Maximum of running automatic trading systems
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Hmm … I would pity the person who thought he had 100 systems worth running live. Probably living in the street by now.
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100 systems in fine as long as they are not heavily correlated. Having 100 systems all in a massive draw down because they are all correlated with the value of the dollar would be a disaster for example but having 100 non correlated systems all doing different things on different markets and on different currencies would be a great way to diversify and spread risk.
100 systems with a backtested profit factor of 0.9 to 1.50
Very best of luck with that! My comment was made mostly in jest. All I meant is that really reliable systems that one could run with real confidence are extremely rare; i’d be happy to find 8 or 10, esp as Vonasi says, working different markets with a different underlying logic.
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could calculate and display a matrix of correlations
This of any use?
https://www.hfmarkets.co.uk/uk/en/trading-tools/premium-trader-correlation-matrix.htm
There is an explanatory video half way down the above page.
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could calculate and display a matrix of correlations
This of any use?
https://www.hfmarkets.co.uk/uk/en/trading-tools/premium-trader-correlation-matrix.htm
There is an explanatory video half way down the above page.
Thanks I did not know this platform. But this is based on correlations between markets or forex pairs and what I would like to have is a matrix based on our systems (backtests). Today the only thing we can do is to diversify the “styles” of our systems on the same index : for example a mean reversion style and a momentum style, and then we expect they will not be too correlated. But it is an expectation and we have no figures, no tool…
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