Thanks, HobbyTrading. I hope you enjoyed living in Japan. Japan is a good country to live for Japanese for sure, but not sure for non-Japanese. Firstly language is a problem, and also many complicated procedures in government related areas. It is flustrating that this country is under depression for 30 years. However I hear living in countries of depression, while earning money from growing countries, is a nice choise. I am not sure of it but that is where I am. My learning from you is that what matters is to run the system you believe in. I will try to keep up!
Please don't blindly follow anybody, even me! To be clear: I don't exactly do this; I don't actually dynamically change the definition of whether something does or does not require thresholding, they have remained fixed for several years. As a result my thresholding would probably require an occasional check to see whether instruments are classified correctly; but I plan to replace thresholding with a more elegant process at some point anyway. GAT
Val's journal is here https://www.elitetrader.com/et/threads/fully-automated-stocks-trading.346201/ GAT
Hi GAT! Yes I am on my way to gain eyesight. It needs to be done before it's too late... How come I cannot come up with such a simple solution! It is somewhat similar to your answer for my question on how to pick trading rule variations to apply for each instruments, of which volatility changes over time. I will do so starting now. Checking once a while is much easier comparing to checking every day and adjust the the risk weights manually (this is what I have been doing lately...pretty annoying). Thanks!
Thanks HobbyTrading. I did read this blog post. My takeaway was that if you have 2 choices, A) instrument with max contracts of 3 or bigger, B) a instrument with max contracts of 2, and a new instrument with max contracts of 1, go with B at any time. The 3 curves looks pretty proportional regardless of x.
No stat arb. ~80% mean reversion with a tiny bit of TF for diversity and better combined stats. There are several systems each targeting their own setups in stocks, both sides - long and short. Math is so simple that I don't even perceive it as math. It is relatively complex on the execution side though. Both me and Marsten independently created our own backtesting and execution pieces. I eventually swapped mine with his for backtesting but keep mine for execution. It is just under 10k lines of code in Kotlin. Most of my complexity comes from massaging orders to get good executions, error handling associated with that and some self-healing routines as it runs on a server and I don't typically touch it. Val
Hi all, A thought somewhat related to market diversification. What would be the downside of keeping more instruments in your portfolio beyond your risk target? You will be able to pick trending market effectively from broarder market, particularly when your risk is not fully used up by your position. You just need to set the rule not to place order that exceeds your risk limit... does this sound like a bad idea? Or is this something you all do already??
It's something I am considering. It's more complicated than it sounds, but may still be worth doing. GAT
Hi GAT! Oh I see. I put this in the very end of my long to do list. Priority for me is to learn coding so that I will be able to run backtest with the very basic strategy. Thanks!