Multiple systems in one

Discussion in 'Automated Trading' started by TraDaToR, Jun 28, 2007.

  1. TraDaToR


    I've been testing an idea lately and I would like some feedbacks if someone is using the same kind of approach.

    Let's say you have 3 different decent systems on a single instrument. It's commonly accepted that trading multiple systems on a single instrument is quite a good approach as soon as the systems are not correlated.

    In real time, for 3 stop and reversal systems, you can be long 3, short 3, long 1 or short 1( because the other have contradictory signals ). Is it not better just to be long when the 3 are long and short when the 3 are short?

    I've been running some tests on out of sample, and results are quite good.

    Is there someone using this approach?

  2. I have been trying to do something like this, but have not had any success, how much improvement does combining your strategies make to your draw downs and etc?
  3. TraDaToR


    On my tests, it reduces DD and profits. Overall ROA is improved.