That's the idea! You've got a very good foundation for this technically, scale it up. Why not also add some short strategies to the mix?
40% eq 60% bonds is a popular balance that backtests well. Short eq strats are a good idea hypothetically, in practice difficult to find any that don't lose money due to long bias. But hey, gotta have alpha instead of beta, right.
Good information! I have found a few short strategies for equity index futures but only for bear market regimes. Hope to deploy an equity/bond strategy portfolio within the next couple of weeks. Will post details as soon as I deploy with some performance (backtest) comparisons.
In other news, I am getting ready to release a new version of FasterQuant. I have made some massive performance improvements and it will have better support for equities with the ability to easily generate long/short equity and futures portfolios. I am also going to start open sourcing portions of my AlgoTerminal live trading setup which users of AlgoTerminal will especially find useful...though anyone using a C# based platform will also be able to use the tech.
@fan27 I notice that until now you only use equity index futures. Would it make sense to expand to other asset classes, to spread the risk/volatility? For example bonds (or EuroDollar), or commodities (e.g. corn, oil, gold)?
Flat since Friday morning...avoided the blood bath today. Looks like more pain in store for the Longs.
Long 1 ES at 2887.25 for 30 min bar strategy. Trailing Stop at 2865.75 Exit after 250 bars Long 1 NQ at 7588.25 for 30 min bar strategy. Trailing Stop at 7524.50 Exit after 250 bars
What a morning so far! Still in both trades....NQ was not stopped out as my stop orders only trigger during RTH.
Let's see if the current stops hold for another leg up. Look how close NQ got to the stop price. Magic!