A fully automated trading plan for futures
As you will remember, in Chapter 1, we discussed the different levels of automation in algorithmic trading. In this section, we are going to provide instructions to start a real fully automated trading plan on a four-futures portfolio. For educational purposes, in this chapter, we will apply a time breakout strategy to the following futures:
- E-mini S&P 500: This represents the US standard S&P 500 index
- Gold: The precious metal that is often traded as a commodity and used as a safe-haven investment during times of economic uncertainty
- T-note: The marketable US government debt security, with a fixed interest rate and a maturity between 1 and 10 years
- Yen: The official currency of Japan against the US dollar
A trading strategy incorporating E-mini S&P 500, gold, T-notes, and yen offers significant advantages due to the typically low correlations among these assets; during risk-on periods, investors prefer...
