--- In
amibroker@xxxxxxxxxxxxxxx, Howard B <howardbandy@xxx> wrote:
>
> Hi bh --
>
> It was suggestions such as the one you made earlier in this thread that
> prompted me to write the posting on portfolio construction.
>
> You wrote:
> "---------------------------
> 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.
> ----------------------"
>
> The intent of my posting was to point out that there are several complex
> issues that should be considered when creating a portfolio of trading
> systems.
>
> They begin with analysis of the individual systems, asking questions such
> as:
>
> What are the optimum lengths of the in-sample periods for the three systems
> you are describing?
> Will the portfolio be created (the portfolio weights determined, and so
> forth) by re-selecting the parameter values for those systems as part of a
> portfolio?
> Or, by using the trade results that were obtained by running each
> separately?
> Are the results that were obtained by running each separately in-sample or
> out-of-sample?
> And so forth.
>
> Best wishes on the project (no sarcasm intended) -- let us all know how it
> turns out.
>
> Thanks,
> Howard
>
>