<snip>the goal of this thread was to find a way to exploit my real-time observations regarding lower account drawdowns when trading multiple strategies than what I would have experienced if traded them independently. Most of my opinions on this are admittedly 100% anecdotal but they are at least based on my real-time observations with capital at-risk.
I am sure there are probably better or more academically sound ways of doing this but my own personal preference is to develop the systems independently using whatever criteria I deem important and the only optimizations done at the multi-system level would be the tweaking of position size to allow me to trade each a bit more aggressively while staying below my pain threshold.<snip> I am working on improving my knowledge of 'portfolio efficiency' so I appreciate the feedback provided by people like Angelo and yourself who have 'real life' experience of trading multiple systems. Based on my theoretical considerations and 'bench testing, I think it is unlikely that we will find the optimum solution (whatever our objectives are) by: - relying on observation and experimentation in real life trading - blindly optimizing our way to it - hitting on some lucky allocations IMO portfolio efficiency is an excercise in maths and the math models already exist. There is no need to mimic Vince, or anyone else, but I believe that a consideration of the math models will quickly move us closer towards our personal goals. So far no one has suggested any portfolio model other than Vince's and the reference by Angelo. --- In [email protected], "bh.hicks" <bh.hi...@...> wrote: > > Howard, > I saw your post and thank you for participating in this discussion. I am > eagerly awaiting your new book. Please let me know when it is available for > pre-sale! > > All three of the systems I currently trade were developed as stand-alone > systems (on a different platform) and I have been trading all three for a > couple of years now (with constant tinkering). 2 of the 3 were profitable in > '08 and the 3rd was down only about 6%. The long/short index system had a > record year last year at 77% although it is under-performing thus far this > year. > > This approach has given me an average CAGR of slightly over 30% for the past > 3 years since I gave up discretionary trading. I am sure most people here > pull down numbers way better than that but my only point is that this passed > the point of being an academic exercise for me a couple of years ago. > > I am however an extremely conservative trader with very specific rules for > how I position size. I went into it a little bit here... > > http://finance.groups.yahoo.com/group/amibroker/message/138123 > > but the goal of this thread was to find a way to exploit my real-time > observations regarding lower account drawdowns when trading multiple > strategies than what I would have experienced if traded them independently. > Most of my opinions on this are admittedly 100% anecdotal but they are at > least based on my real-time observations with capital at-risk. > > I am sure there are probably better or more academically sound ways of doing > this but my own personal preference is to develop the systems independently > using whatever criteria I deem important and the only optimizations done at > the multi-system level would be the tweaking of position size to allow me to > trade each a bit more aggressively while staying below my pain threshold. > > Thanks again for your participation and I am eager to follow the development > of this topic and your new book. > > regards. > > > > > > > > > > > > > > > --- In [email protected], Howard B <howardbandy@> wrote: > > > > Hi bh -- > > > > It was suggestions such as the one you made earlier in this thread that > > prompted me to write the posting on portfolio construction. > > > > You wrote: > > "--------------------------- > > Out of curiosity ... are you finding it easy to come up with noncorrelated > > systems? > > > > Perhaps not "easy" but possible. Without going into too many details, the 3 > > systems I currently trade do the following. > > > > System A - a long/short mean-reversion system that trades the S&P (ES or > > SPY) using short-term overbought/oversold levels. Average hold time is 3-5 > > days, buys and sells the close. > > > > System B - a long only mean-reversion system that trades the entire stock > > market universe with a minimum price and liquidity requirements. It > > essentially buys short-term weakness on longer-term high relative strength > > stocks. Average hold time is 3-5 days, buys and sells the open. > > > > System C - a short only system that trades the entire stock market universe > > with a minimum price and liquidity requirements. I am very protective of > > this one because a short-only system that has an edge over the past 20 years > > through any market climate is rare but this system buys the open and sells > > the close of the same day. > > > > I need a longer-term system (2-3 week hold times) that buys strength rather > > than weakness to try and fill in the under-performance gaps during > > significant market rallies like what we are having now. I have found this > > extremely challenging to do quantitatively. > > ----------------------" > > > > The intent of my posting was to point out that there are several complex > > issues that should be considered when creating a portfolio of trading > > systems. > > > > They begin with analysis of the individual systems, asking questions such > > as: > > > > What are the optimum lengths of the in-sample periods for the three systems > > you are describing? > > Will the portfolio be created (the portfolio weights determined, and so > > forth) by re-selecting the parameter values for those systems as part of a > > portfolio? > > Or, by using the trade results that were obtained by running each > > separately? > > Are the results that were obtained by running each separately in-sample or > > out-of-sample? > > And so forth. > > > > Best wishes on the project (no sarcasm intended) -- let us all know how it > > turns out. > > > > Thanks, > > Howard > > > > > > On Sat, May 9, 2009 at 12:53 PM, bh.hicks <bh.hicks@> wrote: > > > > > > > > > > > Graham, > > > Let me think about specifically what my needs are regarding this over the > > > next few weeks and I may contact you. I am a little reluctant to pursue a > > > "custom" solution as I think there are others on this board way more > > > capable > > > of designing a better and more robust solution than I but it may make > > > sense. > > > Thank you. > > > > > > > > > --- In [email protected] <amibroker%40yahoogroups.com>, Graham > > > <kavemanperth@> wrote: > > > > > > > > It is possible to do, you just need to write this into the advanced > > > > backtest coding, low level coding is advisable. Takes a bit of work > > > > and ability to balance balls like a juggler. > > > > > > > > -- > > > > Cheers > > > > Graham Kav > > > > AFL Writing Service > > > > http://www.aflwriting.com > > > > > > > > > > > > > > > > 2009/5/6 bh.hicks <bh.hicks@>: > > > > > Ang, > > > > > Ah yes, I had gathered as much but thank you for your candor. I have > > > owned AB for over a year now but have just recently began using it for > > > more > > > than a general market scanner due to some limitations I ran into with > > > Traders Studio and a general frustration with the development cycle on > > > that > > > platform. Other than a few issues I have run into (like this one), I have > > > been very pleased with AB and also see myself moving away from Traders > > > Studio for 'most' things. > > > > > > > > > > This would certainly be an amazing addition to AB. Of course, the > > > feature would probably be lost on 90% of users so I understand the > > > reluctance to go down that path but I would certainly be willing to pay as > > > much if not more than I paid for AB itself for a robust plugin that was > > > able > > > to do this well. I suspect many others would as well. > > > > > > > > > > > > > > > --- In [email protected] <amibroker%40yahoogroups.com>, > > > "ang_60" <ima_cons@> wrote: > > > > >> > > > > >> --- In [email protected] <amibroker%40yahoogroups.com>, > > > "bh.hicks" <bh.hicks@> wrote: > > > > >> > > > > > >> > I am basically looking for a way to have AmiBroker run multiple > > > systems concurrently in order to examine how trading multiple > > > non-correlated > > > strategies affect drawdowns. > > > > >> > > > > >> > > > > >> As you are migrating from another software I happen to know a bit, > > > > >> the > > > short answer: as of today, Amibroker is not capable of "built in multiple > > > systems testing" as TraderStudio's trading plan approach. > > > > >> > > > > >> This matter was raised long ago by myself and others: if you are a > > > registered user, you can check suggestion #406 in the feedback center, > > > dated > > > 16 August 2006. > > > > >> > > > > >> In this list you can find very good programmers, claiming they are > > > able to get the multisystem/multimarket approach to work programming it by > > > scratch, but - to my knowledge - I've never seen a public (that is.... > > > free) > > > code able to do what I think is needed (and that's includes the two links > > > provided in this discussion). > > > > >> > > > > >> Just for clarity, this doesn't want to sound as a critic: I own > > > TraderStudio too, but by now the software I most use for testing is - by > > > far > > > - Amibroker. > > > > >> > > > > > > > > > > > > > > > > > > > > > > > > > ------------------------------------ > > > > > > > > > > **** IMPORTANT PLEASE READ **** > > > > > This group is for the discussion between users only. > > > > > This is *NOT* technical support channel. > > > > > > > > > > TO GET TECHNICAL SUPPORT send an e-mail directly to > > > > > SUPPORT {at} amibroker.com > > > > > > > > > > TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at > > > > > http://www.amibroker.com/feedback/ > > > > > (submissions sent via other channels won't be considered) > > > > > > > > > > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: > > > > > http://www.amibroker.com/devlog/ > > > > > > > > > > Yahoo! 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