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.
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).
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.