Portfolio of Strategies

trading strategies and money management discussion, code, results

Moderator: moderators

Toothfish
rank: <50 posts
rank: <50 posts
Posts: 14
Joined: Fri Dec 08, 2006 9:09 am
Reputation: 0
Location: Sydney
Real name: Andrew
Gender: Male

Portfolio of Strategies

Postby Toothfish » Sun Dec 10, 2006 4:29 am

Deleted
Last edited by Toothfish on Fri Dec 15, 2006 3:15 am, edited 2 times in total.

Please add www.kreslik.com to your ad blocker white list.
Thank you for your support.

Toothfish
rank: <50 posts
rank: <50 posts
Posts: 14
Joined: Fri Dec 08, 2006 9:09 am
Reputation: 0
Location: Sydney
Real name: Andrew
Gender: Male

Since no one is replying to my thread I thought I might

Postby Toothfish » Tue Dec 12, 2006 2:12 am

Hi,
I think sometimes we get too bogged down on designing a system and forget about the bigger picture. ie portfolio management and money management.
Below is a link to discussions from acary. He discusses some ideas of having multiple diversified systems to manage risk.
Although it is incomplete there are a few pearls.

http://www.elitetrader.com/vb/showthrea ... enumber=44

Ztrader
rank: <50 posts
rank: <50 posts
Posts: 10
Joined: Mon Sep 04, 2006 2:57 am
Reputation: 0
Gender: Male

Good Portfolio Theory Talk

Postby Ztrader » Sat Dec 16, 2006 6:08 am

Kevin Balwin of theIFM.org gave a good hour talk for IB on Portfolio Management.
IB Recorded Webinar( Dec 4, 2006 ) - Listen to recording for explaination
Deeper info can be found by googling 'log normal returns'
Attached file is his corrected notes
Attachments
IFM_PortfolioTheory_fontfixed.pdf
55 page PDF
(241.46 KiB) Downloaded 73 times

twalker
rank: <50 posts
rank: <50 posts
Posts: 5
Joined: Wed Aug 02, 2006 10:34 am
Reputation: 0
Location: London
Gender: Male
Contact:

Postby twalker » Thu Jan 11, 2007 2:47 pm

I trade a large portfolio of products but I am still not convinced I have a good grasp of how many markets I really need in my basket to have the best diversification. Currently I am spread across commodities, forex and stock indices. I have effective systems to trade these markets on different time frames but have not yet applied anything to bonds.
I think that somewhere around 6-10 markets can provide sufficient diversification but it is probably better to include the 20 majors. I know hedge funds who trade well over 100 but think this is more due to liquidity requirements than diversification.

Please add www.kreslik.com to your ad blocker white list.
Thank you for your support.


Return to “strategy trading & money management”