In this thread I will post my journal of automated trading a diverse portfolio of strategies. The goal of this thread is to document the progress (or the lack) of my trading and have a constructive discussion with other traders, especially system traders. I will only post infrequently since about two thirds of the time I am flat (out of the market).
Some background information first. The instruments traded are some of the most liquid ETF, and these strategies are mostly short-term in nature, holding a few days. The exception is that two long-term trend following strategies that can hold as long as 6 months. There is no intraday strategy since 1) I have a day job, 2) I want the strategies to be reasonably scalable, though I might add one intraday strategy in the near future.
what's your usual holding time? (weeks? months?) how many strategies did you include in your portfolio of strategies?
The usual holding time is about a week, except for the two long-term trend-following ones. There are twelve strategies.
The attached pdf file is the correlation matrix of the daily PnL of the twelve strategies. In general the correlations are pretty low except for the strategy s3 and s11. The relative high correlation of the s3 and s11 will affect how the capital are allocated to them as will be discussed later. More details about the trading system. The system is written in C++ and utilizes the API to the IB TWS. It always uses the market order and it has been on live for slightly more than 1 ½ years in real money (before that I paper traded for two years).
The twelve strategies have not generated any signal so far since the journal began. However I just added an intraday strategy as I thought it would be a good idea to develop capacity to trade intraday market movement. Right now it is allocated a very small amount of money so it will not affect the overall performance in any meaningful way. Today the newly added strategy generated a round-trip trade: Short 45 spy at 14:00:02, filled at 197.52 Covered at 197.68 at 15:59:42 It was a small loss.
9:30:00 long 450 XLE at 99.82 9:30:00 long 400 SPY at 197.66 9:30:00 long 420 EFA at 67.82 15:59:43 long 396 EFA at 67.72 15:59:43 long 205 SPY at 196.999
shorted 45 spy at 194.22 covered at 193.11 <table border="0" cellpadding="0" cellspacing="0" width="64"><colgroup><col width="64"></colgroup><tbody><tr height="19"> <td style="height:14.4pt;width:48pt" align="right" height="19" width="64"> </td> </tr></tbody></table>