Systematic Traders - How many systems do you run?

[gmst]

Quote from savagemp5:

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

That is one market - multiple strategies. So, yes its considered multiple systems. Cheers.

 

[dom993]

Quote from 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.

Very nice! Out of curiosity:

- how often does the system trade on a given market?
- are the majority of trades intraday, or held for several days or weeks?

 

[dom993]

Quote from intradaybill:

About 132.

Contrary to jcl, I don't doubt the # (I am assuming most of these are cranked out by PAL or similar).

However, that seem really on the high side from a money-management point of view ... at least if you treat each strategy as totally independent from the other ones, hence allocating it its own "full-time" margin + max-drawdown requirements. How do you proceed in this area?

 

[dom993]

Quote from JuniorCTA:

1 system, all markets

Given most markets are either positively or negatively correlated, taking all trades on all markets would be a good way to fast bankruptcy ... how do you address the correlation aspects ?

 

[WinstonTJ]

The most was 12 but usually only 8 or 9 of them were turrned on.

Was a team of three and we were trading ~$4.5 million of (levered) exposure.

One strategy was the core primary then about 2 or 3 others were solid and the rest were very hit or miss. Overall volume in the end was ~5M shares a day.

Stopped trading because we couldn't get the rates any longer.

 

[logic_man]

Quote from dom993:

Given most markets are either positively or negatively correlated, taking all trades on all markets would be a good way to fast bankruptcy ... how do you address the correlation aspects ?

I think the devil is in the details when it comes to using one strategy across multiple markets. I've been doing that same thing for about 4 months now in 4 markets (ES, CL, Euro and NG) and while there are times when positions fire across multiple markets in the same direction, I've found that I am typically trading either none, 1 or 2 markets at the same time, but have yet to trade all 4 at the same time or even 3. Even the percentage of times I am trading 2 is fairly low, despite correlations between those markets.

 

[ButterMilk]

3 systems, individualized, multiple parameters (including entry times etc.), ES, NQ, 6A, 6E, 6J, FGBL, ZB, ZN...day and swing trades

 

[savagemp5]

If markets are correlated, does that mean we only need to trade 1 index ??

I dont think so ya... there are many inefficiencies... and to tell you the answer is like giving you a 10 mil cheque

 

[jcl]

Trading correlated markets can in the worst case get the same return, it can never get a worse return. Unless, of course, some of the markets are not profitable with that system.

 

[ButterMilk]

Quote from jcl:

Trading correlated markets can in the worst case get the same return, it can never get a worse return. Unless, of course, some of the markets are not profitable with that system.

Correlated market concerns and (back-testing) in mho is highly overrated. Walk-forward optimization of the entire portfolio works well for me!