I don't wish to diminish the results of what is obviously a ton
of work, but I think I should point out that one of the biggest
issues with this type of system is correlated risk. At some
point over the life of the system, you're going to have multiple
signals firing at once (likely in addition to the SPY system) and
EACH signal can be in drawdown at the same time. It is
important to consider (and really post) the drawdown that each
signal experienced on its way to achieving each gain. I
believe there is a way to run this in Tradestation (I think using
Portfolio Maestro), but it currently beyond my programming
capabilities. Capital allocation with respect to drawdown is
critical (even using options)and not addressing this going in will
likely result in your fielding "angry posts" from users not fully
understanding how to trade the system (LOL). I say this
realizing that you are early in development and haven't sent out
any signals yet -- just thought I'd mention this as a point to
consider and focus on going forward.
(As a side note, it was your original RSI2 system that first
brought me to BPT several years ago.)
System trading (especially mean-reversion) can be
difficult/impossible without proper position sizing.
(I think I should get that tattooed on my forehead!!)
that's why I think in a real world - if you have things 5 or 6
going on the same day - the ones that tend to do the same trades
SPY, SPDW etc, don't do them both. If XLE and OIH go same day don't
do both - or if you have a decent account just spilt the same money
into them all. Yes can do options to limit risk but I'm not sure if
the options for the other ETF's trade after hrs like SPY does, if
the do not then may be not always be able to do options in time.
There are times when 6 - 8 get into a trade at the same time, one
could always set a limit of say max 4 or 5 or something
I'm also sure there's some awesome way to use options to limit
the risk - like some spreads or some out of money cheap puts that
would add some protection but reduce some profits as
well.
yes with systems you have to go in with a plan - too many don't
have a plan and just swing for fences then can't handle draw downs.
define a plan, and start small only - over time after profits have
been made then you can slowly start increasing allocation
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Hey Matt- I don't wish to
RSI 2 reversion to mean on a basket of ETF's
Posted by pep8261 on 13th of Oct 2021 at 12:35 pm
Hey Matt-
I don't wish to diminish the results of what is obviously a ton of work, but I think I should point out that one of the biggest issues with this type of system is correlated risk. At some point over the life of the system, you're going to have multiple signals firing at once (likely in addition to the SPY system) and EACH signal can be in drawdown at the same time. It is important to consider (and really post) the drawdown that each signal experienced on its way to achieving each gain. I believe there is a way to run this in Tradestation (I think using Portfolio Maestro), but it currently beyond my programming capabilities. Capital allocation with respect to drawdown is critical (even using options)and not addressing this going in will likely result in your fielding "angry posts" from users not fully understanding how to trade the system (LOL). I say this realizing that you are early in development and haven't sent out any signals yet -- just thought I'd mention this as a point to consider and focus on going forward.
(As a side note, it was your original RSI2 system that first brought me to BPT several years ago.)
System trading (especially mean-reversion) can be difficult/impossible without proper position sizing.
(I think I should get that tattooed on my forehead!!)
that's why I think in
Posted by matt on 13th of Oct 2021 at 12:51 pm
that's why I think in a real world - if you have things 5 or 6 going on the same day - the ones that tend to do the same trades SPY, SPDW etc, don't do them both. If XLE and OIH go same day don't do both - or if you have a decent account just spilt the same money into them all. Yes can do options to limit risk but I'm not sure if the options for the other ETF's trade after hrs like SPY does, if the do not then may be not always be able to do options in time. There are times when 6 - 8 get into a trade at the same time, one could always set a limit of say max 4 or 5 or something
I'm also sure there's some awesome way to use options to limit the risk - like some spreads or some out of money cheap puts that would add some protection but reduce some profits as well.
yes with systems you have to go in with a plan - too many don't have a plan and just swing for fences then can't handle draw downs. define a plan, and start small only - over time after profits have been made then you can slowly start increasing allocation