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Questions from a newbie: Strategies with very similar behavior.

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Lorenzo

Subscriber, bbp_participant, customer, community, sq-ultimate, 9 replies.

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2 weeks ago #280845

Hello everybody,
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.

Lorenzo

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tomas262

Administrator, sq-ultimate, 1 replies.

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1 week ago #281043

Lorenzo,

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

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Lorenzo

Subscriber, bbp_participant, customer, community, sq-ultimate, 9 replies.

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1 week ago #281048

Hi,

Tomas, you are very kind. Tomorrow I will see your link.

Thank you very much!!

Lorenzo

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