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Terry,
We’ll be discussing this in next week’s call, but basically, our focus is pushing for multiple equity pathways and lower volatility, specifically moving a move away from the single print maxDD as a guideline.What I’m doing is trading a series of lower-risk, lower-leveraged, MOC systems that are uncorrelated. On their own, they don’t look like much, but, as Kate alluded to, combined they become quite potent. More importantly, we’re not relying on a single setup/equity pathway. This seems to be the trap for many in the MOC/MR space over the last 18 months.
Here are the current stats, where I have 3x Long/Short MOC systems and have added in the short version of the HFT (multi day). The long HFT is traded in another account.
Now, when you put them together, the correlations are very low – not much green or red on the page. As you can see above, leverage is still well controlled, meaning I have scope to add more – so long as the correlations remain low.
Hi Terry,
It is early days for me, but results so far look interesting on the MOCs.
This is a combined strategy with 7 long / short strategies, MOC only. Position sizing and risk per position is very modest.
Now I’m attempting to add more systems to generate higher returns. It requires a different mindset and I’m still wrapping my head around how to stress test the ideas effectively (e.g do I do it in the entire template or stress test individually).
Terry I have been developing my strategies this way for over a year now. Unfortunately the mean reversion idea hasn’t been particularly profitable in that time, but I carried on developing that way.
I keep one symbol across all multi day hold strategies, and one symbol across all MOC strategies. MOC and MR can hold the same stock. I use statsgroups to control this.
I have no more than 3 conditions for entry in any one strategy, apart from price and liquidity filters, although the majority only have 2.
If an MOC strategy has more than a 10% MDD during InSample or OutOfSample testing, I don’t use it. For MR I allow a deeper MDD, up to 20%
I use the same stretch for all strategies, to avoid the temptation to make things less robust. Most strategies are based on InMEL, however all shorts are InRUI only and that has helped me to get fills that I wasn’t getting in the wider universe of stocks.
I have four different ranking methods, which helps to differentiate between selections.
My theoretical leverage would appear to be massive, as I have 15 strategies all using around 8% or 5% of total account size, however using statsgroups I can set the combined leverage exposure to 400 and on average it is around 150%
All looks great on paper, but in all honesty I’m still waiting for it to pay off. However I think I have the theory correct, and seeing as Nick seems to have been working on the same kind of lines is solace. As far as I can see, I have done as much as I can to set the probability in my favour. I just have to wait.
This is the InSample drawdown Graph and a section of the Report…I have a number of strategies only producing 2-3% but I still keep them as they cost me nothing in time or opportunity cost to run as they are all part of the same script, so I figure why not.
I uploaded a pdf as I’ve never been able to get a screenshot to work well in this forum..not sure why
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