Acrary is a genius!

[dtrader98]

Quote from greaterreturn:


I'm assuming there's nothing commercially available that has features to intelligently combine diverse strategies.

Unless I'm missing something, all you need is a spreadsheet program to add each data point of the two non-correlated graphs.

There's a free one called open office on the web.
----------------------------------------------

P.S. I was looking forward to hearing more interaction from maestro and acrary.
I've looked over some of acrary's stuff, and it looks pretty interesting.

Too bad the hecklers have to jump in so quickly. It's rare to find useful discussion here, why ruin it and then complain later that ET is a wasteland of
useless forums

P.S.2 Maestro, I always thought cybernetics was some sort of quack science (thanks to holistic mind training associations made in the 70s). However, after looking at some of ashby's stuff (and considering the collaborative efforts of the likes of von neumann and c. shannon), I've gained a bit more respect for the science. Thanks for mentioning Ashby.

 

[OddTrader]

Quote from dtrader98:

It's rare to find useful discussion here, why ruin it and then complain later that ET is a wasteland of useless forums

Very insightful point (that probably nobody has mentioned before), and I would have to agree with the common view that Only geniuses would realise and understand the new discovery that finding more uncorrelated profitable strategies is a holy grail in trading!

A newbie like me would have hardly even found just One --- not holy grail but profitable strategy!

 

[man]

Quote from greaterreturn:

What software tools do you or Alan use to this type of trading?

I'm assuming there's nothing commercially available that has features to intelligently combine diverse strategies.

i think for edge testing and other alan-like-studies excel
should do the job. most of his chartwork finally took
place in tradestation.
and afaik tradesignal allows combination of various
strategies.

 

[man]

Quote from Indrionas:

Alan said the systems should be structurally uncorrelated, which means they are not simply independent but are so structurally different that them being in a drawdown at the same time is little chance. That is very important point.

i call that stresscorrelation. you take two equity curves
A and B. now calc their daily change, use logreturns, not
percentages. now just take those days where A was
down, this is timeseries 1. now for each day in timeseries1
you take the dailychange value of B. that is timeseries2.
now calc the correlation between them. doing the same
the other way round, starting with B, you end up with
two stress correlation figures. take the mean of them.
done.

 

[man]

Quote from MAESTRO:

I probably do have different understanding. It by any means does not make your opinion less valid. I understand where you are coming from and would be delighted to share what I know if it helps you in your trading.
Cheers,
MAESTRO

seems like you did your best already ... providing a paper.
i guess we just have a semantic problem here. in the
years on et i sensed that people who came from discretionary
trading have a specific way to look at things. hit ratio,
payoff ratio, profit factor are very traderoriented figures.
whereas sharpe, sortino, sterling, treynor, whateverhaveyou
ratios are not the thing traders can connect to. my
background is investing in hedge funds. there you do
exclusively think in percentage terms and ratios of the
kind mentioned.

take care.

 

[man]

Quote from OddTrader:

Very insightful point (that probably nobody has mentioned before), and I would have to agree with the common view that Only geniuses would realise and understand the new discovery that finding more uncorrelated profitable strategies is a holy grail in trading!

A newbie like me would have hardly even found just One --- not holy grail but profitable strategy!

tough to figure out the route your sarcasm takes in
this post of yours ... ...

but there is something very important embedded: finding
uncorrelated stuff is very difficult to do and to organise.
it is so difficult to really figure out working, unfitted
strategies that developers find it hard to do it all over
again at some other (uncorrelated) place. most of the
time they end their new development by finding out
that they are going to trade the very same effect as in
the last system, just coming from a different angle.

this is actually one of the most important function boards
like et provide: additional views. other perspectives.
for example this thread. i am 95% sure that maestro's
points do not add anything to my current setting. but
the remaining 5% and his reputation as a reasonable
pro will make me check out the sources he mentioned.
and once in a while such thing takes you forward.

 

[OddTrader]

Quote from man:

tough to figure out the route your sarcasm takes in
this post of yours ... ...

I thought I was very seriously serious!

Quote from man:


but there is something very important embedded: finding
uncorrelated stuff is very difficult to do and to organise.
it is so difficult to really figure out working, unfitted
strategies that developers find it hard to do it all over
again at some other (uncorrelated) place. most of the
time they end their new development by finding out
that they are going to trade the very same effect as in
the last system, just coming from a different angle.

Probably that's why, when and where a black swan would kill us!


Bye!

 

[minmike]

What I have found is combination of combining starts helping and hurting. Combeing doesn't provide as much synergy as I would have thought.

strat A has a 1 sharpe. strat B has a 1 sharpe. completely uncorrelated might get a 1.1 or a 1.2 when combined. I haven't found much more improvement than that.

But if strat A sharpe 1. Strat b sharpe .5.

It has an averaging effect that seems hard to overcome. combined 1 to 1 I would think the sharpe would come out in the .75 to .9 range. Just what I have experienced, rough estimates.

Great thread. you guys helped me today.

 

[man]

no easy decoding your post ...

adding similar systems together leads exactly to what
you describe. once you have systems that might be
negatively correlated, the picture changes substantially.
but in principle you are right: just throwing in different
strategies ain't enough. two ways to increase sharpe:
higher frequency and non correlated stuff.

nevertheless, i would estimate it takes ten times the
effort to turn a sharpe 1 into a sharpe 2 and another
twenty times to move from 2 to 3. i am currently in
between 1 and 2, so my talk about 2 to 3 is theoretical.

and one needs to row twice as hard to remain at 2 than
to stay at 1. quant trading is an uphill battle.

 

[minmike]

I think you got most of what I was saying. i talk much better than I write.

I have only found non correlated systems. I have yet to find two profitable negatively correlated systems. Have you had better luck with negatively correlated systems than with non correlated systems? I have always looked for non correlated systems (partially because they seem easier to come up with.) Maybe I should start looking for negativle correlated.