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OmniTrader Upgrade Forums Futures and Forex ATM with Futures to cure World Hunger and Cancer		Last Activity 10/1/2024 8:55 AM 3 replies, 1264 viewings

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LSJ

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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 <:)

[Edited by LSJ on 10/7/2018 8:17 PM]

Attached file : ATM Futures PS.jpg (139KB - 707 downloads)

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AlanD

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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

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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! <:)

[Edited by LSJ on 10/8/2018 6:21 AM]

Attached file : FutPerfSum.jpg (248KB - 635 downloads)

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LSJ

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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.

[Edited by LSJ on 10/13/2018 10:07 PM]

Attached file : Futures Natl Debt.jpg (132KB - 554 downloads)

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