I wanted to gather up some insight and literature on creating a portfolio of multiple trading systems. Diversification is very important, and I am looking to gather some info on various ways to smooth out the equity curve.
Diversification= smoother equity curve
Trendfollowing - ORB
- channel/band break out (donchian, %bands, Bolinger, Keltner or ATR bands......
- moving averages
Buying on dips with longer time frame trend-
Mean Reverting Strategies- cyclical analysis, stat arb (pair trading), VWAP band (intraday), seasonal cycle trading, index arb,
There certainly are many ways to skin the cat. Anyways, I am looking for recommendations on what some of you have found works best, and what works best for smaller account guys <250k . Trying to diversify by trading a basket of commodities makes it very very difficult since fixed % betting is near impossible.
Soo suggestion on books that are written for designing portfolios with multiple trading systems, trading a basket of instruments, on various time frames. With proper money management allocation.
For smaller accounts that cant trade 100+ instruments, can we find same diversification by trading variations of trend following systems , perhaps on different timeframes? How does one determine position size for two systems with very different trade frequencies, say 1 system trades on avg 2x/week while another 20 ?
All suggestions are welcome.
I focus first on finding profitable strategies that are easy for me to trade. I have a small diversified buy and hold portfolio, a long term (months) momentum portfolio (401K with 30 day trading restrictions), factor based stock models (long and short) with hold time of a couple weeks, and mean reversion (long and short) with a hold time of a couple days. Now looking into a short term (days) trend following strategy). I won't win any trading contests this way but it is a way to control risk that works for me.