same strategy with different parameters?
Fully Automated Stocks Trading
- Thread starter ValeryN
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I currently have 6 strategies running live. They are all different beyond just parameter values. This one is mean reversion on a longer internal.
Initially I was skeptical of longer hold duration as it felt like a dumber version of something that I know works better but after running a couple of them for 7-8 months now I have grown appreciation for their different correlation with the market.
Current strategies assignments by account are:
margin account: long1, long2, short1, short2 + usd/cad hedge
cash 1: long2, long3, long4
cash 2: long4
Will post end of month PL update for all accounts once the session is closed.
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Registered accounts are 100% in USD because of convenience. Gotta have USD there to trade US stocks.
Margin account is where I do hedging. By default it's 100% USD but occasionally I'd increase my CAD exposure by shorting USD.CAD (~=buy CAD). This exposure changes based on my discretion.
Hi Val, thanks for updating, an interesting thread as usual. three questions.
1: Why IB cash account instead of margin account ?
2: When you say, longer term MR systems, what do you consider longer term for MR? 1 week etc?
2: Utilising 4 strategies in one account provides some challenges in terms of position sizing, as i remember from previous conversations, you use 10% per position, despite using 4 strategies but cut off at max portfolio level pos limit at 10-20 depending of your leverage preference ? or perhaps i remember incorrect?.
This areas is quite tricky, specially with MR systems in a portfolio where you want to maximise exposure.
1: Why IB cash account instead of margin account ?
2: When you say, longer term MR systems, what do you consider longer term for MR? 1 week etc?
2: Utilising 4 strategies in one account provides some challenges in terms of position sizing, as i remember from previous conversations, you use 10% per position, despite using 4 strategies but cut off at max portfolio level pos limit at 10-20 depending of your leverage preference ? or perhaps i remember incorrect?.
This areas is quite tricky, specially with MR systems in a portfolio where you want to maximise exposure.
Are these sub accounts of 1 main account? Is margin shared between them or do you need to divide capital between them?
I'm not sure if that's called sub accounts, but all 3 accounts are under the same IB credentials. They are just different types for tax purposes.
Glad to hear.
1. Because I have to. 2 cash accounts are tax advantageous accounts and, unfortunately, have to be cash. One has deferred taxes another is 100% tax free. I'm at a highest personal income tax bracket in my country so very eager to use anything that allows to legally reduce them.
Furthermore, to optimize taxes for my main trading account I will be moving it under a corporate, while still taking advantage of personal tax free/deferred accounts.
2. Yes. A week or two.
3. 10% was my absolute max. Used to be anywhere from 2% to 10%. This year my position sizes were mostly 5% or less with rare exceptions. I don't set max on portfolio level, rather per individual strategy. Then I run simulation for 30-50 years to see how much combined use is / to refine and try to leave some room for unusual margins.
Portfolio level limit potentially creates too many possible outcomes to I try to stay away from that and address via better modeling.
PS. In my building there is hyper annoying ad in elevators playing this month. Happy diverse looking poor people playing soccer and some politician face shows up after saying - I will tax rich! Motivates me greatly to go pay 10k or whatever to my accountant and lawyer to never be seen as rich again in the eyes of idiots like that. Just a little rant as I'm already taxed to death..
As I am talking to couple of accounting firms to help me design the right corporate structure, I'd appreciate if anyone with experience will DM me. Canadian or North American experience should be most relevant.
Currently I am looking at CCPC vs more complex structure with holding company to protect assets from any personal legal suites and affairs. Would love to hear other people's stories/choices.
Currently I am looking at CCPC vs more complex structure with holding company to protect assets from any personal legal suites and affairs. Would love to hear other people's stories/choices.
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