OmniTrader Upgrade Forums
Futures and Forex
ATM Futures Performance
3 replies, 1257 viewings
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OmniTrader Upgrade Forums
Futures and Forex
ATM Futures Performance
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Last Activity 10/1/2024 8:55 AM 3 replies, 1257 viewings |
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LSJ Legend  Posts: 515 Joined: 8/17/2006 Location: Citrus Springs, FL  User Profile |
The results make me feel like I am on something! Because of the % of equity discussed previously this profile has been restricted to a maximum of three contracts so that no matter if the % equity is based on the price or the actual margin as appears in the database there is sufficient capital in the account either way. I could not determine how OT was calculating this. An export of the trades to Excel allowed a determination that the P&L is actually the running total of the original balance plus wins and and losses and the trade wins and losses are accurate and based on the point value in the futures database. There are 32 futures across the spectrum of agriculture, metals, energy, interest rates and equity indexes. On the first run there were very large losses in the softs (coffee, cotton, etc.). The strategies used are Breakout, GMMA and Trending. These were modified using a trade plan and a fixed loss stop to keep the huge leverage from making very large losses before reaching a pivot. These changes did not improve the loss situation much with the softs so they were removed (leaving 32 distinct futures). So, $25000 to almost $10 Million in five years including commissions with an avg annual DD of 3.1%. Not that I would expect this to take place but I will trade it in paper and see what happens. The difficulty is that testing is done on a continuous contract which can't be traded but and signals need to be manually translated to a current contract and the order placed. I'm interested to see any and all comments that other users may have. [Edited by LSJ on 8/28/2018 12:50 PM]  Attached file : Futures Equity Curve.jpg (455KB - 624 downloads) | ||
| Diamondjag Veteran   Posts: 270 Joined: 11/25/2006 Location: Brighton, Co. User Profile |
[Edited by Diamondjag on 8/28/2018 2:09 PM] | ||
| mholstius Veteran Posts: 175 Joined: 1/13/2017 User Profile |
You mention using a "fixed loss stop to keep the huge leverage from making very large losses before reaching a pivot". Can you go into more detail about how you're using pivots? I ask because they're known to be great in the BT (when they're known points), but have definite lag at the right edge. Just curious - thanks for sharing your testing and impressive results, Mark | ||
| LSJ Legend Posts: 515 Joined: 8/17/2006 Location: Citrus Springs, FL User Profile |
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. |
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