks here. These are OT calculations the same as for any portfolio.

Attached file : Futures Natl Debt.jpg (132KB - 564 downloads)


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