anyone using multi-strategy and multi-instrument

Discussion in 'Strategy Building' started by 0008, Oct 18, 2010.

  1. RobertG

    RobertG

    I have been in 2 systems that were rated as Top 10 in Futures mag.
    All were diversified, and here is my experience: I never had a gain in them.
    All hypothetical showed great results, while in reality they have been really disappointing. Further, when they go up, all instruments gain together and when they go down they all go together.

    I guess the guys on this thread that say all are a bit related are right.
    Could it be that systems written by the same developer are prone to the same risk as one instrument? Not sure.

    Although I call myself a self directed guy, I do have some assets in systems.
    But, I trade one instrument with each developer and this gives me a better overall return and it's positive. When bad draw-downs occur I am not scared because typically something else does better. Finding good systems developers is something to a different thread.
     
    #11     Oct 20, 2010
  2. Murray Ruggiero

    Murray Ruggiero Sponsor

    This is most likely true because most vendors only write trend following systems. This multi-system strategy only works when the systems are not correlated. For example, a trend follower and a counter trend intermarket systems to trade a few assets.

    You should look at tradersstudio because it will help you in developing this strategy. At this tradeplan level you can look at the correlation of not only the equity curve but more important the drawdown curves of multiple systems. Using sessions you can also drill down to the market level.
     
    #12     Oct 23, 2010
  3. Eight

    Eight

    instruments can suddenly become correlated and further, finding uncorrelated instruments is just an exercise in using Excel maybe but knowing when they become correlated in times of non-crisis, soon enough to do the right thing with your account, wow, that's a whole 'nother universe of thought... I think that was a big part of what happened to LTCM and it preceded their crisis...
     
    #13     Oct 23, 2010
  4. RobertG

    RobertG

    Thanks Murray, I will take a look at it.
    Your software has end of day or real time?
     
    #14     Oct 23, 2010
  5. It's not about multi-this or that... and smoother curves...
    The only way you make money is with a *** COMPETITIVE ADVANTAGE ***.

    If you can't tell me EXACTLY what your competitive advantage is in 30 seconds...
    Then you don't have one, sorry, maybe you're on a heater.

    And it's hard to imagine how someone can have a competitive advantage...
    Without being highly specialized and highly experienced in something very specific.
     
    #15     Oct 24, 2010
  6. It's pretty rare that the correlation gets very high between my long and short stock strategies. Murray once said something to the effect that the holy grail is diversification of strategies. It works for me.
     
    #16     Oct 25, 2010
  7. Maybe this is true trading intraday, but some suprisingly simple trend following, counter trend, and even fundamental/technical quant strategies have an edge across days to weeks.
     
    #17     Oct 25, 2010
  8. Murray Ruggiero

    Murray Ruggiero Sponsor

    Explain what you mean, that any strategy has an edge at all or that multiple strategies become more correlated when viewed over a longer timeframe ?
     
    #18     Oct 27, 2010
  9. Murray Ruggiero

    Murray Ruggiero Sponsor

    My software is end of day but can backtest intra-day down to one minute data.
     
    #19     Nov 8, 2010
  10. HedgeHogging (by Biggs):

    Peter nodded and looked at me. "Now, tell me, what do you do? What do you want?"

    I went into an abbreviated version of my usual Travis pitch, but abruptly he cut me off.

    "How many bets do you usually have in your portfolio?"

    "Somewhere between 20 and 25. We do use leverage so we want to have some diversification."

    "I don't believe in diversification. I don't like people or wines equally, so why build a portfolio equally? Own monster positions of what you really like and leverage them up, or else you're only practicing. It's all greed versus fear, and risk control is a misallocation of energy."
     
    #20     Nov 8, 2010