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Algorithmic Trading Strategies for Futures Market Success

Jacob Amaral, a quantitative trader and YouTuber, shares insights on algorithmic trading in the futures market. He emphasizes backtesting, diverse portfolio design, and risk management strategies to outperform traditional investments. Using Monte Carlo analysis and walk-forward optimization, Amaral's family office implements automated systems to remove emotional bias and maximize returns.

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Algorithmic Trading Strategies for Futures Market Success

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  1. JACOB AMARAL Quantitative Trader / Algorithmic Trader / Youtuber

  2. DISCLAIMER The information on this presentation deck is for informational purposes only and is not an offering of or a solicitation to purchase securities or otherwise make an investment. Everything communicated by Jacob Amaral and its affiliates and agents, regardless of whether it is written, spoken, recorded audio or video, is intended for informational purposes only. All comments are solely the opinion of the presenter.

  3. 3 o Currently work as a quantitative trader for a family office. Used to build software projects for brokers, firms and funds for 4 years. ABOUT ME o Trade my money with my trading systems. o Have a Youtube channel teaching people how to algorithmically trade and show my performance. o Studied computer science in college.

  4. 4 ABOUT ME o Currently work as a quantitative trader for a family office. o Trade my money with my trading systems. o Have a Youtube channel teaching people how to algorithmically trade and show my performance. o Studied computer science in college.

  5. WHAT IS ALGO TRADING? Algorithmic trading, also known as algo trading, is a method of executing trades using automated computer programs that follow predefined sets of instructions or algorithms. The algorithms are designed to analyze large sets of data, including historical price and volume data, market trends, and other relevant factors, to identify trading opportunities and execute trades with speed and accuracy.

  6. WHAT IS ALGO TRADING PT 2 Algo trading is widely used by institutional investors such as banks, hedge funds, and pension funds, as well as by individual traders. It allows traders to execute trades at high speeds and with high levels of precision, reducing the risk of human error and maximizing the potential for profit. There are various types of algorithmic trading strategies, including trend- following strategies, mean reversion strategies, and statistical arbitrage strategies. These strategies can be customized and adapted to meet the specific needs and goals of individual traders and investors.

  7. 7 HOW TO GET STARTED 1.) Pick a brokerage and platform that supports Algo Trading. I personally use Ninja Trader and Interactive Brokers. 2.) Set investment/trading goals you personally want to achieve. 3.) Build a portfolio of strategies that meet your investment needs.

  8. 8 ALGO TRADING BEST PRACTICES Backtest extensively. Include slippage and commission. Test out of sample. Trade different markets. Trade Long and Short. Test trading system in a simulation environment / paper account prior to running live.

  9. TRADING PHILOSOPHY Jacob Amaral specializes in the quantitative and algorithmic trading in the futures market using algorithmic trading systems. My goal is to find great edge in the futures market and outperform traditional investments using automated strategies that remove emotional bias.

  10. PORTFOLIO DESIGN PROCESS 1. Build a library of entry and exit ideas. 2. Test ideas with 10+years of accurate historical data. 3. Grade strategies based on Sortino ratio, pick top performing strategies. Each strategy must have greater than 10 yearly Sortino ratio. 4. Run correlation analysis, strategies must be less than 60% correlated to one another monthly. 5. Test strategies in a live simulation environment to ensure robustness.

  11. PORTFOLIO DESIGN PROCESS PT2 1. Built over 500 strategies and have narrowed down to 38 that pass our criteria. 2. Use yearly walk-forward analysis to ensure we are not overfitting our strategies on previous historical data. 3. Use Monte Carlo analysis to test robustness of portfolio. 4. All strategies trade long and short with a slight bias to the long %. 52% long strategies and 48% short strategies with a focus on intraday.

  12. WALK-FORWARD OPTIMIZATION Optimizes strategy parameters with recent data to adapt to current market conditions. We use this on individual strategies.

  13. WALK-FORWARD OPTIMIZATION

  14. RISK STRATEGY MONTE CARLO Simulation to predict the probability of a variety of outcomes with our trade data. Randomizes the order of our previous trades profit or loss that allows us to determine the risk of ruin of a portfolio, our required capital and helps us forecast returns of a portfolio with multiple strategies. See next slide for example.

  15. PORTFOLIO DESIGN PROCESS PT2

  16. TRADING PHILOSOPHY Jacob Amaral is a Family Office that specializes in the quantitative and algorithmic trading in the futures market using algorithmic trading systems. Our goal is to find great edge in the futures market and outperform traditional investments using automated strategies that remove emotional bias.

  17. TRADING PHILOSOPHY Jacob Amaral is a Family Office that specializes in the quantitative and algorithmic trading in the futures market using algorithmic trading systems. Our goal is to find great edge in the futures market and outperform traditional investments using automated strategies that remove emotional bias.

  18. TRADING PHILOSOPHY Jacob Amaral is a Family Office that specializes in the quantitative and algorithmic trading in the futures market using algorithmic trading systems. Our goal is to find great edge in the futures market and outperform traditional investments using automated strategies that remove emotional bias.

  19. TRADING PHILOSOPHY Jacob Amaral is a Family Office that specializes in the quantitative and algorithmic trading in the futures market using algorithmic trading systems. Our goal is to find great edge in the futures market and outperform traditional investments using automated strategies that remove emotional bias.

  20. 20 AREAS OF FOCUS Quantitative Portfolio diversification Long term goals o Capitalize on repeatable patterns and volatile moves. o Explore more exotic futures markets such as currencies, commodities and international markets. o Invest in multiple uncorrelated strategies. o Build multiple different quantitative portfolios that are custom tailored to the arch. o We build strategies through rigorous analysis, back testing, walk-forward and out of sample testing. o Outperform traditional investments and build a track record to take on outside investors. Jacob Amaral

  21. 21 TECHNICAL STACK o Use the NinjaTrader platform to run, build and test automated strategies. o C# Microsoft .NET programming language for strategies. o AWS EC2 servers to run production and development environments. Jacob Amaral

  22. 22 INTERNAL TOOLS o Jacob Amaral builds and uses proprietary internal software tools to generate automated strategies using artificial intelligence. o Use Grid searching techniques to find high alpha strategies that perform out of sample and have high Sortino ratios. o Rigorous testing process by team. Jacob Amaral

  23. SUMMARY Using smart analytics and predictable patterns, Jacob Amaral finds edge in the futures markets and truly believes it can outperform most traditional investments.

  24. THANK YOU Jacob Amaral Jacob@wetradelabs.com Youtube : Jacob Amaral

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