Quantitative Strategy FGBL Futures

Some time ago, I was checking some charts when I decided to create an algorithm. The product chosen was the FGBL, the Euro-Bund futures. Basically, I thought that was a relationship between the past and the future. It sounds familiar, doesn't it? I found the historical and I started working on it.

First I run the strategy without any stop or money management strategy but I was disappointed with the results. Sadly I don't have any screenshot of that.

Second, I decided to apply risk management and limit the amount I could lose.

This improved a lot the strategy but I wasn't happy at all. Using my background, reading, and learning, I started applying money management. It had a better risk-reward, but it was riskier. I backtested this system from the 04/01/2016 to the 30/12/2016.

These are a couple of tables that explain some ratios: 

Initial Portfolio 50000 euros Final Portfolio 77140 euros Annual Return 54,28% Positive days 457 Negative days 548 Positive trades (% of the total) 44,46% Negative trades (% of the total) 53,31% Mathematical Expectancy 9,1299 Positive days average 192,36 euros Negative days average -143,99euros Max Drawdown 28,55%

Portfolio value	Lots	Max risk per trade
40000 euros	3	1.5%
60000 euros	4	1.33%
80000 euros	5	1.25%

Please have in mind that I haven't included the cost of trading (execution costs, market data, trading platform) I believe that the execution cost would be around 12-13k, so the profit would be half of the figure shown above. It's riskier than a normal hedge fund because they normally have less than 20% drawdown. The asymmetric leverage is really important. I've never traded with this system and I can adjust the risk management and the money management to meet certain goals. I should have backtested at least 5 years and then do the out of sample to check that it behaves like the backtested sample. This is only an example of how to design a trading system. 

Disclaimer

I wrote this article myself, and it expresses my own opinions that shouldn't be used as a trading advice. Trading carries considerable risk due to the high leverages involved