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> Out of curiosity ... are you finding it easy to come up with noncorrelated systems?
Perhaps not "easy" but possible. Without going into too many details, the 3 systems I currently trade do the following.
System A - a long/short mean-reversion system that trades the S&P (ES or SPY) using short-term overbought/oversold levels. Average hold time is 3-5 days, buys and sells the close.
System B - a long only mean-reversion system that trades the entire stock market universe with a minimum price and liquidity requirements. It essentially buys short-term weakness on longer-term high relative strength stocks. Average hold time is 3-5 days, buys and sells the open.
System C - a short only system that trades the entire stock market universe with a minimum price and liquidity requirements. I am very protective of this one because a short-only system that has an edge over the past 20 years through any market climate is rare but this system buys the open and sells the close of the same day.
I need a longer-term system (2-3 week hold times) that buys strength rather than weakness to try and fill in the under-performance gaps during significant market rallies like what we are having now. I have found this extremely challenging to do quantitatively.
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