You can actually submit an order buying at Vwap using ib algo. What it does is to break down your order to fill it along with daily volume develops or time passes.
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multiple winning trades
- Thread starter trend2009
- Start date
You can actually submit an order buying at Vwap using ib algo. What it does is to break down your order to fill it along with daily volume develops or time passes.
I have a trading strategy， if applied on SPY alone, the return is $0.37/share daily for the last 12 years with Sharpe ratio 1.1. During the same period, the spy has a daily return less than $0.02/share with Sharpe raio 0.5. If I apply the same strategy on msft, the daily return is $0.2/share with sharpe 1.1, still far better than buy and hold msft till close. so I think, if the strategy applied on both spy and msft at the same period, it should produce better than 1.1 Sharpe, since loss on SPY could have been covered by msft. if that is true, I will have a holy grail with huge capacity and high sharpe.but it turns out, the combined sharpe is only 0.96. If the strategy applied on the 500 stocks of spy, the sharpe is 0.6, same level as holding spy. Any reason why combing multiple good trades resulted poor outcome?
My guess is that you have a lot of correlation in your strategies. So they are adding volatility especially on the big down days.
spy500 stocks correlate to each other one way or the other. If I use somewhat hedge, strategy on spy will produce sharpe 2.2, no loss year during that last 20 years, 44 losing months out of 240 total months.My guess is that you have a lot of correlation in your strategies. So they are adding volatility especially on the big down days.
working same on qqq, iwm, dia. But if it is applied at same time on spy and qqq, it increases returns but decreases sharpe.
spy500 stocks correlate to each other one way or the other. If I use somewhat hedge, strategy on spy will produce sharpe 2.2, no loss year during that last 20 years, 44 losing months out of 240 total months.
working same on qqq, iwm, dia. But if it is applied at same time on spy and qqq, it increases returns but decreases sharpe.
I'm conjecturing. Everyone in the thread whose actually answering your question is.
The math is the math. You can study the math too see what's contributing to the sharpe. No one else can do it for you unless you provide the data and they are willing to look at it.
I guess I already have the answer. When trades on spy and qqq are combined, since they are correlated, they expand loss as well as gains, which will expand the standard deviation, and thus reduces the sharpe.I'm conjecturing. Everyone in the thread whose actually answering your question is.
The math is the math. You can study the math too see what's contributing to the sharpe. No one else can do it for you unless you provide the data and they are willing to look at it.
I guess I already have the answer. When trades on spy and qqq are combined, since they are correlated, they expand loss as well as gains, which will expand the standard deviation, and thus reduces the sharpe.
not necessarily true.