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That Obama and Merkel visualization can make for a good cartoon :D Your example proves that position size of a trade in a strategy say S4 has to depend on currently existing portfolio. So, my statement was wrong. Thanks for giving a counter-example. :) After a lot of thought :), this...

you cant charge perf fees for sure in CA. Maybe other states allow charging perf fees without RIA registration.

3/4 pip slippage on mkt orders is ok once in a blue moon when mkt gaps. Generally it is not acceptable unless you are trading 30 million size per trade. Your broker is playing with you man. Even if your average slippage is 1.5 pips, it will completely skew your results. At IB, I get -1 to +1...

Move over to multicharts frosty. I don't think I have seen many reports of phantom trades on multicharts forums. It is definitely a better software. Now a C# version also.

In US also, you can't charge anything from your investors unless you have registered as an RIA. I am sure this applies at least for CA.

Continuing reply from above to sle (as the Edit time line expired) : It just occurred to me that most of my strategies trade like 30 to 100 days in a year. So, on most of the days, I have only 1 or 2 strategy trades. Probably only on 40-50 days a year or so, I will have 3-5 trades in a day...

Thank you very much! Yes, it seems like a nice approach. Biggest advantage is its simplicity. Another advantage is its numerically very much solvable. Even with 10 strategies, if you use N = 1000 and M = 100, its just 100k simulations/re-samples. Thus, using some ingenuity, you have...

Kevin, It will be great if you can explain in detail this problem of hidden or unaccounted for risk factors. What is "alpha alignment problem"? Thanks.

Hi, I mean re-sampling by MonteCarlo. Not doing actual generation of price paths at all - thats for options pricing. I would be curious if you can write in detail your methodology. What do you mean by 2-dimensional re-sampling? What are the two dimensions here? How are you accounting for...

Thanks, I know a bit of maths and finance, but I am average in programming :) Its straightforward to calculate portfolio DD using actual backtest results on multiple strategies. Multicharts portfolio tester and Tradestation Portfolio maestro will do it for you. As you said, you can take out...

The process goes like this - you generate 'independent' standard normal random numbers and then transform them into 'correlated' standard normal random numbers - using Cholesky decomposition. This transformation is done using the historical correlation matrix between say 10 systems. These...

Already Short 1394.5 and 1400. Adding here short at 1410.5.

Cont. from above...... Now, even above solution is not correct because just looking at say year 2004 trade list of multiple systems and computing the correlation table from that would be just one instance of the correlation table. As trades in individual systems can come in different...

Continued from above.....especially the point 4 above - which is super complex imo. In my view, the biggest challenge is - how to model combined DD for the portfolio. This is the real risk on portfolio level going forward. This is complicated because say you have 10 systems and you run 100...

Thank you very much! Great Response! I have started working on developing a position sizing and portfolio construction methodology, that has kept me very busy so responding late. I am approaching portfolio construction of systems in the following way: 1. Ranking each system individually...

LOL on last 2 lines. Congratulations on getting such good results. Do you mind posting few (maybe 2-3) of your single system equity curve and the portfolio curve? That would be instructive! This is a request to all the systematic traders who are participating. Please share your portfolio...

no valid long setup here. it is a random trade and that too possibly in wrong direction, my 2 cents.

Top post.

So, you are saying 0 subscribers for three guys who posted their good systems on TS network? That is pathetic business. Otherwise, I like your post. 5 out of 5. Very interesting and a different viewpoint. I would say don't bother with public experiment - it will be a colossal waste of your time.

Market is pretty strong, but AUD has been weak today. still holding short. Adding to short at 1400. Scale out first target 1385 and other below it