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Futures Trading Strategy Comparison

This image is an example of the type of display that is possible with American Image, Inc.'s JOHO system. It shows 2,976 data points in one comprehensible view.

Image Layout

Each column in a panel represents one of the sixteen commodity futures. The names of the commodities appear at the bottom of each column.

Each row of a panel (too small to see unless you magnify the panel) represents one trading day. The panel covers the fourth quarter of 1992. The beginning and ending dates are labeled on the left side of each panel.

Panels #1 and #2 show the results of two different trading strategies for the futures through the entire period. We assumed 16 different accounts, and started with $1,000 worth of the futures shares and $10,000 cash in each account. Each day we traded based on a combination of the previous day's closing price, volume, and open interest.

In the top two panels, each cell indicates the amount of money (cash + shares) in that account on that day. The legend at the right of each panel shows how to translate the colors in the panel into dollars. We use warm colors (yellow, red, white) to indicate increases over the initial $11,000 in each account, and cool colors (green and blue) to indicate decreases.

Image Interpretation

Inspection of panel #1 shows immediately that strategy #1 was very successful in the coffee account (KC). Coffee had a great run-up in price at the end of 1992.

Panel #1 also shows that the success of strategy #1 depends on which commodity we look at. Strategy #1 worked consistently well with S (all yellow through the period). It worked badly for SF (all green and some hints of blue). For other commodities the strategy's success varied with time.

Panel #2 shows similar behavior for strategy #2. The strategies were very similar, only varying the emphasis we put on price. Panel #3 at the bottom shows the percentage improvement of strategy #2 over strategy #1, calculated according to the formula shown. As indicated in the legend at the right, green cells mean that strategy #1 was better than strategy #2. The opposite is true for yellow, red, or white cells. Note that for most commodities, the best strategy changed with time.

More about JOHO

This image is an example of the use of American Image, Inc.'s system to display a large amount of numerical data in an easily understood manner. Images can be made from "raw" data, or they can be calculated, as we have done here, by combining data sets to display any quantity relevant to the customer. A single image can display more than one million data values. Thus we could show a panel similar to panel #3 that would compare daily results for 1000 different trading strategies for 5 years.