No single system works in all market conditions right? So whats surprising is how few automated traders build up a portfolio of non-correlated systems to smooth the equity curve and reduce drawdown length and depth. Profit contributions from these systems add up, while the drawdowns do not. While people look for the perfect system, I look for ok systems that are non-correlated and put them together.
The power of the systems portfolio
- Thread starter autotradingalgos
- Start date
"how many low correlated systems do you run?"
What do you define as "low correlated"? What do you define as a system?
I run trading systems on 38 futures, average correlation perhaps 0.40
On each these futures I run about 40 different forecasting rules. Average correlation is higher, perhaps 0.70
What do you define as "low correlated"? What do you define as a system?
I run trading systems on 38 futures, average correlation perhaps 0.40
On each these futures I run about 40 different forecasting rules. Average correlation is higher, perhaps 0.70
A system meaning a set of rules applied to one asset class... low correlation around 0.5-0.7 - you are probably as well diversified as it gets globalarbtrader.