Systematic Traders - How many systems do you run?

[gmst]

Holy grail of trading is to have uncorrelated strategies on multiple markets. It will be interesting to know how many strategies do professional successful systematic traders run. So, if you are a successful systematic trader, your knowledge and ideas are welcome on this thread. If you are an aspiring systematic trader, please indicate so while posting. If you are a discretionary chap, stay away

I will kick-start.

Markets (# of Strats):
1. ES 2
2. FX 2

I remember Eric posted in one thread that he has 7 strategies. Lescor also has 7 strategies. So, in the stock world, it seems if you have 7 different strategies on 20 different stocks, it leads to a highly successful trading operation. I am curious what this number is in futures world for majority of "successful professional systematic" traders.

 

[dom993]

CL : 2 strats

Both are low-frequency systems (each average about 1/2 trade per day), with avg net per contract / per trade ~ +10-ticks (unfortunately less in the last year)

One has been live for 1 year, and backtest nicely from July-2007 (prior to that, would have been consistently losing).

The other is only live since April 2012, was backtesting very nice from October 2009, but after testing it this week-end on the historical data I just purchased from TickData, it appears it still has a lot of issues in the period prior to that (which was pretty high volatility).

 

[jcl]

28 strategies currently. I found that this works best for generating a substantial regular income by automated low-frequency trading, as any single strategy can cease to be profitable anytime.

For developing many strategies in short time, you have to keep them short and simple, without lots of filters or extra conditions. This is such a typical simple mean reverse strategy:

function run()
{
var *Price = series(price());
var Threshold = optimize(1.0, 0.5, 2);
var *DomPeriod = series(DominantPeriod(Price, 30));
var LowPeriod = LowPass(DomPeriod, 500);
var *HP = series(HighPass(Price,LowPeriod*optimize(1, 0.5, 2)));
var *Signal = series(Fisher(HP, 500));
Stop = optimize(2, 1, 10) * ATR(100);

if(crossUnder(Signal,-Threshold))
  enterLong();
else if(crossOver(Signal,Threshold))
  enterShort();
}

 

[intradaybill]

About 132.

 

[JuniorCTA]

1 system, all markets

 

[gmst]

Quote from intradaybill:

About 132.

I have hard time believing your response - unless if you have a team of 5+ people working for you developing your strategies. As an independent trader, developing and implementing 1 strategy will take at least 1 month. 132 strategies at least 132 months which is 11 years. Add to it the portfolio building part etc. This is the level where funds like Citadel and Millennium partners operate.

 

[gmst]

Quote from jcl:

28 strategies currently. I found that this works best for generating a substantial regular income by automated low-frequency trading, as any single strategy can cease to be profitable anytime.

For developing many strategies in short time, you have to keep them short and simple, without lots of filters or extra conditions. This is such a typical simple mean reverse strategy:

function run()
{
var *Price = series(price());
var Threshold = optimize(1.0, 0.5, 2);
var *DomPeriod = series(DominantPeriod(Price, 30));
var LowPeriod = LowPass(DomPeriod, 500);
var *HP = series(HighPass(Price,LowPeriod*optimize(1, 0.5, 2)));
var *Signal = series(Fisher(HP, 500));
Stop = optimize(2, 1, 10) * ATR(100);

if(crossUnder(Signal,-Threshold))
  enterLong();
else if(crossOver(Signal,Threshold))
  enterShort();
}

Your approach is sensible, but there is a definite difference between the quality of your strategy and the strategy that I have developed or possibly the strategy that dom993 has developed.

Your strategies are very generic, using low pass filters. My strategies are based on long-lasting market edges. I am 100% certain that key stats for my strategies are better than yours like sharpe, calmar etc. I don't say your approach is inferior though. Its very much possible that your approach might be superior from time spent to developing strategies point of view as your turn around time for strategy development could be much shorter. Also, your approach would allow you to use these strategies on multiple markets whereas my strategies target specific market edges.

 

[Stok]

1 system - 7 markets (2 financial futures, 5 major FX pairs). System is profitable on all markets, live trading almost 3 years, back-test to 2000 as well.

 

[jcl]

Quote from gmst:

Your approach is sensible, but there is a definite difference between the quality of your strategy and the strategy that I have developed or possibly the strategy that dom993 has developed.

Your strategies are very generic, using low pass filters. My strategies are based on long-lasting market edges. I am 100% certain that key stats for my strategies are better than yours like sharpe, calmar etc. I don't say your approach is inferior though. Its very much possible that your approach might be superior from time spent to developing strategies point of view as your turn around time for strategy development could be much shorter. Also, your approach would allow you to use these strategies on multiple markets whereas my strategies target specific market edges.

That is correct, I do not really know specific markets and market edges. So the approach is to develop rather primitive, generic strategies that need not be manually adjusted or optimized, and apply them to as many markets as possible. This has also the advantage that I need not care about secrecy and can publish the code. Still, the primitive strategies achieve Sharpe Ratios up to 2 and profit factors up to 4.

 

[savagemp5]

1 system multiple strats... is this considered 1 system ?