Firstly i began fully automated trading around June 2011 (interest in the market a long time before then backtesting for 1 year prior to this date). First 6 month's were not the best due to bug's in my strategy bugs in NT and also features with IB pricing. However having ironed out these bug's etc and running the same 3 strategies for the last year i have become profitable. (Approx 27%). Now as i know my strategy only produce's around 100 Trade's in total per year i would like to scale up the strategy by adding new strategies. The current strategies are trend following.
I'm thinking of adding mean-reversion style of strategy alongside an exhaustion strategy. I have 11 pages of word documents with strategies to be tested and a whole pile of infrastructure element's to do (as soon as i get the time!).
My drawdown this year was -16% and that's a pretty significant number (peak to trough) so i dont really want to get into 20% drawdown.
Are many on this forum (as i recently signed up for elite membership) doing this full time at home office ?
Personally i believe if i can scale out the strategies and get decent returns year in year out it may be financially viable in 3 year's.
However as i do this myself i dont have a clue do other's really do this for a living fulltime ? I truly enjoy the research element of it. I have heard of someone doing 300% per year who i am talking with at present but i certainly dont believe (maybe due to my own inexperience) this is happening (but ill find out soon enough)!
Anyways my main question is in a % term do people who are profitable trade 30% of there strategies as trend following 40% as reversion strategies and 30% as arbitrage / volatility style strategies .
I was wondering what mix of strategies people use for reducing correlation is obviously a big factor as market's are not always trending and are more range bound than trending.
Also what sort of sharpe / sortino ratio do people have around here ?