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KJ Trading Systems Kevin Davey - Ask Me Anything (AMA)
I suppose what I was looking to learn was regarding the comment about maybe taking a 100 ideas to get a single tradable strategy (understand this is approximation), I assume this number includes iterations of a single goal?
So in a year would you be working with 10-15 goals?
Can you help answer these questions from other members on NexusFi?
Many who I work with aim for one new strategy per month. That is a good goal to shoot for. That might not seem like a lot, but after a year you'd have 12 strategies. And if you collaborate and share strategies with others, you could have a ton more than that.
You are welcome. I always appreciate those who have an honest approach to risk, and the challenge of trading. You definitely one of my colleagues in the industry who possess that.
We truly enjoyed working with you on this Podcast, and I hope to have you again in the future!
Matt Z
Optimus Futures
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1) Do you have a specific way to kind of statistically determine the correlation of a portfolio? In your book I think you said that you would run a simple correlation of daily returns. Is that a function that can be done in Excel?
2) You made one comment in this thread that you've never been able to successfully trade multiple strategies on one given chart in TS. I've noticed that same problem, and it has a big effect on me since most of my trades on on the daily ES chart. Do you know if Ninja Trader has the same problem?
1) There are a ton of ways to do the correlation. You could use daily, weekly, monthly returns for example. And you could examine correlation over multiple look back lengths. Then, you have to determine what is an allowable correlation level.
As you can imagine, this makes the analysis complicated.
Then there is another issue. Say you have a crude oil strategy and a gold strategy, and both have been steadily making money over the past month. If you compare the daily returns over the past month, the correlation might be close to 1. Is that significant? Maybe both strategies have had good runs, or maybe the strategies are too correlated? So some people look at just downside correlation - they do not want strategies to all perform badly at the same time. But upside performance may be OK.
So, back to the original question, I do have a specific way, that addresses many of these issues (not all of them). I do use Excel correlation function to do it, and I create a table of correlation results that I use. Here is a small example:
2) I have never used Ninja to trade like I do with Tradestation. I do have an approach that sends Tradestation signals to Ninja, and then on to a broker. The broker only gets signals, so I can trade as many ES strategies as I want in one account, and there are no problems. Of course, adding Ninja in the mix complicates things, but it works well.
I have looked at the issue you mention quite a bit, and here are some articles I wrote on the subject.:
Dude thanks Kevin! That helped me a lot. Man you give so much of your time to help out your homies on this forum. It's greatly appreciated!
I thought of another potential idea by the way for how to run two strategies on one instrument in TS. If it's, say, the ES and my two strategies are both based on daily chart, I could have one run on the daily chart, and then I could open, say, a 60-min ES chart, and then in the code call on data2 (which would be daily ES data) and then the code would just strictly utilize the data2 for all its conditions even though its being run on the 60-min chart.
Depending on your strategy code, that approach may or may not help you. I've had issues running 2 daily charts, 1 daily chart with an XX minute chart, and 2 XX minute charts (same time or different for each).
The best approach is to live test and see if behavior is as expected.
Kevin, in one of your webinars you mentioned TASC magazine as a good source of trading ideas. In your opinion, does it hold for fx, too or would you call another source a "#1"? I am not expecting getting good strategies served on a silver plate, just ideas with more fx than futures in focus.
Sure, it is a good source of ideas for all types of markets. You may have to make some adjustments for your forex markets, but I'm sure you'll find plenty to build off of.
