Groups of them are highly correlated as expected. That is why I have a risk control component which limits the amount of concurrent positions across strategy groups.
I would offer, "No." Why? If you think of a trend/periodicity approach, and gaze at the major indices (EOD) and put up a straw man of "10-day cycles" -- well, that 10-day observation does not give you simultaneous Entry and Exit signals, right? It suggests a 10-day run, of which you might harvest 6 days' worth. But the signal to Exit does not a *new* entry on the other side -- only that (according to your chosen exit criteria), it is not safe to continue in that position. If the 10-day window does not flip from Enter-Exit-Enter so well? Meh! Does the Exit signal perhaps work as an Entry signal for a shorter trade? Perhaps a short-term opposing position in an inverse ETF? Or even a 1-or-2 day trade in a 2x or 3x ETF? (Let alone, the options universe...) Thus, focusing exclusively on ES;NQ;YM seems (to me) to be a constraint to be avoided. (That's my vote. Are we voting? Eeeesh.)
Trade is looking really good here. I suspect we are going to break the recent high on 1/18 and make a run for the 200 day SMA.
good stuff, maybe you could offer it on a subscription-based SaaS model to the retail crowd like Sierra Charts, i think it's literally run by one guy just put up a website and price it for like $20/mth or something, i think you'd get a lot of sign-ups, bc there's prob a lot of demand for ppl who don't know enough to program to connect to IB's API, but want the convenience of algo trading
What I built is a research application that integrates with existing ATS applications (AlgoTerminal, Sierra Charts, etc). My code does not live trade and I have no interest in a web based Saas model. That would be a huge undertaking that I am not interested in.
This is beautiful work. You're a very talented programmer and trader. I wouldn't be surprised if you get job offers from this. Have you ever looked at Adaptrade Builder? http://www.adaptrade.com/Builder/ There are some similarities in finding profitable strategies but not the trade automation, AFAIK. Brooks