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Portfolio123 » List all forums » Forum: General Comments » Thread: Recommendations for backtesting futures? |
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olikea
Advanced Member
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I think now is the time to start thinking about trading strategies beyond stocks, such as Forex and Futures, and it would be nice to trade the S&P500 futures to dynamically hedge stock portfolios. Does anyone have any recommendations? I have looked at TradingBlox and Tradescision, but they are a one-off fee over $1000 seems like quite a lot without having further information. Any thoughts? Anyone used a good system? |
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o806
Advanced Member
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olikea: I do not trade futures, but here are some leads that might work for you. Have a look at Amibroker. I have used it for stocks and it is very fast. Also its programming language is extremely flexible. For the realtime version that can draw data from Interactivebrokers, there is a one time fee of 259 USD which includes 1 year of upgrades. If you do not need realtime, the standard End of Day version is 189 USD. The developer lives in Poland and support is quite good. I think it is a two man operation: the designer/program has a Ph.D and the support person has a Masters. You can download a demo of the newest release 5.0 If it is like past demos it is fully functional except that you can not save your work. http://www.amibroker.com/ http://finance.groups.yahoo.com/group/amibroker/ Also have a look at the Yahoo users group. It is a helpful group and the developer often posts replies as well. Just identify yourself as a new user interested in developing futures systems. Someone will likely be able to point you toward a source of free historical data. That will be good for learning. But once you start trading your two common choices for futures data are: www.csidata.com (reasonably priced, also claims to have the cleanest EOD futures data around). www.esignal.com (expensive but a good way to go if you want to get real-time futures data). www.interactivebrokers.com (no additional charge for downloading free real time data into Amibroker, but back filling of data can be iffy, so if esignal is the better way to go if it can be fit in the budget). Brian (o806) |
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o806
Advanced Member
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olikea: Have you read the Way of the Turtle by Curtis Faith. If not, it is well worth taking a good look at. According to Van Tharp, this is one of five best trading books of all time. Faith focuses on futures trading so it is directly relevant. Faith averaged 80%/year trading futures before moving into software development. He thinks that an account of 1-2 million is needed if one is to be adequately diversifies by market (FX, grains, etc.) and by strategy (trend following, etc). It is going to be a few years before I get close to have that much capital. Brian ---------------------------------------- [Edit 1 times, last edit by o806 at Nov 21, 2007 1:22:10 AM] |
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dwpeters
Advanced Member
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Hi, For what it's worth, back in 98 I looked into futures because I couldn't make sense of what was happening with stocks. Hearing so much about the Turtles led me to look at long term trend following - and I've seen a research paper that proposes that for futures long term strategies are profitable because the long term speculators are buying risk from those who hedge, and they only do so because they are rewarded for doing so. - I think this was referenced in Evidence Based Technical Analysis. Problem with the long term strategies is that they require a large account and are still very volatile ... and I don't know of any short term strategies that are any better. Trying to decide how to limit account size and number of assets to trade led me to relative strength and ETFs. Denny has talked about such a strategy in these forums and variations are referenced numerous places: The Hedge Fund Edge, ETF Trading Strategies Revealed, NoLoadFundX - one of top ranked newsletters long term by Mark Hulbert - and they disclose their methodology, DecisionMoose.com appears to use a variation. Bottom line, rotating among the top relative strength ETFs is simple and effective, though I recommend some method of risk control as well otherwise drawdowns can be large. Such methods can be used with short funds as well. I have nothing against futures, I just decided that there are many ways to make money and it was possible and probably easier to do so in stocks/funds regardless of the market environment. So I wound up back where I started. Don |
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o806
Advanced Member
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Don: Thanks for sharing. The show stopper for me is the large account size needed for adequate diversification with futures strategies. One of the reasons I like Decision Moose is that it goes beyond stocks since it includes Bonds, TBills, and Gold. By the way, DecisionMoose nearly doubled its money in 7 months by switching into a Gold ETF (ASA) in late 2001. But I still wish I could get greater diversity through more commodities than DecisionMoose considers. One solution to the account size problem might be the new commodity type ETFs from Barclay's etc. mutualfunds.about.com/od/etfs/a/cometfs.htm seekingalpha.com/article/14222-barclays-new-commodities-etf-now-trading . The second URL raises the issue of how these ETFs might be constructed (buying futures contracts versus CERF options method). Does anyone know how the commodity ETFs compare to Futures? Can one take a strategy proven in the Futures markets and assume it will work on comparable commodity ETFs? Or will things be different due to differences in leverage? Anyone tried this? Brian (o806) |
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o806
Advanced Member
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I just learned that commodity ETFs are sometimes called EFCs (Exchange Traded Commodities) or ETNs (Exchange Traded Notes). This might help with doing a Google search. Here is another URL highlighting the ETC risks depending on how the ETC is constructed: does it buy futures contracts or not. In the later case the ETC claims to directly track the relevant commodities index and thus it is just be a "promise" of the ETC manager to make good. http://en.wikipedia.org/wiki/Exchange-traded_fund#Commodity_ETFs And yet another URL to a very recent summary (Nov. 2007) http://www.etftrends.com/commodities/index.html Well, there is a lot to figure out. Not just which commodities to trade, but which type of ETF/ETC/ETN to use. Perhaps I should just wait a while to see it the picture is clearer after the dust settles. Any insight would be appreciated. Brian |
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