Registered: Sep 2012
11-20-12 10:07 PM
An interesting discussion...
I trade 3 strategies amongst 7 assets classes and 15 different instruments. Two are profit making strategies. The third is not meant to make a profit but rather decrease portfolio volatility.
I trade EOD only (at the open or the close) so infrastructure, wise, it's very simple. I use 1 amazon EC2 instance that runs the strategies EOD and e-mails me the daily orders. It takes me 5 minutes to type them in whether I am at home or traveling.
I have been trying to improve position sizing the strategies and it seems that performance based position sizing might not be the best solution. It seems that the least correlated strategy is very important in compounding profit (by minimizing portfolio volatility) even if it's performance is small or zero. So it should be allocated more than what it's performance implies. I have been looking at standard portfolio optimizing algos (risk parity, kelly, MPT, etc) as well as in forums like this one for ideas and guidance.
I coded a multi-strategy algo in Python in Quantopian to provide others with a template for multi-strategy testing. Feel free to try it or, even better, improve on it.
Keep in mind I am not a programmer and this is my first time using Python.