Very nice! Out of curiosity: - how often does the system trade on a given market? - are the majority of trades intraday, or held for several days or weeks?
Contrary to jcl, I don't doubt the # (I am assuming most of these are cranked out by PAL or similar). However, that seem really on the high side from a money-management point of view ... at least if you treat each strategy as totally independent from the other ones, hence allocating it its own "full-time" margin + max-drawdown requirements. How do you proceed in this area?
Given most markets are either positively or negatively correlated, taking all trades on all markets would be a good way to fast bankruptcy ... how do you address the correlation aspects ?
The most was 12 but usually only 8 or 9 of them were turrned on. Was a team of three and we were trading ~$4.5 million of (levered) exposure. One strategy was the core primary then about 2 or 3 others were solid and the rest were very hit or miss. Overall volume in the end was ~5M shares a day. Stopped trading because we couldn't get the rates any longer.
I think the devil is in the details when it comes to using one strategy across multiple markets. I've been doing that same thing for about 4 months now in 4 markets (ES, CL, Euro and NG) and while there are times when positions fire across multiple markets in the same direction, I've found that I am typically trading either none, 1 or 2 markets at the same time, but have yet to trade all 4 at the same time or even 3. Even the percentage of times I am trading 2 is fairly low, despite correlations between those markets.
3 systems, individualized, multiple parameters (including entry times etc.), ES, NQ, 6A, 6E, 6J, FGBL, ZB, ZN...day and swing trades
If markets are correlated, does that mean we only need to trade 1 index ?? I dont think so ya... there are many inefficiencies... and to tell you the answer is like giving you a 10 mil cheque
Trading correlated markets can in the worst case get the same return, it can never get a worse return. Unless, of course, some of the markets are not profitable with that system.
Correlated market concerns and (back-testing) in mho is highly overrated. Walk-forward optimization of the entire portfolio works well for me!