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View Poll Results: How many systematic strategies do you run concurrently?
<3 33 56.90%
3-5 7 12.07%
6-8 1 1.72%
9-12 5 8.62%
>12 12 20.69%
Voters: 58. You may not vote on this poll

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Old Aug 6th, 2012, 07:25 PM   #1
gmst
 
 
Join Date: Jul 2011
Posts: 4,356
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.
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Old Aug 6th, 2012, 09:32 PM   #2
dom993
ET Sponsor
 
Join Date: Jul 2008
Location: Ottawa, Canada
Posts: 844
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).
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Old Aug 7th, 2012, 05:44 AM   #3
jcl
 
 
Join Date: Jan 2012
Location: http://dictionary.of-the-infinite.com
Posts: 407
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:

Code:
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();
}
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Old Aug 7th, 2012, 07:21 AM   #4
intradaybill
 
 
Join Date: Feb 2008
Posts: 2,962
About 132.
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Old Aug 7th, 2012, 08:23 AM   #5
JuniorCTA
 
 
Join Date: Jul 2010
Posts: 335
1 system, all markets ;)
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Old Aug 7th, 2012, 03:37 PM   #6
gmst
 
 
Join Date: Jul 2011
Posts: 4,356
Quote:
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.
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