TSR - resuscitating trading systems - page 7

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hrenfx:
Too much correlation is evil: profits will not cover overheads (spreads + commissions + slippages).
Well yes. I've already added in the same vein from the bottom in the same post.
 
hrenfx:
Too high correlation is evil: the profit will not cover the overhead (spreads + commission + slippage + swaps).

The overhead will not actually increase. You don't need only to actually trade both systems (if they are on the same instrument), just put the total net position into the market.

The point is different - the useful-profit component must not be deducted too much in both of them.

However, we can talk a long time, we need to try.

 
MetaDriver:
In fact, the overhead will not increase. You don't have to actually trade both systems (if they are on the same instrument), just put the total net position into the market.

Net is of course.

An example which will prompt an understanding that the overhead will still increase:

  1. Suppose we have no commissions, no slippage and no swaps, and the spread is fixed - Spread.
  2. Let the MO (mathematical expectation of a trade) of the forward TS be MO_Direct, and the reverse - MO_Reverse.
  3. Then the following ratio will always be true: MO_Reverse = MO_Direct - 2 * Spread.

This is precisely the reason why it is better (overheads and other factors) to diversify not the profit VPs, but the FI themselves from which these profit VPs are derived.

 
hrenfx:

1. ...................

2. This is precisely the reason why it is better (overheads and other factors) to diversify the FIs from which these VPs of profits are derived, rather than the VPs of profits.

1. Figured it out. Well, in principle, it seems to be true.

2. Shit! :) What I can't understand, why should we oppose these two methods? Are they incompatible with each other? No way! :))

?zy. Fuck, getch had the same bad habit of thinking that you only have to look at the market with one eye, and the right one's the best. ....! Fuck both of them!!!

;-))))

 
MetaDriver:

2. Shit! :) What I don't get is why you have to contrast the two methods. Are they incompatible with each other? No way! :))

What two methods?
 
hrenfx:
What are the two methods?

1. Diversification of the TS. Or more accurately say (in the spirit of this thread) "mutually reinforcing".

2. Selection (synthesis) of FI for trading of the already created TS. // Diversification into FI is a type of synthetics.

It seems to me that two eyes are better than one. Maybe from greed.......... :)

 

So what could be the point of the following actions:

  1. TCs are about converting price BPs into profit BPs.
  2. And the transformation is the dumbest - linear (buy, sell, do nothing).
  3. And we start to look for correlations in these TS-s, to diversify them.

It follows from simple logic that looking for linear relationships between linear transformations is idiotic? That's why I say we should look for connections between price BPs.

 
hrenfx:

So what could be the point of the following actions:

  1. TCs are about converting price BPs into profit BPs.
  2. And the transformation is the dumbest - linear (buy, sell, do nothing).
  3. And we start to look for correlations in these TS-s, to diversify them.

It follows from simple logic that looking for linear relationships between linear transformations is idiotic? (4) That's why I say we should look for relationships between price BPs.

3. Wapcheta you can argue the second point too. There is no linearity there. But I am more willing to go over the third point. Here this branch is devoted just to replacement of diversification (arithmetic addition in fact) with logical multiplication. Which is in no way a linear transformation.


It follows from simple logic that it has a slightly different meaning. Less idiotic, to put it in the popular language here.

(4) And I'm not arguing with that at all. And I'm not arguing that diversification and other manipulation of the TC set is better. It is necessary to cross. And it should be done sensibly.

 
There have been so many different methods suggested in this thread that I'm not sure which one is being referred to.
 
hrenfx:
There have been so many different methods suggested in this thread that I'm not sure which one is being referred to.

See the first post.

The advisor is rubbish, the idea works.

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