*How has the increase of Automated Trading Systems (ATS) influenced the futures market?*

- CME transaction data identitifies ATS with the 1028 tag
- Data available from November 2012 to present
- Consider data form 2012 to 2016
- Use gradient plots to highlight the changes
- Graphs are interactive

- Limited, Local, Spectrum
- Less liquid parts of the curve
- Changes to macro
- Concentrated risk on asymmetric risk/reward trades

- Quantitative
- Harvest systematic alpha from large universe of commodities
- Rule based decision making process
- Strategies inspired by discretional methodology

\[ \text{Performance} = \text{Skill} \times \sqrt{\text{Breadth}} \]

- Flip coins in stead of futures
- The coin is biased - \(P(\text{heads}) = 0.51\)

- We have 1000 coins
- The minimum wager is 1 coin
- If you win you gain 1 coin
- If you loose you loose 1 coin
- There are 1000 tables with coin wagers
- Games runs in parallel

Two extremes

- Bet 1000 coins on one coin flip
- Bet 1 coin on 1000 coin flips

Single bet: \(0.51 \times 1000 + 0.49 \times (-1000) = 20\)

Multi bet: \(1000 \times [0.51 + 0.49 \times (-1)] = 20\)

The same expected return

Single bet: 49%

Multi bet: \(0.49 \times 0.49 \times \dots \times 0.49 = 0.49^{1000} \approx 0\)

- One coin per table

\[ \text{risk} := \text{std}\left\{1,-1,-1,1, \dots, 1 \right\} = 1 \]

- One 1000 coin bet, 999 zero coin bets

\[ \begin{align} \text{risk} &:= \text{std}\left\{1000,0,0,0, \dots, 0 \right\} = 31.62 \\ \text{risk} &:= \text{std}\left\{-1000,0,0,0, \dots, 0 \right\} = 31.62 \end{align} \]

Just like Sharpe Ratio

Single bet: \(\text{SR}_{\text{single}} = \frac{20}{31.62} =0.63\)

Multi bet: \(\text{SR}_{\text{multiple}} = \frac{20}{1} =20\)

\(20 = 0.63 \times \sqrt{1000}\)

\(\text{SR}_{\text{multiple}} = \text{SR}_{\text{single}} \times \sqrt{\text{Bets}}\)

\(\text{Performance} = \text{Skill} \times \sqrt{\text{Breadth}}\)

We use insights gained from years of fundamental trading to inspire bespoke quantitative strategies that are applied to a large collection of commodity markets

- We increase breadth or diversification by
- how,
- what and
- when we trade

- Continuous Futures Price Series
- We require long time series data
- Futures expire too soon to gather sufficient data
- How do you handle rolls?

- Non-stationarity of Price Data
- Time series data can only reliably be forecasted if stationary
- Machine Learning algorithms are designed for stationary features
- How do we create stationary data?