> the idea that is coming up here, seems to be very interesting: having > portfolios from multiple instruments. > I believe this would be a great addition. > Let's suppose you have to strategies on different instruments: > but you want to trade only one: if there would be portfolio management > in jbooktrader, you > could take the first signal and ignore the second by the other > strategy, if it arrives, while you are in > the market. - Or if we add some sort of reliability indicator to the > strategies, you could allocate money to the > different strategies based on the expected quality of the signals. > This would be very interesting. > > Also one could have multiple strategies on the same asset. The > portfolio could trade a multiple of those, but > at most 3 (e.g.,). So, a portfolio could add across strategies money > and risk management. Something which > can at this point not be done with jbooktrader. > But I am afraid, this would mean a VERY significant extension and > modification of the software... > >
I personally find the ideas both fascinating and terrible, and there is a very logical reason why: When you design a strategy in JBT, you test it with whatever position sizing strategy you build into the strategy. The back test results assume that you trade the position rule VERY STRICTLY. When you deviate from this rule, you are deviating from the strategy, and the backtest results are useless. For example, let us assume you are trading 1 strategy on, say, currency, such as EUR/USD. Let's assume you are trading a second strategy with ES as the instrument. What you are proposing, then, is that when the ES strategy wants to set a position, you ignore the EUR/USD strategy. You might try this and find that it works extremely well. You might also try this and find it disastrous, because the markets have some kind of interlinkage where the signal you got on ES is bad, and its one of your loser trades, but meanwhile the ES strategy would start winning big. Many strategies tend to have a lot of small losing trades, and big winning trades - and you really don't want to miss those winning traders. Basically you want to trade a strategy as tested, always, including position sizing, and position timing. You cannot whimsically pick and chose when to trade it - or how big to size your position. If you define a rule in your testing, you need to stick to that rule. To properly do what you propose, you need to build a multi-instrument strategy (JBT is NOT designed to do that) and test it - one that has the full relative position sizing rules built into it. I personally think you guys are getting way ahead of yourselves. Start by designing strategies that work on ES, and ES only, and plan on trading one strategy. If you get that far, you are doing really well, and then you should figure out what the next step for the platform is, code it, and donate the code back. If you can't get past that first step, figure out why not - maybe we need to make the tools we have better before we can move to new fancy features. If we can't chop down a tree, why are we worrying expanding our logging truck fleet? -- 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.
