Over the years I've found that futures are probably the best core instrument to use for algo portfolios because:
a) they are liquid
b) can be shorted easily with no complications
c) very liquid
d) very diverse and uncorrelated markets
e) provide leverage
f) with the micro contracts, can now be traded in small accounts
g) less operationally intense (one stock portfolio strategy requires you to reconcile hundreds of trades)
The easiest way I've found to create a non correlated and profitable portfolio is have a portfolio of strategies (10-20) on futures that are diversified across (long, short, mean reverting, trend and time frame). Stock strategies are great to add uncorrelated diversity but they are way more data intense and are difficult to trade effectively intraday as they are less liquid as a rule.
a) they are liquid
b) can be shorted easily with no complications
c) very liquid
d) very diverse and uncorrelated markets
e) provide leverage
f) with the micro contracts, can now be traded in small accounts
g) less operationally intense (one stock portfolio strategy requires you to reconcile hundreds of trades)
The easiest way I've found to create a non correlated and profitable portfolio is have a portfolio of strategies (10-20) on futures that are diversified across (long, short, mean reverting, trend and time frame). Stock strategies are great to add uncorrelated diversity but they are way more data intense and are difficult to trade effectively intraday as they are less liquid as a rule.
Rename
Seriously, what the request here?
We can use this topic for adding futures support to Monte Carlo Lab. We already support futures in core WL8.
I'll change the title.
I'll change the title.
I would tackle the data as a starting point as quality data is hard to find
a) Auto capture of underlying futures contracts data ( for a given future, generate all the contracts and capture the underlying tick data both historical and forward).
b) Ability to generate custom future contracts
Then I would create analysis tools that show biases (intraday and long term)
Sounds like Cone didn't have his coffee yet .;-) I was trying to share some experiences and incites on why I believe futures trading is a great avenue for some of the WL users to focus their efforts if they want to make money. Maybe lighten up a little bit. You guys at times have these biting responses that make people not want to share or collaborate.
Also, I am happy to code up much of these requests to improve the platform but I would need some guidance and help as I am not as familiar with the details of the platform as it is sometimes hard to just work from an API especially on projects that are extending existing functionality.
a) Auto capture of underlying futures contracts data ( for a given future, generate all the contracts and capture the underlying tick data both historical and forward).
b) Ability to generate custom future contracts
Then I would create analysis tools that show biases (intraday and long term)
Sounds like Cone didn't have his coffee yet .;-) I was trying to share some experiences and incites on why I believe futures trading is a great avenue for some of the WL users to focus their efforts if they want to make money. Maybe lighten up a little bit. You guys at times have these biting responses that make people not want to share or collaborate.
Also, I am happy to code up much of these requests to improve the platform but I would need some guidance and help as I am not as familiar with the details of the platform as it is sometimes hard to just work from an API especially on projects that are extending existing functionality.
We don't really have a desire to get more into the data business. There are already data providers that do these things, and we're connected to them, CSI and Norgate.
It seems like we'd be re-inventing the wheel here, or is there some value you think we could provide above what CSI and Norgate are already doing?
It seems like we'd be re-inventing the wheel here, or is there some value you think we could provide above what CSI and Norgate are already doing?
I trade futures, with or without café.
We certainly encourage new topics and conversation, but you marked a "feature request" to "give some love to futures". Glitch changed the title because he was able to read your mind.
What's "biting" about asking what you're requesting?
We certainly encourage new topics and conversation, but you marked a "feature request" to "give some love to futures". Glitch changed the title because he was able to read your mind.
What's "biting" about asking what you're requesting?
I like all of you guys and know how knowledgeable you all are, but I've been on and off this forum for about 20 years or so. You guys can come across a little bit impatient which is understandable given how much you guys have to do and accomplish. I could see though, new members who are maybe less experienced being intimidated by a curt response which would make them less inclined to interact on the forum. I think it would benefit the community to be a bit more frivolous and light at times instead of all business. Just my two cents.
You're reading a lot into, "Seriously, what the request here?"
Sessions:
For futures, you will often have strategies based on different sessions. Currently the session is linked to symbol in Markets and Symbols. The user is then limited to using only that one session filtered or unfiltered. Ideally you want the session to be defined with the barseries specification so that you can create many different types of barseries.
For futures, you will often have strategies based on different sessions. Currently the session is linked to symbol in Markets and Symbols. The user is then limited to using only that one session filtered or unfiltered. Ideally you want the session to be defined with the barseries specification so that you can create many different types of barseries.
Re: @mjj3 in Post #6 above
Unfortunately, I have to agree with you 100%, @mjj3.
Since my subscription to WL3, long ago, I've wanted to say something about this, but instead, I avoided the discussions forum, then cancelled my subscription for years as the result of it, until recently, only to find the same insensitive "attitudes" from the same sources. I wonder how many others feel the same way?
I believe the WL platform is amazing, and the people there must be brilliant in their own ways, but written communication is in need of real improvement. Maybe that should be placed on the "To Do" list, for votes ;-)
Unfortunately, I have to agree with you 100%, @mjj3.
Since my subscription to WL3, long ago, I've wanted to say something about this, but instead, I avoided the discussions forum, then cancelled my subscription for years as the result of it, until recently, only to find the same insensitive "attitudes" from the same sources. I wonder how many others feel the same way?
I believe the WL platform is amazing, and the people there must be brilliant in their own ways, but written communication is in need of real improvement. Maybe that should be placed on the "To Do" list, for votes ;-)
We'll try to do better!
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