Multi-Model

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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wguan
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Multi-Model

Post by wguan » Mon Aug 27, 2012 7:33 pm

I was wondering what others think about parameter insensitive models. These are a set of trading systems that are exploiting the exact same type of anomaly but with varying parameter. For example, trading different versions of RSI2. The idea is to robustly extract profits from an anomaly while avoiding the downside of single parameter set selection. Any thoughts?

Here are a few charts I've put together, but this single experiment may not be very conclusive.

Model1 (rsi1): RSI(2) 50/50
Model2 (rsi2): RSI(2) Buy: <30 Short: >70
Model3 (rsi3): RSI(2) Buy: <30 Sell: >50 Short: >70 Cover: <50
Model4 (no.reb): equal weight but no rebalance
Model5 (reb): equal weight rebalance weekly
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sluggo
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Post by sluggo » Tue Aug 28, 2012 11:59 am


wguan
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Post by wguan » Tue Aug 28, 2012 12:55 pm

Thanks so much sluggo, just what I was looking for.

wguan
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Post by wguan » Fri Aug 31, 2012 1:06 am

FWIW, I thought i'd post a superficial analysis to the idea of voting...

I've taken 3 correlated strategies (mean reverting in nature) (signal correlation attached n=60), and tested the performance of equal weighing each strategy verses voting.

The voting procedure was to take trades if 2 or 3 out of 3 strategies provided long or short signals. Equal weight with 33% allocation to each strategy and rebalancing monthly.

Note: results do not include commission + slippage, simulated using daily return of SPY

Edit: one burning question on the back of my mind is how would one go about formulating strategies given a bunch of entry, exit, and money management components. It's probably confidential, but fall river seem to employ computers to search up trading systems. Anyone have any ideas how this works? I'd love to write an algo and test out some truly uncorrelated models. Thanks
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Macro
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Post by Macro » Sun Sep 02, 2012 7:09 pm

awesome work, wguan!

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