How many of your algos lost money last week?
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normally takes place more easily with long time frames
I think that is probably key to why you did better over the past week. Mine are mostly running on 2min and 5min TF, not a problem in a proper downturn but if you look at the DAX, it’s been sideways since Nov 4. Still making new highs but in a non-committal sort of way … 15m TF is less likely to get confused by that.
When you have a portfolio with several algorithms running in Live, long time frames have many advantages over short time frames:
1) They give you the security of being able to earn consistently every year.
2) They are not re-optimized for some time sometimes for years.
3) Normally they are not afraid of the market descents that periodically occur in a market, as happened in September or last week.
Hello
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Great topic, thanks for starting this thread. I have migrated away from lower time frame strategies, 1 and 2 minutes, to focus more on 15 minute time frames and beyond. I still run a few strategies on a 5 minute TF but will eventually migrate these to higher TFs. Whilst you may get a similar number of trades in a back test between lower and higher TFs, the higher TFs allow you to see how the strategy performed over a much longer period of time during real market stresses. In a previous life I used to run various stress test scenarios as part of our overall trading risk framework, it helps identify a range of potential pitfalls.
I am running 12 strategies, 6 are currently profitable on the month and offset the losses of the other 6 which are currently down. I attribute being net up on the month to having a diversified portfolio running different strategies (mostly breakout, momentum, mean reversion and price action). Performance across the indices (DJI, NASDAQ and DAX) and TF’s (5, 10 and 15) is fairly evenly distributed. I don’t use PRT for my US Equities or Options trading.
Agree with about the use of standard deviation as a entry filter, it can be very effective at helping to avoid entering choppy markets, save for mean reversion strategies where it can actually form part of the entry criteria. For exits I look to tighten trailing stops in volatile conditions.
Again, like the topic as well as peoples responses.
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