Combining multiple trend following methods except for maybe ones which trade on different timeframes, for example intermediate, trades lasting 20-50 bars and another one lasting 75-150 bars do not help you. What does help you is combining counter trend systems with trend following ones. This strategy greatly improves risk adjusted returns and is the "CORE" behind my trading methodology. Different counter trend systems can help, for example if one is price based counter trend and the other is intermarket based , that can help performance.
Best post in thread. Diversification of instruments is waaay overrated. There's a reason why one famous fund manager calls it diWORSEsification. What you want is a multi-instrument strategy that keeps you in the best performer(s), not a strategy that depends on you splitting up your account between all the available choices including the mediocrities. As a trader, not an investor, you can and should keep on top of the changes in your chosen timeframe and act in a timely fashion to dump the low performing instruments and stay in the top performers. As far as correlation, there's always an instrument or two that bucks the crowd. Find it and use it in a timely manner, e.g., find the stock or two that doesn't follow the crowd down in a downturn. Or go to cash and wait out the downturn. In other words, stop acting like a buy-and-hope idiot investor.
#1: Long Bias Equities Beta 1. Total Long stocks = $100k. Short stocks = 50k #2 Long/Short market Neutral Equities/futures/options Beta 0. Total Long stocks = $50k. Short stocks = 50k #3 Short Bias Equities Beta -1 Short stocks = 50k Use these 3 combined, 33.3,33.3,33.3%. There you have Market Neutral, hedged, and diversified. How can they move together in the wrong direction?
How do YOU stay on top of this? Would you use something like a rolling weekly/monthly program of simulation updates across your target instrument universe to identify new inclusions for the basket to replace the removed laggards? What criteria do you use? Thanks.
Look. When you have a new opportunity to enter a new trade, take a look across all your current stocks in your portfolio. I constantly have 10-20 stocks. Then its obvious. Cut the losers, hold the winners, stop the bleeding. But if you have no new trades or new chance to profit, just let the losers hang there, else you gonna screw up with more trades that produces nothing.
A week ago I read something about MultiSystem, Multi-instrument in this article... http://articles.mql4.com/935