As to why it's good to add uncorrelated strategies to a portfolio, imagine that you trade two uncorrelated strategies after each other. The return...
Of course you can not improve the system by adding a uncorrelated losing strategy, but you can improve the profit by adding a losing strategy with...
That's right, but you need not use one strategy as a filter. Both strategies can be traded independently. When the strategy returns are...
Theoretically, it should be possible to make money even with a strategy that is not profitable. I don't mean selling it to newbies for $10000, but...
What is the problem with trading multiple time frames at the same time? When algorithm A is profitable in a 30 minutes time frame and algorithm...
Simple trend following does certainly work, however not with the strategy from that book, which is a little "too simple". Anyway, this is the...
It depends on the strategy, or rather, on the "trendiness" of its equity curve. When the market situation does not change in a chaotic way, such a...
I try to combine several trend and counter trend algorithms in the same strategy, for getting a smoother equity curve. But this is not really an...
The results are similar with most other pairs. That's because currencies are not really uncorrelated. Interestingly, the price curves of many...
There is a rather simple trick which works for most (not all) strategies: You need a platform that is able to simulate trades not only in a...
The equity curve below is from a WFO test of a simple trend following system from a trading book: [img] This is an interesting curve. From...
I haven't heard yet from the zero lag EMA indicator, but if I understand your formula correctly, it's the EMA of the price momentum. This is more...
If a system is profitable depends on many factors, not alone on the filter. But it's certainly easier to write a profitable system with a second...
SteveNYC: A chart of a lowpass filter was posted here some months ago, look for a thread titled like "extremely simple profitable strategies" or...
Highpass, lowpass, and bandpass filters. This is the lite-C code for a simple second degree lowpass filter: var smoothF(int period) { return...
If I had a profit factor 5, I would probably also not care about the Sharpe ratio. My best profit factor is 2. With which method do you get 5?
Indeed, eliminating losses seems in fact to make strategies less profitable. The most profitable strategies I found had a win rate in the 40%...
The tick frequency is maybe not very significant. Do you get it from your broker? It then depends more on the broker's trade volume, than of the...
Interesting. If I understand your system right, this is the code: asset("SPX500"); BarPeriod = 60; Stop = 10; Profit = 10;...
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