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-----Message d'origine-----
De : Gary Fritz [mailto:fritz@xxxxxxxx]
Envoyé : mercredi 16 avril 2008 19:29
À : omega-List
Objet : Re: Position trading 100+ futures markets times 8 systems
Great post, Mark. I agree with your and Bob's comments: basic portfolio
theory says the Sharpe ratio will increase as the square root of the number
of market/systems being traded. So, assuming you have a system that is at
least modestly profitable, trading it in many markets can smooth out the
equity gyrations and make for a less stressful trading experience.
Of course, as Mark said, managing hundreds of open positions is a
challenge in itself, even if you have the capital necessary to hold
positions in
so many markets. But the fundamental requirement is to have a system that
is at least "modestly profitable" in virtually all markets.
====================================================
Maybe you will be interested in what we are currently doing ( the
discussion forum is in french, sorry, but there are web translators
that work fairly well).
It goes in this direction , but far beyond, since the allocation of
the portfolio is dynamic.
The Portfolio management is currently using up to 1000 tradeables
(tradeable= any system + any instrument+ any timeframe, up to 1000 ,
different by at least one of these three factors), the total being seen
as a pool, a system tank, you got the idea) using a managed size
below 1000, of course.
Thee managed portfolio will pick the next line in the pool (among
the 1000 or less candidates) when a trade is closing in the managed
portfolio ( managed size << pool size, of course)
Several system pools allowed ( up to 1000 lines for all), several
management schemes allowed, works with any timeframe or mixed
timeframes.
All of this is driven by a money management code that pick the best
system for the next trade to come.
And more, it's backtestable.
Comes with automated orders (TS Tech and any Ninja Trader compatible
broker) and is range bars strategies enabled too.
Now end of beta stage, but it's already overall workable.
Next step is the rebuilt of the web site and realtime results publishing.
You may have a look to:
http://www.sirtrade.com/Invision/index.php?s=df1985f42154e12e2b46388e1c66f09
5&showforum=5
Non only it acts as you explained but it's also a kind of insurance
against a future weak trading systembehaviour, since the portfolio
contracts with the current selected system only for the current
trade. If it fails, the it will be replaced by the next best one
from the pool.
In fact the managed portfolio is consistently changing according to
the behavior of all the pool equity curves
Rgds
Pierre Orphelin
www. sirtrade.com
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