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While pulling the bar, I came up with an absolutely clear method of diversifying several strategies:
That is all, we have a certain set of TS with their weight coefficients. We respectively crossed all these TS and obtained the most diversified Super-TS with an absolutely precisely defined level of risk (see point 6).
1. The proposed method has nothing to do with what I wrote in point 3.
2. Who cares if they are losing on the OOS, as long as they seem to be losing. That's what statistical arbitrage is all about.1. The proposed method highlights positively correlated signals and suppresses negatively correlated signals. Isn't that a way of finding correlations? Then we are somewhere off on the terminology.
2. Maybe I do not understand the method of such trading. Can you elaborate? How to statistically arbitrage two sequences of trading signals for the same instrument?
As for the EA, time will tell what it is worth.
That's it, we got a specific set of TS with their own weight coefficients. We respectively crossed all these TS and obtained the most diversified Super-TS with an absolutely precisely defined level of risk (see point 6).
While pulling the bar, I came up with an absolutely clear method of diversifying several strategies:
That is all, we have a certain set of TS with their weight coefficients. Accordingly all these TS were crossed and obtained the maximum diversified Super-TS with exactly defined level of risk (see point 6).
This is exactly what Reshetov was dealing with in his previous project.
Here (in this topic) the idea is slightly different. Use logical multiplication instead of logical addition of signals. It is assumed (and practice confirms) that a considerable part of noise will be filtered out.
zy. Correction. Instead of arithmetic addition. // further on in the text.
1. The proposed method selects positively correlated signals and suppresses negatively correlated signals. Isn't that a way of finding correlations? Then we are somewhere off on the terminology.
I don't want to discuss the method proposed by the topicstarter any more.
2. Maybe I do not understand the method of such trading. Can you elaborate? How to statistically arbitrage two sequences of trading signals for the same instrument?
You can trade any number of sequences of trading signals for any number of instruments.
I am answering the question posed:
You probably won't believe it, but I've done it. The results are good, sometimes even impressive. But still, even such Super TCs do not provide guarantees. And you need to apply other methods.
This is roughly what Reshetov did in his previous project.
You can trade any number of sequences of trading signals on any number of instruments at once.
To answer the question posed:
You probably won't believe it, but I've done it. The results are good, sometimes even impressive. But still even such Super TS do not give guarantees. And you need to apply other methods.
The trick is that as the window moves (interval), even when our TC set does not change, the scales float. Well, the set of TCs also has to change.
This is the kind of self-adaptive Super TS that needs to be statistically investigated. I agree it is much better than all other proposed options, but from my point of view it is better not to deal with such diversification of TS (which in fact are multivariable functions of financial instruments, i.e. simply convert price BPs into Profit BPs), but go straight to searching of interrelations between initial data - price BPs. And trade exactly those relationships, which are definitely not contrived, but economically sound.