How do you optimize your edge?

[athlonmank8]

So i've got a few opportunities in options and equities where I have been able to consistently bang out some money over the past several years. However I'm always thinking there could be more if I had access to more statistical analysis or other tools i'm not even aware of. Most of my analysis and scanning is done through TOS and excel. Risk analysis is put through a Kelly calc. and I actually work backwards from Kelly.

My options were to:

1.) Share my edge with a handful of people and work together as a team (I have only a few people I could rely on but no one seems to have any motivation for the market and the people that do are too reckless).

2.) Put it on here and optimize it collectively (leaning toward this).

3.) Seek additional help via other resources and do it myself. But I'm not even sure where the best place to look is. Too many snake oil vendors.

I'm not a programmer and I have only a very basic knowledge of stats. However i'm good with excel.

Just wondering what others have done here. Would love to hear your thoughts.

 

[drcruz]

Sent you a PM

 

[Handle123]

2010 decided to change, my long term models seemed to cap out before 2008 crash, plus 2008 the risk was staggering, I was doing hedging but I knew I had to expand much more and of course there is very little readable material available, I don't even look any more for material.

I had hired a staff, my abilities to program after 2010 medical procedures left me unable to form readable code. So you might want to hire college students, go to community college and speak to Dean in Computer Science, they usually have a list of good student programmers.

I never went to work with others, I simple do not trust most people, and most will not put in the hours that I do. Too many on here large traders, hedge fund managers and vendors, you want to share with them?

Over a decade of studying much more of risk management, am happy I went this route, equity curve much smoother, reward to risk on profitable trades which are few are astro numbers and learned tricks of hedging, you have to ready think outside the box, learn when you put trade on you have positive expantentcy. Last year was first year I used margin for stocks as I been all my life risk adverse to borrowing to trade stocks, but now no problem.

 

[ducatista]

few diff schools of thought on this. currently reading Ralph Vince and hes a proponent of focusing less on optimizing your edge and moreso on optimizing your allocations. cant say I agree w him in his entirety, since optimizing has definitely helped eek some extra profits. but on the whole, by in large my largest improvements have come from simple position sizing and risk management techniques. also agree that, in general, the less parameters and more robust the better. obviously. lastly, I like to focus on having a portfolio of strategies that perform across a variety of regimes, rather than trying to force fit a single strategy across the board

 

[systematictrader]

So i've got a few opportunities in options and equities where I have been able to consistently bang out some money over the past several years. However I'm always thinking there could be more if I had access to more statistical analysis or other tools i'm not even aware of. Most of my analysis and scanning is done through TOS and excel. Risk analysis is put through a Kelly calc. and I actually work backwards from Kelly.

My options were to:

1.) Share my edge with a handful of people and work together as a team (I have only a few people I could rely on but no one seems to have any motivation for the market and the people that do are too reckless).

2.) Put it on here and optimize it collectively (leaning toward this).

3.) Seek additional help via other resources and do it myself. But I'm not even sure where the best place to look is. Too many snake oil vendors.

I'm not a programmer and I have only a very basic knowledge of stats. However i'm good with excel.

Just wondering what others have done here. Would love to hear your thoughts.

few diff schools of thought on this. currently reading Ralph Vince and hes a proponent of focusing less on optimizing your edge and moreso on optimizing your allocations. cant say I agree w him in his entirety, since optimizing has definitely helped eek some extra profits. but on the whole, by in large my largest improvements have come from simple position sizing and risk management techniques. also agree that, in general, the less parameters and more robust the better. obviously. lastly, I like to focus on having a portfolio of strategies that perform across a variety of regimes, rather than trying to force fit a single strategy across the board

I agree with ducatista,, risk management and position sizing can improve drastically upon already whats working good

iam like
You i use tos and excel exclusively, i dont know what kelly is and i do NOT use it,,, in think or swim depending how sophisticated your system is u can easily program it in think script i didnt and i still do NOT know how but i was able to hire someone on Upwork for $150 to program what i wanted which was relatively simple,, this was years back but i still use it today,, except that i now improved on the system by using options and standrising my position size....

As far as u working with someone else i agree ot helps i tried it before but those that worked with me didnt last what i would say it's productive but only if the two people are trading similar style/time frame i think this is most important than the strategy or the style itself because day traders have no interest in swing trading and vice versa

 

[cruisecontrol]

few diff schools of thought on this. currently reading Ralph Vince and hes a proponent of focusing less on optimizing your edge and moreso on optimizing your allocations. cant say I agree w him in his entirety, since optimizing has definitely helped eek some extra profits. but on the whole, by in large my largest improvements have come from simple position sizing and risk management techniques. also agree that, in general, the less parameters and more robust the better. obviously. lastly, I like to focus on having a portfolio of strategies that perform across a variety of regimes, rather than trying to force fit a single strategy across the board

Improvements to edge and improvements to allocation both follow a curve of diminishing ROI -- which one will give you the best bang for your buck depends where you are on those curves. Main difference is allocations (risk control) are a relatively "simple" well understood/well documented problem, whereas edge is more of an art than a science. That means you can get a pretty good idea where you are on the allocation curve, but you will never know how much your edge could be improved.

 

[athlonmank8]

Wow thanks a lot for the replies guys. Some excellent information is posted here. As I mentioned thanks again for taking the time to respond. Hopefully I can repay some of this down the road.

Improvements to edge and improvements to allocation both follow a curve of diminishing ROI -- which one will give you the best bang for your buck depends where you are on those curves. Main difference is allocations (risk control) are a relatively "simple" well understood/well documented problem, whereas edge is more of an art than a science. That means you can get a pretty good idea where you are on the allocation curve, but you will never know how much your edge could be improved.

That sounds about right! Might explain why i've been hitting a few roadblocks.