Enabling / disable of systems based on EQ?

Trading Systems Expert Advisors and Automated Trading
1

One thing that I have started to think about is if there would be any advantages to having additional filters for trading more than “a” system. More like a system of system.

Let’s say that I have 20 systems / EA (different currencies, timeframes, parameters etc. ), but in total 20 systems that are reasonably uncorrelated. I guess the normal way most trade this is to have all 20 running, but what if there were additional filters on this, like that only those systems that are above a MA (or any other suitable parameter) are traded? The tracking of the performance must of course be made “offline”, so trades are tracked even if the actual system does not place any orders (like back testing SW). The result may be that only 15 are traded at one point, 20 at another, and 10 at a third time.

The major benefit would also be that you safeguard the system you have if it no longer works => no trading.

But I can’t find anything about this… You are basically trading the equity line but on a system level. I would sure be a question more people then myself would have askt themself. But I cant find anything about this… but I may search in the wrong places (or wrong terminology).

Any thoughts about this?

2

So basically, do you want to know when your strategy lost profitability?

3

Yes and no… All strategies have good and bad periods, then to then apply some kind of “on/off” filter is extremely easy (let’s say only trade those systems that have been profitable the last 6 months).

But my main question is basically, why is this not a question? Is there any analysis on general performance for such a methodology? Does anyone else trade like this? I mean, we have huge numbers of posts for different systems, but 0 posts about this kind of multi-system trading.

4

Mhm, so your strategy is in drawdown from last 6 months, if you turn off this strategy because of stagnation, how you will know about new high?

5

Offline backtesting… papertrading…

6

I think, you are looking for information, how to manage portfolio strategies and funds dynamically, which strategies you should choose and how to set up money management to achieve max profits in the next period of time, for example next 6 months. Am I right? BTW who are you?