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Multiple non-correlating strategies or portfolio
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Multiple non-correlating strategies or portfolio

  #11 (permalink)
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baruchs View Post
Mike,
Thats exactly what I was saying in https://futures.io/platforms-indicators/2197-most-important-piece-trading-2.html.
I was even more bold and said that if you trade several setups, you will be better off even with a loosing setup. I wanted to prove this point, but got some stupid posts so I left it.
Thats why I'm against scaling. In the best scenario (both PT give positive outcome on their own) they have very strong correlation.

Baruch

You have to give some of us dumber people a chance to catch up

Mike

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  #12 (permalink)
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Big Mike View Post
MX,

So your saying that using Kelly you can't find a mathematically sound risk/reward for intraday trading, which is why you need larger time frames and therefore more capital due to the increased volatility of a multi-day trade?

...

I'll read your PDF next MX. Hopefully there is minimal math

Mike

Well, no. I'm saying that the strategies I'm using for intraday trading no longer have a positive expectancy, so my bet is $0 on those strategies. I'm 75% in the longer time-frame stuff right now, while I work on finding some intraday strategies that work again. So its a question of my ability at this point in time rather than a question of whether short-term trading works at this point in time.

And... that PDF is an easy one .

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  #13 (permalink)
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Mike,
Its OK to argue with me or to ask an explanation, but to state some stupid remarks is also OK (we need stupid traders to make money), only I'm out of this thread.

Baruch

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  #14 (permalink)
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If you look at the strategies I've posted over the past few months you will see there is a method behind my madness :

Faber(2009): Momentum, Monthly, Basket of Futures or ETFs, Long only.
Kleinman(2005): Momentum, Daily, Basket of Futures, Long and Short.
PimpMyStrat: Momentum, Intraday, Individual Futures, Long or Short.
NinjaSpreader: Mean reversion/Market Microstrucure, Intraday, Futures, Long and Short.
NinjaSpreaderEOD: Mean reversion, Daily, Individual Futures or ETFs, Long and Short.

So when they (or something simlar) actually works, that's a basket of strategies diversified over time frame, style, and asset type. One of the next steps would be to find a way to dynamically watch my deltas (or beta-weighted deltas) for hedging purposes if needed.

That is actually a seperate project where I want to get several Ninja Trader processes running on seperate machines to report positions to a central database on the same LAN. If everything decided to be long the ES at the same time, for example, I would definately want to know that.

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  #15 (permalink)
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MXASJ View Post
If you look at the strategies I've posted over the past few months you will see there is a method behind my madness :

Faber(2009): Momentum, Monthly, Basket of Futures or ETFs, Long only.
Kleinman(2005): Momentum, Daily, Basket of Futures, Long and Short.
PimpMyStrat: Momentum, Intraday, Individual Futures, Long or Short.
NinjaSpreader: Mean reversion/Market Microstrucure, Intraday, Futures, Long and Short.
NinjaSpreaderEOD: Mean reversion, Daily, Individual Futures or ETFs, Long and Short.

So when they (or something simlar) actually works, that's a basket of strategies diversified over time frame, style, and asset type. One of the next steps would be to find a way to dynamically watch my deltas (or beta-weighted deltas) for hedging purposes if needed.

That is actually a seperate project where I want to get several Ninja Trader processes running on seperate machines to report positions to a central database on the same LAN. If everything decided to be long the ES at the same time, for example, I would definately want to know that.

First idea that came to my head was to have each strategy send its orders to a gateway, then the gateway knows everything. You could even have the strategy ask permission from the gateway before trading, or if you are super wild then the strategies themselves don't contain any EnterXX() commands and instead use custom commands to send orders to the gateway server, which then submits all orders and controls all positions for all strategies.

I will take a closer look at your other strats. I know you've done some great work, and I appreciate it!

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
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  #16 (permalink)
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Big Mike View Post
First idea that came to my head was to have each strategy send its orders to a gateway, then the gateway knows everything. You could even have the strategy ask permission from the gateway before trading, or if you are super wild then the strategies themselves don't contain any EnterXX() commands and instead use custom commands to send orders to the gateway server, which then submits all orders and controls all positions for all strategies.

Mike

On the broker side I can set that up on a per account basis as the broker has a risk package that can limit positions. If I ask for it I can have multiple accounts and a "dashboard" to monitor those accounts (this is using TT or PATS infrastructure) which may or may not come at a cost.

My problem is that I'll be using more than one broker, on a WAN.

That is something to keep in mind, BTW. Your orders always go through your clearing houses' risk system before they go to the exchange. If I have a server in Chicago and my broker is in Singapore... ouch.

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  #17 (permalink)
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MXASJ View Post
On the broker side I can set that up on a per account basis as the broker has a risk package that can limit positions. If I ask for it I can have multiple accounts and a "dashboard" to monitor those accounts (this is using TT or PATS infrastructure) which may or may not come at a cost.

My problem is that I'll be using more than one broker, on a WAN.

That is something to keep in mind, BTW. Your orders always go through your clearing houses' risk system before they go to the exchange. If I have a server in Chicago and my broker is in Singapore... ouch.

So probably best to do a co-lo or get a dedicated box or VPS near your broker/exchange, and run everything there, and just have it send you the info to your home network or wan after the fact, when milliseconds don't count.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
 
  #18 (permalink)
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HI, I find this topic very important. I made 4 strategy that have a little bit of difference between them and trade on the same symbol all for but not at the same time frame. I must say that the 4 are not corrolated to each other and only trade maximum 1 contrat a day on each strategy. ANd I must say that it work so far. I watch those 4 strategy back in june 2009 and no optimization at all and the result seam to be constant so far. The 4 strategy are pratictly 0 correlation. I think it's the a good way to go. I backtest on minute bar 10 year of data.

phil

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  #19 (permalink)
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Big Mike View Post
So probably best to do a co-lo or get a dedicated box or VPS near your broker/exchange, and run everything there, and just have it send you the info to your home network or wan after the fact, when milliseconds don't count.

Mike

Exactly. So the multiple-Ninja-Instances on a LAN (the WAN connections are VPN so it is actually on the LAN subnet) reporting to a database with a dashboard is what I need to do.

Longer term, though.

And we digress from the OP's post!

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  #20 (permalink)
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nn
 
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BM, I am very impressed with your forums and the knowledge of it's partcipants.
Currently, I am managing 6 Uncorrelated* Forex strategies on NT 6.5 24/5. Trades about 10 rt per 24hrs. 7 pairs using multiple timeframes. A few things from my interpretation.

1. Correlation- currently GBPUSD & USDCAD -94 based on 60min timeframe.
-7 on a 15min timeframe. Overall a moving target and beyond my knowledge to
predict how long this will last. My answer= reduce risk, trade them both with
a few strats on different time frames. Will my bet size be optimal..no but I can
control risk say up to 6 independent positions all risking 0.5% of equity.

2. Position sizing - Since I have no clue which strategy will work today they all get
a feeding of between 0.25-0.5% of total equity risk. Summary = reduce risk.

3. My Landscaper - Discovered an underground spring on my property.. My response
"Damn it". His response don't fight it, work with it.

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