Welcome to my online repository of research and insights on automated trading system development
They say any publicity is good publicity… If that’s the case, Standard and Poor’s might have achieved the “marketing coup” of the year/decade/century (time will tell) with their downgrade of US credit rating last Friday (possibly thanks to a $2 Trillion Mistake). SGMI: a new Trend Following Index But this is not the piece of [...]
Entries Tagged as 'Futures'
S&P make the news… with a Trend Following Index
August 10th, 2011 · 34 Comments · Equities, Fund Review, Futures, Trend Following
Tags:
Futures Trading and Small Account
July 12th, 2011 · 17 Comments · Futures, Money Management, Strategies
I recently spent more time doing “reading research” rather than “testing research”. As result, this post resembles a collection of links on ideas seen on the web of how to trade futures with a small account – one of the topics I have been interested in. The Issue: Diversification with Small Account A small account [...]
Tags: diversification
ETF v. Futures: a Quantification
February 9th, 2011 · No Comments · Code, Data, Equities, Futures
I have already covered the idea of using ETFs in place of Futures. Today, I wanted to run a quantitative comparison between the two instrument types The ETF sector has been growing at an impressive rate, with new offerings popping up every month and providing a wider choice in selecting a portfolio to trade. One [...]
Tags: correlation·etf
Futures vs ETFs
September 21st, 2010 · 2 Comments · Futures, Instruments
Futures have been the main focus on the Au.Tra.Sy blog (in terms of instruments) but the ETF side of things has grown quickly very over the last decade and they do offer an alternative worth looking into. Smaller Trading Size = Greater Diversification I am a great believer in diversification. I think it is an [...]
Tags: etf
VIX, Peso… Sometimes you just cannot trade it!
August 9th, 2010 · 5 Comments · Futures
Or a case for going short VIX despite high bullish consensus? I have been going on about roll yield and term structure for a few posts, and through two very concrete examples we’ll see how it can affect your trading and system development A reader recently mentioned a paper (pdf by Sloyer and Tolkin) presenting [...]
Tags: peso·roll yield·VIX
Better Trend Following via improved Roll Yield
July 26th, 2010 · 28 Comments · Futures, Strategies, Trend Following
To round off a series on backwardation, contango and roll yield (posts 1, 2 and 3), let’s put all this info together and use it in an innovative trading strategy to show how it can improve the performance of a Trend Following system by optimising its roll yield component (note: this could also be applied [...]
Tags: DB·roll yield
