MErigga

[MErigga @MErigg_a]

@dmartin_trading It's not surprising factor analysis has been known for decades, momentum, value / mean reversion, quality, etc everybody does them they are the major factors and they are the crowded trades

[MErigga @MErigg_a]

@OKTrader14 I'm sure it can work with simpler rules on more assets, you can include nq, gold, audcad and nzdcad

[MErigga @MErigg_a]

@OKTrader14 Have you tried removing some fo the rules because although it seems to work, some of the rules seem redundant to me, also I don't really seem to understand your exit model?

[MErigga @MErigg_a]

@rjpjr12 Just go quarter kelly

[MErigga @MErigg_a]

@AahanPrometheus The equity curve looks a lot like this is a basket of time series momentum strategies, or rather momentum in general, outperform in down markets underperform in the snap back then go back to average performance

[MErigga @MErigg_a]

@LeverageAlpha_ Text book diversification honestly, personally I don't run short vol strategies because I feel nothing is really a perfect hedge and I don't like seeing outsized losses

[MErigga @MErigg_a]

@therobotjames This reminds me of the short small cap edge works even better on crypto alts and memes that have net negative return over the long run as most projects fail. My algo is short only though, with a basic trend filter and time filter to ensure hype has faded

[MErigga @MErigg_a]

@ArbStHubert carry and momentum the 2 greatest edges in crypto imo

[MErigga @MErigg_a]

@algojan It is stressful sometimes and sometimes the ideas you have are on markets you can't or don't trade

[MErigga @MErigg_a]

@ZenomTrader i just Vol target 10% portfolio vol a month as spy has a high probabiity of green months it works so well

[MErigga @MErigg_a]

@ZenomTrader it still baffles me how people fail on props, i created a basic account cycling strategy it literally just buys spy everyday with high risk cycling when account blow and it returned so much i dont still believe it

[MErigga @MErigg_a]

@TheWolf534 This is impressive

[MErigga @MErigg_a]

@FibboKing Pairs trading is still a bet cointegration will hold

[MErigga @MErigg_a]

@SystematicPeter I saw a paper concerning this , the best hedge for equities is a futures TSMOM portfolio it wasn't 10 instruments like you are trading, I think it was 44 or so futures contracts, basic breakout with ATR stops and vol targeting something like that

[MErigga @MErigg_a]

@dmartin_trading You can keep building even after 5 because 2 strategies with 0.8 correlation equally weighted is better than putting the full amount on 1. Also research better edges, lower timeframes higher frequency etc

[MErigga @MErigg_a]

@ForensicQuant @TheWolf534 Strategies like this are not meant to beat the market on thier own but diversify a portfolio

[MErigga @MErigg_a]

@ZenomTrader Is it possible to create something that tracks the correlations of an equity curve historically to market regimes/state so you know beforehand if buying an prop right now is the best idea?

[MErigga @MErigg_a]

@ZenomTrader I'm flat on my funded accounts right now I'm mostly trend following/ breakout. 3 strategies but 20+ assets. Markets been bad for trend following

[MErigga @MErigg_a]

@SystematicPeter looks like its decaying current time. there is room for improvement though. ill follow this series.

[MErigga @MErigg_a]

@ScottMeeuwsen @shortbelly That's what I saw too so this post is confusing me you can't really do lookahead in tradestation