i have been working on trading strategies which are driven off the relative performance of the european and u.s. index futures - i start with the DAX, CAC and FTSE in the european morning session and then add DOW and ES futures when the main u.s. session opens.
i have developed and tested numerious single-instrument strategies of varying degrees of complexity, however, i have been finding the development of multi-instrument strategies to be of a significantly more difficult dimension.
i am finding that i am severly limited in computing resoruces, screen space etc.
i currently use mostly 1-minute current day data (all trading is intraday) and tick data for all of the above futures.
i am wondering if i am overlooking something in my design and hence am having these issues - i am looking for any advice on how to make the implementation more efficient, including
(1) intraday timeframes used
(2) possibly, limiting the number of instruments
(3) any examples of multi-instrument strategies
(4) are the any books / any other material on this specific subject.
would very much appreciate any feedback, thx in advance.
i have developed and tested numerious single-instrument strategies of varying degrees of complexity, however, i have been finding the development of multi-instrument strategies to be of a significantly more difficult dimension.
i am finding that i am severly limited in computing resoruces, screen space etc.
i currently use mostly 1-minute current day data (all trading is intraday) and tick data for all of the above futures.
i am wondering if i am overlooking something in my design and hence am having these issues - i am looking for any advice on how to make the implementation more efficient, including
(1) intraday timeframes used
(2) possibly, limiting the number of instruments
(3) any examples of multi-instrument strategies
(4) are the any books / any other material on this specific subject.
would very much appreciate any feedback, thx in advance.