In your testing...

Discussions about the testing and simulation of mechanical trading systems using historical data and other methods. Trading Blox Customers should post Trading Blox specific questions in the Customer Support forum.
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LeviF
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In your testing...

Post by LeviF »

If you get a signal to buy 2 instruments, but can only take 1 for whatever reason, do you find it more profitable to buy: 1) the stronger of the two (based on some recent performance measure); 2) the weaker of the two; or 3) half position in both?
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Mathemagician
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Re: In your testing...

Post by Mathemagician »

levijean wrote:If you get a signal to buy 2 instruments, but can only take 1 for whatever reason, do you find it more profitable to buy: 1) the stronger of the two (based on some recent performance measure); 2) the weaker of the two; or 3) half position in both?
Doesn't option 3 kind of negate the dilemma?

M
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TrendsCatcher
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Post by TrendsCatcher »

In the long run, (1) is the way to go, especially if the two instruments are from the same sector, eg, crude oil vs heating oil
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