I would offer up a bit of caution around the basket of systems:
Dont over-optimize or curve fit. What works for SPY/ES should in
theory work for other instruments as well without
over-optimization.. While attempting to “diversify”, you may find
that your signals are highly correlated. Product non-correlation
does not necessarily ensure signal non-correlation. May be
necessary to test correlation risk using TS portfolio maestro
(skills beyond my realm of expertise-lol). Having said what
I’m sure you already know, I look forward to seeing the results of
what I am sure is an extremely time-consuming endeavor!! Good
luck!
(Also- EOD systems on GLD tend to be difficult as the product
rarely closes at it’s highs and lows like the equity markets do. At
least that’s been my experience. I’ve never been able to make a
good GLD/SLV “system” so looking forward to that one
especially)
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I would offer up a
Reversion to mean systems basket
Posted by pep8261 on 15th of Jul 2022 at 04:17 am
I would offer up a bit of caution around the basket of systems: Dont over-optimize or curve fit. What works for SPY/ES should in theory work for other instruments as well without over-optimization.. While attempting to “diversify”, you may find that your signals are highly correlated. Product non-correlation does not necessarily ensure signal non-correlation. May be necessary to test correlation risk using TS portfolio maestro (skills beyond my realm of expertise-lol). Having said what I’m sure you already know, I look forward to seeing the results of what I am sure is an extremely time-consuming endeavor!! Good luck!
(Also- EOD systems on GLD tend to be difficult as the product rarely closes at it’s highs and lows like the equity markets do. At least that’s been my experience. I’ve never been able to make a good GLD/SLV “system” so looking forward to that one especially)