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Optimal number of algo models for a single instrument

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Market Wizard
Gits (Hooglede) Belgium
Trading Experience: Master
Platform: NinjaTrader, Proprietary,
Broker/Data: Ninjabrokerage/IQfeed + Synthetic datafeed
Favorite Futures: 6A, 6B, 6C, 6E, 6J, 6S, ES, NQ, YM, AEX, CL, NG, ZB, ZN, ZC, ZS, GC
rleplae's Avatar
Posts: 2,955 since Sep 2013
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alko View Post
@rleplae - when you create a generic algo for a number of instruments, you still get some variations in the input parameters between them, right? (where you have say two parameters and and variations between these two parameters for different instruments is not that big). And how do you deal with that issue: still standardize parameters for all instruments or leave the best fit for each?

btw, would you know any good source for generic algos teach ins, like courses, books, etc?

Thank you.

I think two places you could look into is Kevin and his course on building an automated trading system
another person is Andre Unger. I just mention those names as i see them regularly and both persons
seem to talk 'no bullshit', but please do your own due diligence, you may find other sources

I have been working many years myself on building algo's. None of those algo's contain a 'magic'
optimization that makes or brakes the algo for that instrument. A magic optimazation is for example
: use EMA 17 and EMA 34 for CL and EMA 20 and EMA 46 for ES, that is just curve fiting and will not
work in the long run.. in my opinion

To give you an example, i have an algo that runs on 21 instruments. Each instrument has a few
different parameters, by the nature of the instrument (tick size, #contracts, roll-over), but that's very
much it... And i do trade more contracts on NQ than i do on ZB, due to the value per tick per contract,
NQ being 5$ and ZB 35$

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