Questions from a newbie: Strategies with very similar behavior.
2 weeks ago #280845
I’m new to Strategy Quant X. I started studying it and generating my first strategies.
I’m applying a first simple workflow: once I have obtained a historical series, I take a period for the in-sample and a first period for the out-of-sample. I set money management a spread that is double my broker average, slippage, and ranking based on Ret/DD Ratio = x * years, setting profit factor, and number of trades.
Once I have the first strategies, I run the following tests:
1. I run a second test on a second out-of-sample before the in-sample, adjusting the Ret/DD ratio.
2. I run a robustness test underlining strategies by increasing slippage on the initial build period, including the first out-of-sample time frame.
3. Then I try another poorly correlated market.
4. I randomly run a Monte Carlo test on the parameters (carrying out 200 simulations).
At this point I was left with a few strategies and ran them on a demo account.
I come to the question I wanted to ask you:
I set as money management the exposure for each strategy of 1% of the account balance. However, I observe that the strategies are very similar and practically all are activated almost simultaneously. Is this correct from a money management point of view? Could this very similar behavior depend on the way in which the stress tests are constructed?
I forgot I’m working on EURUSD H1 timeframes. I currently have a small group of 4 strategies, and they enter the market once a week is that a normal frequency considering the times?
Thanks and sorry for the silly newbie questions.
you need to make sure strategies are not correlated. If one loses other should have different characteristics which is not an easy task to do when trading a single market.
See the clip attached how to check portfolio correlations in SQX
1 week ago #281048
Tomas, you are very kind. Tomorrow I will see your link.
Thank you very much!!
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