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Position trading 100 ... and more



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-----Message d'origine-----
De : Gary Fritz [mailto:fritz@xxxxxxxx] 
Envoyé : mercredi 16 avril 2008 19:29
À : omega-List
Objet : Re: Position trading 100+ futures markets times 8 systems

Great post, Mark.  I agree with your and Bob's comments:  basic portfolio 
theory says the Sharpe ratio will increase as the square root of the number 
of market/systems being traded.  So, assuming you have a system that is at 
least modestly profitable, trading it in many markets can smooth out the 
equity gyrations and make for a less stressful trading experience.

Of course, as Mark said, managing hundreds of open positions is a 
challenge in itself, even if you have the capital necessary to hold
positions in 
so many markets.  But the fundamental requirement is to have a system that 
is at least "modestly profitable" in virtually all markets.
 
====================================================
Maybe  you will  be interested  in  what  we are currently doing ( the
discussion  forum is in  french, sorry,  but there are  web translators
that  work  fairly well).
It  goes in  this  direction ,  but  far  beyond,  since  the allocation of
the portfolio is  dynamic.

The Portfolio management  is  currently  using  up to 1000 tradeables
(tradeable= any  system + any instrument+ any timeframe, up to  1000 ,
different by at least  one of  these  three factors),  the total  being seen
as a pool, a system  tank, you  got the idea)   using  a managed  size
below 1000, of  course.

Thee  managed  portfolio  will pick  the  next line in the   pool (among
the 1000 or  less candidates)  when a  trade is  closing in  the managed
portfolio (  managed size << pool size, of  course)
Several  system pools allowed ( up to 1000 lines  for all), several
management schemes allowed,  works   with  any timeframe or  mixed
timeframes.

All of  this is  driven   by  a money management code that  pick  the  best
system  for the  next trade  to  come.

And  more, it's  backtestable.

Comes with  automated  orders (TS Tech  and  any Ninja Trader compatible
broker) and is range  bars strategies  enabled too.
Now end of  beta stage, but it's already  overall  workable.

Next  step is the rebuilt of  the  web site and realtime results publishing.

You  may have a look to:
http://www.sirtrade.com/Invision/index.php?s=df1985f42154e12e2b46388e1c66f09
5&showforum=5

Non only it acts as you explained  but it's also a   kind  of  insurance
against a future  weak trading systembehaviour,  since   the  portfolio
contracts  with  the current  selected  system only  for  the  current
trade. If  it  fails,  the  it will be replaced   by the  next  best  one
from  the  pool.
In fact  the  managed  portfolio is  consistently  changing according to
the  behavior  of all  the  pool  equity  curves


Rgds
 
Pierre Orphelin
www. sirtrade.com