High Frequency strategy on ASX

[SaidBitar]

50% margin

The reason of using margin is because drawdown is so small without margin and when margin is used it increases but still good

Another reason is for higher returns

Tstats are from single run the mcs are not far a bit higher dd

[LeeDanello]

Impressive mertics. Thanks for sharing

[SaidBitar]

I totally agree
On paper things look good
And as Nick always says next 1000 trades

Three thing that are needed
1 discipline
2 time
3 more days like yesterday

[ScottMcNab]

Reducing the number of positions to 10 would, I imagine, improve exposure but 10 positions at 10% is asking for trouble perhaps ?

[ScottMcNab]

Or is it more a practical issue of liquidity with a large portfolio ?

[Nick Radge]

10 positions of 10% is fine but the issue is one of selection bias.

If you run the trade skipping MCS and the results are tight then no issues.

I just prefer a little more diversification.

[ScottMcNab]

Thanks Nick. My interest was sparked when I was re-reading the profit maximization module….was thinking another approach may be to have one of the systems with the position size ramped up…increased risk but increase return through exposure…but used as one of a number of systems

[TrentRothall]

Scott McNab wrote:

Thanks Nick. My interest was sparked when I was re-reading the profit maximization module….was thinking another approach may be to have one of the systems with the position size ramped up…increased risk but increase return through exposure…but used as one of a number of systems

I have thought about something like 16 positions at 12% or 15 at 13%, when thinking about the topic you are talking about Scott. if MDD etc still suited

[SaidBitar]

Why you don’t run rolling windows on short term such as one day and check the number of trades that you have.
if you found out that most of the time you have between 10 to 15 trades then 20 will be a bit large for this market and may be it will be good idea to decrease the number of trades i.e. increasing the position size so you will have more returns. but if the percentage of days where you have 20 trades is good then better to stick with 20 trades.

Or may be you can keep 20 trades and decrease the stretch a bit so you can be sure that you are filled on more orders.

[SaidBitar]

Another thing if you stay with 20 positions it makes you follow your system better. For example in the US market may be only two or three days per month i am holding 20 positions but everyday i put lots of orders and very few get filled. the reason i do not switch to a lower number of positions is that there are really bad trades out there, that will make you think that maybe i need to have some stops in my system or i should put exit based on time but when you see that the position is small and the loss is still OK than you will kick out these ideas and just do what the system is saying.

here is one bad one i am in at the moment.

everyday lower close and I do not feel that it is going to take a break soon

[TrentRothall]

Would you run rolling windows on the full test period? 2000-2016? i imagine that may take a while but might only need say 5 years?

[ScottMcNab]

Yeah…thats an interesting and I suspect very valid point Said that I hadn’t given enough thought to…having more positions may help prevent panic from taking hold and over-riding the system

[SaidBitar]

Scott McNab wrote:

Yeah…thats an interesting and I suspect very valid point Said that I hadn’t given enough thought to…having more positions may help prevent panic from taking hold and over-riding the system

sometimes the market is not in mood and it decides to go down so you will have gap down you will get filled on your orders and continue down, had this day this month i do not remember exactly which day end of the day i was around 5% down with 20 positions so if i had 10 i will be may be 10% down or even more. what i want to say the day to day volatility will increase. So for me at this stage i prefer to play safe till my confidence in the system is boosted and some profits are sitting in the account then maybe then i will play with volatility.

[TrentRothall]

I have a hard exit on the 7th day to avoid the constant drop, dosn’t affect any other metric just makes the ave loss and ave loss time smaller

[TrentRothall]

Said Bitar wrote:

So for me at this stage i prefer to play safe till my confidence in the system is boosted and some profits are sitting in the account then maybe then i will play with volatility.

That’s a good point

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