I think you are assuming, when you say higher frequency strategies will dominate, that they all share the same position. I.e. if a low frequency strategy sets the position to 1, and then a high frequency strategy sets it to 1, 0, 1, 0, 1, 0, that your low frequency strategy will get closed out by the high frequency strategy.
This is not true. The two strategies "stack". The end effect is that low frequency strategy + high frequency strategy (of the example in the first paragraph) will set the positions owned by JBT as a whole to 2,1,2,1,2,1. On Wed, Aug 5, 2009 at 6:47 PM, JBTrader <[email protected]> wrote: > > Also, Higher frequency strategies will always "dominate" lowe > frequency strategies... > it might be very tricky to run multiple strategies at a time? > > What's your expirience? Are you runing many strategies at a time? > > Thanks > > On Aug 6, 2:39 am, JBTrader <[email protected]> wrote: > > Hmmm... so in case they all agree to be long, it is probably OK to be > > long... > > so you are not concerned about their interference? > > > > right? > > > > On Aug 6, 2:34 am, Eugene Kononov <[email protected]> wrote: > > > > > > But... they will interfere... they are not aware of each other > > > > positions? > > > > > > For example strategy A goes short > > > > In the meantime B goes long .... (position is zero) > > > > Now A makes decision to go long (buys 2 contracts) > > > > Now C makes decision to go Long as well and we have 3 contracts > > > > > > Is my understanding OK? > > > > > No, the running strategies are not "aware" of the other strategies or > their > > > positions, they all run independently. Yes, in the scenario that you've > > > described above, you would be 3 contracts long. > > > --~--~---------~--~----~------------~-------~--~----~ You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected] To unsubscribe from this group, send email to [email protected] For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en -~----------~----~----~----~------~----~------~--~---
