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Multiple non-correlating strategies or portfolio
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Created: by Big Mike Attachments:4

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Multiple non-correlating strategies or portfolio

  #21 (permalink)
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wny
 
Futures Experience: Intermediate
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darthtrader3.6's Avatar
 
Posts: 86 since Jan 2010
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look up the system developement thread with acrary on elite trader...
he has alot to say on this, great thread from when elite trader wasn't total shit.

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  #22 (permalink)
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wny
 
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MXASJ View Post
Pretty boring, actually. Throw a bit of Kelly in there I'll confide I'm 100% in weekly/monthly right now.... as none of my intraday or daily strats has a positive expectancy at the moment. So the Kelly bet is 0 for me now intraday.

Very cool, don't get down just because you don't have the capital to use contracts.
I'm starting to move away from futures other than discretionary intraday just because to use any kind of fractional kelly/bet sizing system the capital requirements are insane for contracts.
Whats the point of bothering with a fractional bet sizing system if the system says to use 7.5 contracts on trade x...you round up to 8 and you probly over leveraged the bet sizing..
you round down to 7 and you are probly giving up the extra risk that is the whole point in using the bet sizing.
Of course if the system says to use 99.5 contracts because you have that much capital, it matters so vastly less if you round up or down.
With etfs you can get so much more granular and precise with the bet sizing system with the same amount of capital.

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  #23 (permalink)
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wny
 
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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

I would be interested to know what you ment by being against scaling.
I would imagine for the average trader though multiple setups is actually a bad idea.
While trading several losing setups will keep you in the game longer, a -EV bet is a -EV bet.
I would imagine its alot like a rational roulette betting strategy for most people since its such a good chance your bets are going to be -EV. The only rational betting strategy on roulette is to take all the money you will ever bet on roulette in your life and put it on black.
If you hit your a 100% winner and done for life, if you lose your busto and done for life. At least with that strategy your not deluding yourself into thinking you are playing some kind of skill game.

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  #24 (permalink)
Elite Member
Israel
 
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darthtrader3.6,
Do you understand that scaling in/out can be broken down into 2,3,4.. (depending on the number of contracts entered) separate trades. Now each trade can be back tested for its own. Those trades have very high correlation between them self and this is not good. On top of this, and without knowing the actual strategy, I say that some of those trades will be losers. So now tell me how it can be good?

Baruch

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  #25 (permalink)
Site Administrator
Manta, Ecuador
 
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Big Mike's Avatar
 
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I'm still moving forward and want to start some experiments with this. I created a random walk thread and in it am discussing how to best create tick-level random walk data for a 1 year period.

Then, more relative to this thread, what I want to do is produce two random walk data sets and run a function (Excel?) to analyze the correlation factor. What I want to do is simulate an approximate correlation that exists in the real market, say for instance ZN and ES.

That leads me to my next question. What tools are you guys using or can suggest I use to determine the correlation of existing market data (ie: ZN to ES). I'm not talking about signal generation, but just basic correlation of the entire market. Is the simplest method to simply export the Close data and then run an Excel =CORREL function?

Mike

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  #26 (permalink)
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You might find this interesting from mrci.com. I'll post some basic Excel-based math ideas shortly.

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  #27 (permalink)
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multiple strategies at once

BioComp Dakota These guys have an interesting portfolio-based approach based on running large numbers of different c# systems at once and constantly optimizing the combined equity curve.

I have not tried it yet but plan to after I have some more experience with refining individual systems.

There isn't a very large community for the software, although this guy: AdaptiveTradingSystems.com Blog has some indicators and addons for it.

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The following user says Thank You to GoldStandard for this post:
 
  #28 (permalink)
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GoldStandard View Post
BioComp Dakota These guys have an interesting portfolio-based approach based on running large numbers of different c# systems at once and constantly optimizing the combined equity curve.

I have not tried it yet but plan to after I have some more experience with refining individual systems.

There isn't a very large community for the software, although this guy: AdaptiveTradingSystems.com Blog has some indicators and addons for it.

Thanks Gold, some interesting stuff. I looked and it a long time ago, but not recently. I started a new thread just to discuss it but also realized you had started an Elite only thread about it a couple months ago.

https://futures.io/platforms-indicators/3455-biocomp-dakota-biocomp-profit-biocomp-patterns.html

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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