Andreas @autradingdev

Systematic Trader and Developer. 100% fully automated. Germany Joined January 2022

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Andreas @autradingdev

2 years ago

@PKycek Course

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Andreas @autradingdev

2 years ago

@laurensbensdorp The ratio CAGR / UI

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@thechartist Thanks for the input. I checked autocorrelation of some tickers and portfolios. All show some autocorrelation, with differences not being huge. This needs wider testing. Interestingly, nearly all have negative 1-2 day autocorrelation, indicating short-term mean reversion.

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Andreas @autradingdev

3 years ago

@TradetroniX 10 Stock Strategies and 41 ETF Strategies in a combined Portfolio at IB 3 Crypto Strategies at OKX 1 HFT Crypto Market Making strategy at several exchanges

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Andreas @autradingdev

3 years ago

@thechartist I bet you get an even better risk return ratio of the portfolio if you increase the quantities of S1 an S8 a little bit while decreasing S2 and S3

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Andreas @autradingdev

3 years ago

@QuantifiedStrat RealTest

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Andreas @autradingdev

3 years ago

@PtrPomorski A Kalman Filter was originally designed to fuse the output of a model with observed measurements. I doubt, that a model for market data exists.

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Andreas @autradingdev

4 years ago

@mikeharrisNY I assume this is some kind of mean reversion strategy, where you need to send out many more limit orders that it would be possible with the available margin in the account.

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Andreas @autradingdev

4 years ago

@QuantpT Doesn't the risk depend on the size? If you trade 33% TQQQ instead of 100% QQQ, the portfolio risk is the same and you saved some margin for other strategies. At least, that's how I do it.

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Andreas @autradingdev

4 years ago

@QuantpT Yes!!!

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Andreas @autradingdev

4 years ago

@QuantifiedStrat Thaks a lot! With your insipiration I was able to find a nice portfolio of simlple strategies. The best thing is, that they are so less correlated.