Combining multiple systems
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Multiple systems, one account. For market-on-open or market-on-close orders, net them before placing. For stop orders and/or limit orders @ different prices, place them all. For stop orders and/or limit orders @ same price, net them before placing. For intraday orders, place and execute all orders without attempting to net them.
At end of day reconcile, make a table with one column per system and one row per tradeable instrument. For each row (instrument), sum the columns (systems) to obtain the theoretical net position. Compare versus the account statement which holds the actual net position. If theoretical is not equal to actual, place fixup orders (at market price) to correct.
Easy.
At end of day reconcile, make a table with one column per system and one row per tradeable instrument. For each row (instrument), sum the columns (systems) to obtain the theoretical net position. Compare versus the account statement which holds the actual net position. If theoretical is not equal to actual, place fixup orders (at market price) to correct.
Easy.
Maybe I didn't get enough sleep last night but how would this work then if you have a trend following system and a mean reversion system working together.
Say the trend is going up following a HH and HL, so you'd go long with the trend following system. You're long 1 contract.
Suddenly your mean reversion entry is hit. You'd be short 1 contract with this system.
Do you close your position out then? You'd be long 1 and short 1.
We've got a retard in the house...
They did not get your question. Netting is not the same as having both.
Reason: exit/entry TIMES are not the same.
The only guy other than myself who I noticed understand this is GEORGE SOROS!
PS; some people wrote in forums and blogs that I am Soros. But RFT is not Soros (He is better than Soros, so he cannot be Soros)
Quote from riskfreetrading:
They did not get your question. Netting is not the same as having both.
Reason: exit/entry TIMES are not the same.
The only guy other than myself who I noticed understand this is GEORGE SOROS!
PS; some people wrote in forums and blogs that I am Soros. But RFT is not Soros (He is better than Soros, so he cannot be Soros)
What's beyond retarded...
A monkey???
RFT... let me translate it so that you can understand...
ukayakyakakyakakakakayakkaykayakyakayayakykaykayakyakyakayakayakyaykaa...
uga uga uga uga wok wok wok uga woku gaokwu gaokue ogakue...
Fuckin' Soros my ASS.
Don't be so quick to jump to conclusions. His question has merit. You assume far too much about the systems he is proposing.
If my trend following system is looking for a 20 pt move on the upside, but my reversion system, half-way into the trend, is looking for a 5 pt move to the downside, why would I sell my longs? I could take my short, take the profit, and wait for the trend to continue.
It all depends on the setup. Now, if my trend following system and my reversion system give a signal at the exact same time with exact opposite calls, it is another story. In that case, it all depends one which one is more sensitive to the short term time-frame...
Let translate to you "There is a stupid monkey in your house. The only living being in the house."
You may make some money in markets (because they are too easy,not because you are good), but you are still an intellectual garbage. The rust and dirt of what looks like intellect.
PS:
1. You did not answer my question of 1/3 and 2/3.
2. RFT is not G. S. He is the best market timer of all times (past, present and future).
3. Chill out you bagholder. I stick it to people like you everyday in market, not because I am smart but because you are stupid but you think you are too sharp. That is why you cut yourself fucking a$$ hole.
First, there really isn't a point of talking about how people pick signals out. Few reasons to this:
1. The reason people pick signals from a system is because there is a discretionary aspect involved with the trading one does. Obviously, a Black Box (fully automated) systems and Grey Box (discretion-added) systems are developed differently.
When developing a Grey Box model, you put into consideration what the trader inputs on top of the coded signal. This can be different things... it can be execution, macro market direction, timing, contract size, news event, momentum... basically it can anything. In simply terms, you delegate a trading process between the code and the trader. Which part of the process you delegate depends on the developer.
With all the possibilities a trader can input into the Grey Box, it's useless to have a generalized discussion over how to combine multiple grey boxes.
2. How someone deals with an automated system is going to be different. Just read MGJ's post. Common sense stuff.
3. Most of you lack clarity in how you develop and approach systematic trading. Even more, what's involved in trading as a whole, discretion included. You guys should start thinking about how a trade is processed in detail, step-by-step. You just don't get a signal and do what you feel. Even more, there's more to a system than having a "setup", "signal", "order entry"...
Even if you have a throrough process defined, you have to dig in deeper, considering the risks of each of the steps within the process.
Finally. The point of running system is not because you get don't emotionally involved or some psycho-shit. If that's the reason why you trade signals or systems, you're going to fail.
Now... I'm going back to my real life...
Peace out... bendejos...